The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and Wheat
Using a restricted version of the BEKK model it is tested an implication of the theory of storage that supply-and-demand fundamentals affect the price dynamics of agricultural commodities. The commodities under analysis are corn and wheat. An interest-storage-adjusted-spread was used as a proxy vari...
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| Formato: | Artículo |
| Lenguaje: | español |
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Universidad Autónoma de Nuevo León
2010
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| Acceso en línea: | https://ensayos.uanl.mx/index.php/ensayos/article/view/85 |
| _version_ | 1824325143497801728 |
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| author | Benavides Perales, Guillermo |
| author_facet | Benavides Perales, Guillermo |
| author_sort | Benavides Perales, Guillermo |
| collection | Artículos de Revistas UANL |
| description | Using a restricted version of the BEKK model it is tested an implication of the theory of storage that supply-and-demand fundamentals affect the price dynamics of agricultural commodities. The commodities under analysis are corn and wheat. An interest-storage-adjusted-spread was used as a proxy variable for supply-and-demand fundamentals to test the aforementioned implication for both commodities. It is also tested the Samuelson hypothesis that spot prices have higher volatility than futures prices. It is found that the interest-storage-adjusted-spread has had a statistically significant positive influence on the spot and futures returns for both commodities. Likewise, the results also show that spot price returns have higher volatility compared to futures price returns which is consistent with the Samuelson hypothesis. The results of the aforementioned tests are consistent with both theories and with the existing literature related to commodity futures. JEL Classification: C22, G10, Q14. |
| first_indexed | 2025-02-05T19:55:40Z |
| format | Article |
| id | ensayos-article-85 |
| institution | UANL |
| language | spa |
| last_indexed | 2025-02-05T19:55:40Z |
| physical | Ensayos Revista de Economía; Vol. 29 No. 1 (2010): MAY 2010; 1-22 Ensayos Revista de Economía; Vol. 29 Núm. 1 (2010): MAYO 2010; 1-22 2448-8402 1870-221X |
| publishDate | 2010 |
| publisher | Universidad Autónoma de Nuevo León |
| record_format | ojs |
| spelling | ensayos-article-852023-12-11T11:05:48Z The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and Wheat Benavides Perales, Guillermo Agricultural commodities BEKK model multivariate GARCH Samuelson hypothesis theory of storage. Using a restricted version of the BEKK model it is tested an implication of the theory of storage that supply-and-demand fundamentals affect the price dynamics of agricultural commodities. The commodities under analysis are corn and wheat. An interest-storage-adjusted-spread was used as a proxy variable for supply-and-demand fundamentals to test the aforementioned implication for both commodities. It is also tested the Samuelson hypothesis that spot prices have higher volatility than futures prices. It is found that the interest-storage-adjusted-spread has had a statistically significant positive influence on the spot and futures returns for both commodities. Likewise, the results also show that spot price returns have higher volatility compared to futures price returns which is consistent with the Samuelson hypothesis. The results of the aforementioned tests are consistent with both theories and with the existing literature related to commodity futures. JEL Classification: C22, G10, Q14. Universidad Autónoma de Nuevo León 2010-05-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article Artículo arbitrado por pares application/pdf https://ensayos.uanl.mx/index.php/ensayos/article/view/85 10.29105/ensayos29.1-1 Ensayos Revista de Economía; Vol. 29 No. 1 (2010): MAY 2010; 1-22 Ensayos Revista de Economía; Vol. 29 Núm. 1 (2010): MAYO 2010; 1-22 2448-8402 1870-221X spa https://ensayos.uanl.mx/index.php/ensayos/article/view/85/71 Derechos de autor 2010 Guillermo Benavides Perales https://creativecommons.org/licenses/by/4.0 |
| spellingShingle | Agricultural commodities BEKK model multivariate GARCH Samuelson hypothesis theory of storage. Benavides Perales, Guillermo The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and Wheat |
| thumbnail | https://rediab.uanl.mx/themes/sandal5/images/article.gif |
| title | The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and Wheat |
| title_full | The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and Wheat |
| title_fullStr | The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and Wheat |
| title_full_unstemmed | The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and Wheat |
| title_short | The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and Wheat |
| title_sort | theory of storage and price dynamics of agricultural commodity futures the case of corn and wheat |
| topic | Agricultural commodities BEKK model multivariate GARCH Samuelson hypothesis theory of storage. |
| topic_facet | Agricultural commodities BEKK model multivariate GARCH Samuelson hypothesis theory of storage. |
| url | https://ensayos.uanl.mx/index.php/ensayos/article/view/85 |
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