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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Universidad Autónoma de Nuevo León, Facultad de Economía
2010-05-01
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doaj-c2cd851ec6244e20bc08462593bc52f52020-11-24T22:08:17ZengUniversidad Autónoma de Nuevo León, Facultad de Economía Ensayos Revista de Economía1870-221X2448-84022010-05-0129163The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and WheatGuillermo Benavides PeralesUsing 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.http://ensayos.uanl.mx/index.php/ensayos/article/view/85Agricultural commoditiesBEKK modelmultivariate GARCHSamuelson hypothesistheory of storage. |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Guillermo Benavides Perales |
spellingShingle |
Guillermo Benavides Perales The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and Wheat Ensayos Revista de Economía Agricultural commodities BEKK model multivariate GARCH Samuelson hypothesis theory of storage. |
author_facet |
Guillermo Benavides Perales |
author_sort |
Guillermo Benavides Perales |
title |
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_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_sort |
theory of storage and price dynamics of agricultural commodity futures: the case of corn and wheat |
publisher |
Universidad Autónoma de Nuevo León, Facultad de Economía |
series |
Ensayos Revista de Economía |
issn |
1870-221X 2448-8402 |
publishDate |
2010-05-01 |
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. |
topic |
Agricultural commodities BEKK model multivariate GARCH Samuelson hypothesis theory of storage. |
url |
http://ensayos.uanl.mx/index.php/ensayos/article/view/85 |
work_keys_str_mv |
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