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The Effect of Planting on the Volatility of Grain Futures Prices

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  • Hennessy, David A.
  • Wahl, Thomas I.

Abstract

Existing literature on commodity futures price volatility emphasizes time to expiration and the resolution of uncertainty. This paper stresses the supply and demand infexibilities arising from decision making. A decision made on the supply (demand) side makes future supply (demand) responses less elastic. Therefore, a shock arising after a decision is made is more effective in changing the futures price than a shock before the decision is made. The results support the maturity hypothesis but do not conflct with the state variable hypothesis of futures price volatility.

Suggested Citation

  • Hennessy, David A. & Wahl, Thomas I., 1995. "The Effect of Planting on the Volatility of Grain Futures Prices," 1981-1999 Conference Archive 285632, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:nc8191:285632
    DOI: 10.22004/ag.econ.285632
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