Examining the dynamic relationship between spot and future prices of agricultural commodities
Download full text from publisher
References listed on IDEAS
- Robles, Miguel & Torero, Maximo & von Braun, Joachim, 2009. "When speculation matters:," Issue briefs 57, International Food Policy Research Institute (IFPRI).
- Ronald I. McKinnon, 1967. "Futures Markets, Buffer Stocks, and Income Stability for Primary Producers," Journal of Political Economy, University of Chicago Press, vol. 75, pages 844-844.
- V. V. Chari & Ravi Jagannathan & Larry Jones, 1990. "Price Stability and Futures Trading in Commodities," The Quarterly Journal of Economics, Oxford University Press, vol. 105(2), pages 527-534.
- Turnovsky, Stephen J, 1983. "The Determination of Spot and Futures Prices with Storable Commodities," Econometrica, Econometric Society, vol. 51(5), pages 1363-1387, September.
- Cooke, Bryce & Robles, Miguel, 2009. "Recent food prices movements: A time series analysis," IFPRI discussion papers 942, International Food Policy Research Institute (IFPRI).
- Diks, Cees & Panchenko, Valentyn, 2006.
"A new statistic and practical guidelines for nonparametric Granger causality testing,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 30(9-10), pages 1647-1669.
- Diks, C.G.H. & Panchenko, V., 2004. "A new statistic and practical guidelines for nonparametric Granger causality testing," CeNDEF Working Papers 04-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Kawai, Masahiro, 1983. "Price Volatility of Storable Commodities under Rational Expectations in Spot and Futures Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(2), pages 435-459, June.
- von Braun, Joachim & Torero, Maximo, 2009. "Implementing physical and virtual food reserves to protect the poor and prevent market failure:," Policy briefs 10, International Food Policy Research Institute (IFPRI).
- Garbade, Kenneth D & Silber, William L, 1983. "Price Movements and Price Discovery in Futures and Cash Markets," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 289-297, May.
- von Braun, Joachim & Torero, Maximo, 2008. "Physical and virtual global food reserves to protect the poor and prevent market failure:," Policy briefs 4, International Food Policy Research Institute (IFPRI).
- Danthine, Jean-Pierre, 1978. "Information, futures prices, and stabilizing speculation," Journal of Economic Theory, Elsevier, vol. 17(1), pages 79-98, February.
- Brorsen, B. Wade & Bailey, DeeVon & Richardson, James W., 1984. "Investigation Of Price Discovery And Efficiency For Cash And Futures Cotton Prices," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 9(01), July.
- Robert S. Pindyck, 2001. "The Dynamics of Commodity Spot and Futures Markets: A Primer," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 1-30.
More about this item
Keywordsagricultural commodity markets; futures prices; granger causality; spot prices;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGR-2010-07-17 (Agricultural Economics)
- NEP-ALL-2010-07-17 (All new papers)
- NEP-LAM-2010-07-17 (Central & South America)
- NEP-MIC-2010-07-17 (Microeconomics)
StatisticsAccess and download statistics
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:fpr:ifprid:988. 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: (). General contact details of provider: http://edirc.repec.org/data/ifprius.html .