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Price discovery in commodity markets

Author

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  • Massimo Peri
  • Lucia Baldi
  • Daniela Vandone

Abstract

This article investigates the long-run relationship between spot and futures prices for corn and soybean. We apply cointegration methodology, allowing for the presence of potentially unknown structural breaks and then study the causality relationships between spot and futures prices within each specific subperiod identified with the aim of analysing the price discovery. Empirical estimates highlight (i) multiple breaks exist in the cointegrating relationship between prices and (ii) subperiods consequently identified express different dynamics in the causal relationship between spot and futures prices and support the idea that fundamentals are important in explaining the 2007/08 food price increase.

Suggested Citation

  • Massimo Peri & Lucia Baldi & Daniela Vandone, 2013. "Price discovery in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(4), pages 397-403, March.
  • Handle: RePEc:taf:apeclt:v:20:y:2013:i:4:p:397-403
    DOI: 10.1080/13504851.2012.709590
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Vollmer, T. & Von Cramon-Taubadel, S., 2018. "Dynamic price discovery in the European wheat market based on the concept of partial cointegration," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 276031, International Association of Agricultural Economists.
    2. repec:spr:ssefpa:v:9:y:2017:i:4:d:10.1007_s12571-017-0702-2 is not listed on IDEAS
    3. Svanidze, Miranda & Götz, Linde, 2019. "Determinants of spatial market efficiency of grain markets in Russia," EconStor Open Access Articles, ZBW - Leibniz Information Centre for Economics, pages 1-10.
    4. Karikallio, Hanna, 2015. "Cross-commodity Price Transmission and Integration of the EU Livestock Market of Pork and Beef: Panel Time-series Approach," 2015 Conference, August 9-14, 2015, Milan, Italy 211832, International Association of Agricultural Economists.
    5. Vollmer, Teresa & Von Cramon-Taubadel, Stephan, 2017. "Price discovery in the European wheat market," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 261135, European Association of Agricultural Economists.
    6. Ganneval, S., 2016. "Spatial price transmission on agricultural commodity markets under different volatility regimes," Economic Modelling, Elsevier, vol. 52(PA), pages 173-185.
    7. repec:spr:jqecon:v:16:y:2018:i:1:d:10.1007_s40953-017-0074-7 is not listed on IDEAS
    8. Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2014. "Internet, noise trading and commodity futures prices," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 82-89.
    9. Svanidze, Miranda & Götz, Linde, 2019. "Spatial market efficiency of grain markets in Russia: Implications of high trade costs for export potential," EconStor Open Access Articles, ZBW - Leibniz Information Centre for Economics, pages 60-68.
    10. Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2016. "Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 277-285.
    11. Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2011. "Spot and Futures Prices of Agricultural Commodities: Fundamentals and Speculation," 2011 International European Forum, February 14-18, 2011, Innsbruck-Igls, Austria 122002, International European Forum on System Dynamics and Innovation in Food Networks.
    12. repec:gam:jsusta:v:9:y:2017:i:6:p:1071-:d:101981 is not listed on IDEAS

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