Spot and Futures Prices of Agricultural Commodities: Fundamentals and Speculation
2017
Baldi, Lucia | Peri, Massimo | Vandone, Daniela
This paper investigates the long-run relationship between spot and futures prices forcorn and soybeans, for the period January 2004 -September 2010. We applycointegration methodology in the presence of potentially unknown structural breaks inthe commodities prices and we then study the causality relationships between spot andfutures prices within each specific sub-period identified, with the aim to analyze wherechanges in spot and futures price originate and how they spread. Empirical estimateshighlight the following evidence: i) breaks relate to events that have significantly affectedthe supply and demand of corn and soybeans for food and energy purposes; ii) subperiodsconsequently identified express different dynamics in the causal relationshipbetween spot and futures prices and support the idea that many factors contributed tothe 2007-2008 food price increase
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