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An Econometric Analysis of the Forward Premium in the International Corn Market


  • Pagoulatos, Emilio
  • Azzam, Azzeddine
  • Kitazawa, Motoichiro


This study investigates the linkage between world macroeconomic factors and prices of an internationally traded commodity by explicitly accounting for the role of futures markets in stockholding behavior. Using a portfolio model, the empirical analysis is carried out with quarterly data of a storable, international traded commodity--corn--for the 1973I-1983IV period. The empirical findings show that a substantial variation in the corn forward premium can be explained by current and expected future values of macroeconomic variables, such as industrial production, interest rates, and exchange rates. Copyright 1990 by Oxford University Press.

Suggested Citation

  • Pagoulatos, Emilio & Azzam, Azzeddine & Kitazawa, Motoichiro, 1990. "An Econometric Analysis of the Forward Premium in the International Corn Market," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 17(3), pages 335-347.
  • Handle: RePEc:oup:erevae:v:17:y:1990:i:3:p:335-47

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    References listed on IDEAS

    1. Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, vol. 48(1), pages 49-73, January.
    2. Turnovsky, Stephen J, 1983. "The Determination of Spot and Futures Prices with Storable Commodities," Econometrica, Econometric Society, vol. 51(5), pages 1363-1387, September.
    3. Robert G. Chambers, 1984. "Agricultural and Financial Market Interdependence in the Short Run," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 66(1), pages 12-24.
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