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An Econometric Model of Hedging, Speculation and Volume in Commodity Futures

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  • Ward, Ronald W.
  • Behr, Robert M.

Abstract

Futures markets exist to meet the needs of commercial trade having forward commodity dealings. The dynamics of commodity markets lead to continual changes in forward pricing needs as well as price risk. Market structures change and markets often deviate from the competitive model. Much of the variability in the use of futures. markets can be traced not only to the basic characteristics of each commodity but also to many of the structural related characteristics of the markets. In the following analysis, an econometric model incorporating many of these characteristics is developed to partially explain changes in hedging, speculation and volume activity.

Suggested Citation

  • Ward, Ronald W. & Behr, Robert M., 1981. "An Econometric Model of Hedging, Speculation and Volume in Commodity Futures," 1981 Annual Meeting, July 26-29, Clemson, South Carolina 279401, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea81:279401
    DOI: 10.22004/ag.econ.279401
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    References listed on IDEAS

    as
    1. Ronald W. Ward & James E. Davis, 1978. "A Pooled Cross-Section Time Series Model of Coupon Promotions," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 60(3), pages 393-401.
    2. Telser, Lester G & Higinbotham, Harlow N, 1977. "Organized Futures Markets: Costs and Benefits," Journal of Political Economy, University of Chicago Press, vol. 85(5), pages 969-1000, October.
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