Price discovery in commodity markets

被引:34
作者
Peri, Massimo [1 ]
Baldi, Lucia [1 ]
Vandone, Daniela [2 ]
机构
[1] Univ Milan, Dept Agr Food & Environm Econ, I-20133 Milan, Italy
[2] Univ Milan, Dept Econ Business & Stat, I-20133 Milan, Italy
关键词
commodity; futures markets; price discovery; cointegration; structural breaks; FUTURES-MARKETS; UNIT-ROOT; SPOT; COINTEGRATION; VOLATILITY; TESTS;
D O I
10.1080/13504851.2012.709590
中图分类号
F [经济];
学科分类号
02 ;
摘要
This article investigates the long-run relationship between spot and futures prices for corn and soybean. We apply cointegration methodology, allowing for the presence of potentially unknown structural breaks and then study the causality relationships between spot and futures prices within each specific subperiod identified with the aim of analysing the price discovery. Empirical estimates highlight (i) multiple breaks exist in the cointegrating relationship between prices and (ii) subperiods consequently identified express different dynamics in the causal relationship between spot and futures prices and support the idea that fundamentals are important in explaining the 2007/08 food price increase.
引用
收藏
页码:397 / 403
页数:7
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