Linkages among commodity futures markets and dynamic welfare analysis
This study constructs dynamic welfare measures for a system of futures markets that express the allocative efficiency of a particular market as a function of its accuracy and speed of adjustment following a shock to the system. The system comprises futures prices for T-bills, exchange rates (German mark, British pound, Canadian dollar and yen), and agricultural commodities (corn, wheat, and cotton) for delivery in 1981 and 1982. The results suggest that, although agricultural, exchange, and financial markets allover-react to a disturbance, agricultural markets do so to a much greater degree. Owing to their much greater size, however, the welfare loss arising from the overshooting is likely to be much larger for interest rate and exchange markets.
|Date of creation:||01 Jul 1990|
|Contact details of provider:|| Postal: 207 Giannini Hall #3310, Berkeley, CA 94720-3310|
Phone: (510) 642-3345
Fax: (510) 643-8911
Web page: http://www.escholarship.org/repec/are_ucb/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Rausser, Gordon C. & Chalfant, James A. & Stamoulis, Kostas G., 1985.
"Instability in agricultural markets: the U.S. experience,"
Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
qt5zp3w60h, Department of Agricultural & Resource Economics, UC Berkeley.
- Rausser, Gordon C. & Chalfant, James A. & Stamoulis, Kostas G., 1985. "Instability in Agricultural Markets: The US Experience," 1985 Conference, August 26-September 4, 1985, MÃ¡laga, Spain 182621, International Association of Agricultural Economists.
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
- Stein, Jerome L, 1981. "Speculative Price: Economic Welfare and the Idiot of Chance," The Review of Economics and Statistics, MIT Press, vol. 63(2), pages 223-232, May.
- Zellner, Arnold & Palm, Franz, 1974. "Time series analysis and simultaneous equation econometric models," Journal of Econometrics, Elsevier, vol. 2(1), pages 17-54, May.
- ZELLNER, Arnold & PALM, Franz, "undated". "Time series analysis and simultaneous equation econometric models," CORE Discussion Papers RP 173, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-622, September.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Rausser, Gordon C & Carter, Colin, 1983. "Futures Market Efficiency in the Soybean Complex," The Review of Economics and Statistics, MIT Press, vol. 65(3), pages 469-478, August.
- Rausser, Gordon C. & Carter, Colin A., 1982. "Futures market efficiency in the soybean complex," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt7d48x9qc, Department of Agricultural & Resource Economics, UC Berkeley.
- Gershon Feder & Richard E. Just & Andrew Schmitz, 1980. "Futures Markets and the Theory of the Firm under Price Uncertainty," The Quarterly Journal of Economics, Oxford University Press, vol. 94(2), pages 317-328.
- Holthausen, Duncan M, 1979. "Hedging and the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 69(5), pages 989-995, December. Full references (including those not matched with items on IDEAS)