Changing Price Dynamics in Agricultural Commodity Markets
We analyze the speed of mean reversion (k) in the convenience yield and the spot price volatility for 7 US commodities between 1989-2012. In the hog market k is large, soybeans exhibit the lowest values. While for 5 of 7 commodities κ is lower in the more recent period (2005-2012) than in the pre energy period, soybeans and copper show the opposite behavior. A decreasing speed of k implies that the growth rate of the futures prices rises and thus the gap between the nearest and the farthest maturities increases. The estimated spot price volatilities increased for agricultural commodities.
|Date of creation:||2013|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 0531 / 596 5501
Fax: 0531 / 596 5599
Web page: http://www.gewisola.de/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ags:gewi13:156246. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search)
If references are entirely missing, you can add them using this form.