English, Article, Journal or magazine article edition: Stochastic Interest Rates and Price Discovery in Selected Commodity Markets Hector O. ZAPATA; T. Randall FORTENBERY

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Bookmark: http://trove.nla.gov.au/version/137690
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • STOCHASTIC INTEREST RATES AND PRICE DISCOVERY IN SELECTED COMMODITY MARKETS
Author
  • Hector O. ZAPATA
  • T. Randall FORTENBERY
Physical Description
  • preprint
Notes
  • RePEc:wop:wisaes:383
  • The temporal relationship between Chicago corn and soybean cash prices, nearby futures prices, and interest rates is examined using daily 1980-1989 data. Johansen cointegration tests suggest joint movement of the three series over the data period considered. In addition, analyses of individual crop years, which is consistent with previous work, shows co-movement between cash, futures, and interest rates in years when bivariate cointegration between cash and futures prices was not found. The results provide initial empirical evidence that a potential limitation of previous research in the study of cash- futures simple efficiency has been the exclusion of the interest rate as a common stochastic factor explaining equilibrium in models of cash and futures prices.
  • RePEc:wop:wiaesp:383
Language
  • English
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