Market Inversion in Commodity Futures Prices
نویسندگان
چکیده
منابع مشابه
Commodity futures and market efficiency
a r t i c l e i n f o We analyze the market efficiency of 25 commodity futures across various groups—metals, energies, soft commodities , grains and other agricultural commodities. To do so, we utilize the recently proposed Efficiency Index to find out that the most efficient among all of the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat, and coffee. On t...
متن کاملThe Futures Market: A Valuable Commodity
The agricultural goods futures market has recently regained the interest of corporate business, research institutions, and governments. This renewed interest is brought about by the increasing volatility of the prices of agricultural raw materials. In turn, these reflect the shift that has taken place in the European Union’s joint agricultural policy: from price support to income support and to...
متن کاملA Two-Factor Model for Commodity Prices and Futures Valuation∗
This paper develops a reduced form two-factor model for commodity spot prices and futures valuation. This model extends the Gibson and Schwartz (1990)-Schwartz (1997) two-factor model by adding two new features. First the Ornstein-Uhlenbeck process for the convenience yield is replaced by a Cox-Ingersoll-Ross (CIR) process. This ensures that our model is arbitrage-free. Second, spot price volat...
متن کاملEffects of index-fund investing on commodity futures prices∗
The last decade brought substantial increased participation in commodity markets by index funds that maintain long positions in the near futures contracts. Policy makers and academic studies have reached sharply different conclusions about the effects of these funds on commodity futures prices. This paper proposes a unifying framework for examining this question, noting that according to a simp...
متن کاملCommodity Market Interest and Asset Prices∗
Open interest in commodity futures, which signals commodity market activity, contains information about future commodity and bond prices. High open-interest growth predicts high commodity-price inflation, a rising short rate, and low bond returns. Open interest is a more powerful predictor of commodity prices than the short rate, the yield spread, basis, and hedging pressure. While highly corre...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Agricultural and Applied Economics
سال: 2002
ISSN: 1074-0708,2056-7405
DOI: 10.1017/s107407080000924x