One of the particular problems facing agribusiness firms is the relationship between commodity price risk (a source of business risk) and debt repayment ability (a source of financial risk). This study examines the use of commodity-linked loans applied to agricultural credits. A commodity-linked loan is a credit instrument whose payoff is contingent on the value of an underlying commodity or po...

Using the longest dataset publicly available (The Economist’s index of industrial commodity prices), we analyze the behavior of real commodity prices over the period 1862–1999 and have two main findings. First, while there has been a downward trend in real commodity prices of about 1 percent per year over the last 140 years, little support is found for a break in the long-run trend decline in c...

This paper studies equilibrium in the futures market for a commodity in a single good economy, which is populated by heterogeneous producers and speculators. The commodity is traded only in the spot market at harvest whereas futures contracts written on the commodity are traded continuously. The model illustrates the role of heterogeneity and non-tradeness in a futures market equilibrium. The r...

With the continuous development of economic globalization, especially in face expanding COVID-19 pandemic, supply shortage suppliers will directly affect ordering strategy enterprises, which cause price fluctuations commodity market and corporate profits. We assume that demand for product is constant, determines price. An EOQ model constructed with a under additive supply. find optim...

Commodity prices tend to be volatile, and volatility itself varies over time. Changes in volatility can affect market variables by directly affecting the marginal value of storage, and by affecting a component of the total marginal cost of production: the opportunity cost of exercising the option to produce the commodity now rather than waiting for more price information. I examine the role of ...

Over the counter (OTC) forward contracts are regularly traded by hedgers at maturities beyond the longest-dated futures contract. The presence of seasonality in agricultural commodities creates additional uncertainty for obtaining fair prices for OTC forward contract trades beyond the liquid futures strip. This paper employs an augmented Nelson-Siegel function to obtain seasonal agricultural co...

The present paper considers a class of general equilibrium economies when the primitive uncertainty model features uncertainty about continuous-time volatility. This requires a set of mutually singular priors, which do not share the same null sets. For this setting we introduce an appropriate commodity space and the dual of linear and continuous price systems. All agents in the economy are hete...

Directed Acyclic Graphs (DAG's) and Error Correction Models (ECM's) are employed to analyze questions of price discovery between spatially separated commodity markets and the transportation market linking them together. Results from our analysis suggest these markets are highly interconnected but it is the inland commodity market that is strongly influenced by both the transportation and commod...

In this article, we develop a two-factor model of commodity prices that allows meanreversion in short-term prices and uncertainty in the equilibrium level to which prices revert. Although these two factors are not directly observable, they may be estimated from spot and futures prices. Intuitively, movements in prices for long-maturity futures contracts provide information about the equilibrium...