IDEAS home Printed from https://ideas.repec.org/p/ags/nc194o/233045.html
   My bibliography  Save this paper

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

Author

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

Abstract

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Pagoulatos, Emilio & Azzam, Azzeddine & Kitazawa, Motoichiro, 1990. "An Econometric Analysis of the Forward Premium in the International Corn Market," Occasional Papers 233045, Regional Research Project NC-194: Organization and Performance of World Food Systems.
    • Handle: RePEc:ags:nc194o:233045
    DOI: 10.22004/ag.econ.233045
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/233045/files/nc194-op-09.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.233045?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Robert G. Chambers & Richard E. Just, 1979. "A Critique of Exchange Rate Treatment in Agricultural Trade Models," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 61(2), pages 249-257.
    2. Tomek, William G., 1971. "A Note on Historical Wheat Prices and Futures Trading," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 10(1), pages 1-5.
    3. Taylor, Gregory S. & Leuthold, Raymond M., 1974. "The Influence of Futures Trading on Cash Cattle Price Variations," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 13(1), pages 1-8.
    4. Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, vol. 48(1), pages 49-73, January.
    5. Turnovsky, Stephen J, 1983. "The Determination of Spot and Futures Prices with Storable Commodities," Econometrica, Econometric Society, vol. 51(5), pages 1363-1387, September.
    6. Alex F. McCalla, 1982. "Impact of Macroeconomic Policies Upon Agricultural Trade and International Agricultural Development," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 64(5), pages 861-868.
    7. G. Edward Schuh, 1976. "The New Macroeconomics of Agriculture," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 58(5), pages 802-811.
    8. Van Duyne, Carl, 1979. "The macroeconomic effects of commodity market disruptions in open economies," Journal of International Economics, Elsevier, vol. 9(4), pages 559-582, November.
    9. 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.
    10. Cox, Charles C, 1976. "Futures Trading and Market Information," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1215-1237, December.
    11. Pindyck, Robert S & Rotemberg, Julio J, 1990. "The Excess Co-movement of Commodity Prices," Economic Journal, Royal Economic Society, vol. 100(403), pages 1173-1189, December.
    12. Gary E. Bond, 1984. "The Effects of Supply and Interest Rate Shocks in Commodity Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 66(3), pages 294-301.
    13. Powers, Mark J, 1970. "Does Futures Trading Reduce Price Fluctuations in the Cash Markets?," American Economic Review, American Economic Association, vol. 60(3), pages 460-464, June.
    14. Schuh, G. Edward, 1976. "The New Macroeconomics Of Agriculture," 1976 Annual Meeting, August 15-18, State College, Pennsylvania 284009, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ardeni, Pier-Giorgio & Rausser, Gordon C., 1990. "Alternative subsidy reduction paths: the role of fiscal and monetary policy linkages," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt5074f3vq, Department of Agricultural & Resource Economics, UC Berkeley.
    2. Devadoss, S., 1985. "The impacts of monetary policies on US agriculture," ISU General Staff Papers 198501010800008837, Iowa State University, Department of Economics.
    3. Fleming, Jeff & Ostdiek, Barbara, 1999. "The impact of energy derivatives on the crude oil market," Energy Economics, Elsevier, vol. 21(2), pages 135-167, April.
    4. Karl E. Case & Robert J. Shiller & Allan N. Weiss, 1991. "Index-Based Futures and Options Markets in Real Estate," Cowles Foundation Discussion Papers 1006, Cowles Foundation for Research in Economics, Yale University.
    5. Jacks, David S., 2007. "Populists versus theorists: Futures markets and the volatility of prices," Explorations in Economic History, Elsevier, vol. 44(2), pages 342-362, April.
    6. Hua, Ping, 1998. "On Primary Commodity Prices: The Impact of Macroeconomic/Monetary Shocks," Journal of Policy Modeling, Elsevier, vol. 20(6), pages 767-790, December.
    7. Bohl, Martin T. & Diesteldorf, Jeanne & Siklos, Pierre L., 2015. "The effect of index futures trading on volatility: Three markets for Chinese stocks," China Economic Review, Elsevier, vol. 34(C), pages 207-224.
    8. Manfred Streit, 1980. "On the use of futures markets for stabilization purposes," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 116(3), pages 493-513, September.
    9. Gardiner, Walter H. & Dixit, Praveen M, 1987. "Price Elasticity of Export Demand: Concepts and Estimates," Foreign Agricultural Economic Report (FAER) 305286, United States Department of Agriculture, Economic Research Service.
    10. Rausser, Gordon C., 1985. "Macroeconomic environment for U.S. agricultural policy," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2561m38d, Department of Agricultural & Resource Economics, UC Berkeley.
    11. de Jong, Johan & Sonnemans, Joep & Tuinstra, Jan, 2022. "The effect of futures markets on the stability of commodity prices," Journal of Economic Behavior & Organization, Elsevier, vol. 198(C), pages 176-211.
    12. Bozic, Marin, 2011. "Three essays in commodity futures and options price performance," Faculty and Alumni Dissertations 160678, University of Minnesota, Department of Applied Economics.
    13. Hushak, Leroy J., 1985. "The Exchange Rate And Agriculture: Real Issue Or Dead Horse!," 1985 Annual Meeting, August 4-7, Ames, Iowa 278660, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    14. Karungu, Peter & Reed, Michael, 1993. "A Modified Arbitrage Condition For Commodity Marketing," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 32(3), September.
    15. Dushmanitch, V. Y. & Darroch, M. A. G., 1990. "An Economic Analysis Of The Impacts Of Monetary Policy On South African Agriculture," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 29(4), December.
    16. John Baffes & Cristina Savescu, 2014. "Monetary conditions and metal prices," Applied Economics Letters, Taylor & Francis Journals, vol. 21(7), pages 447-452, May.
    17. Petit, Michel, 1988. "Presidential Address," 1988 Conference, August 24-31, 1988, Buenos Aires, Argentina 183061, International Association of Agricultural Economists.
    18. Andino, Jose & Mulik, Kranti & Koo, Won W., 2005. "The Impact Of Brazil And Argentina'S Currency Devaluation On U.S. Soybean Trade," Agribusiness & Applied Economics Report 23486, North Dakota State University, Department of Agribusiness and Applied Economics.
    19. Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2013. "Futures price volatility in commodities markets: The role of short term vs long term speculation," DEM Working Papers Series 042, University of Pavia, Department of Economics and Management.
    20. Richard E. Just & Gordon C. Rausser, 1989. "An Assessment of the Agricultural Economics Profession," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(5), pages 1177-1190.

    More about this item

    Keywords

    Crop Production/Industries;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:nc194o:233045. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.