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Author : Ronald W. Anderson
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.0/5 ( download)
Download or read book The Determinants of the Volatility of Futures Prices written by Ronald W. Anderson and published by . This book was released on 1982 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Camilleri
Publisher :
ISBN 13 :
Total Pages : 308 pages
Book Rating : 4.:/5 (223 download)
Download or read book Determinants of the Volatility of Futures Prices written by David Camilleri and published by . This book was released on 2002 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Terrence F. Martell
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.0/5 ( download)
Download or read book Determinants of Trading Volume in Futures Markets written by Terrence F. Martell and published by . This book was released on 1985 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Shaun K. Roache
Publisher : International Monetary Fund
ISBN 13 : 145520112X
Total Pages : 31 pages
Book Rating : 4.4/5 (552 download)
Download or read book What Explains the Rise in Food Price Volatility? written by Mr.Shaun K. Roache and published by International Monetary Fund. This book was released on 2010-05-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The macroeconomic effects of large food price swings can be broad and far-reaching, including the balance of payments of importers and exporters, budgets, inflation, and poverty. For market participants and policymakers, managing low frequency volatility—i.e., the component of volatility that persists for longer than one harvest year—may be more challenging as uncertainty regarding its persistence is likely to be higher. This paper measures the low frequency volatility of food commodity spot prices using the spline- GARCH approach. It finds that low frequency volatility is positively correlated across different commodities, suggesting an important role for common factors. It also identifies a number of determinants of low frequency volatility, two of which—the variation in U.S. inflation and the U.S. dollar exchange rate—explain a relatively large part of the rise in volatility since the mid-1990s.
Author : Matthias Kalkuhl
Publisher : Springer
ISBN 13 : 3319282018
Total Pages : 620 pages
Book Rating : 4.3/5 (192 download)
Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
Author : Berna Karali
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Do Volatility Determinants Vary across Futures Contracts? Insights from a Smoothed Bayesian Estimator written by Berna Karali and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We apply a new Bayesian approach to multiple-contract futures data. It allows the volatility of futures prices to depend upon physical inventories and the contract's time to delivery - and it allows those parametric effects to vary over time. We find a time-varying negative relationship between lumber inventories and lumber futures price volatility. The Bayesian approach leads to different conclusions regarding the size of the inventory effect than does the standard method of parametric restrictions across contracts. The inventory effect is smaller for the most recent contracts, possibly due to increasing inventories over time. In contrast, the Bayesian approach does not lead to substantively different conclusions about the time-to-delivery effect than do traditional frequentist methods.
Author : Jean-Paul Chavas
Publisher : University of Chicago Press
ISBN 13 : 022612892X
Total Pages : 394 pages
Book Rating : 4.2/5 (261 download)
Download or read book The Economics of Food Price Volatility written by Jean-Paul Chavas and published by University of Chicago Press. This book was released on 2014-10-14 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.
Author : Jau-Lian Jeng
Publisher :
ISBN 13 :
Total Pages : 354 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Volatility of Futures Prices written by Jau-Lian Jeng and published by . This book was released on 1991 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Woradee Jongadsayakul
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)
Download or read book Determinants of Silver Futures Price Volatility written by Woradee Jongadsayakul and published by . This book was released on 2016 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research studies determinants of silver futures price volatility in Thailand Futures Exchange using generalized autoregressive conditional heteroskedasticity model. The sample data consist of daily closing price, volume, and open interest of silver futures from the period June 21, 2011 to December 26, 2012 for the nearby month contract with 376 sample data points. I construct data sample by switching or rolling over to the next maturing contract one day before the expiration date. The empirical results reveal there is no significant relationship between volatility and time to expiration. There are a negative role for trading volume and a positive role for open interest in determining silver futures price volatility. The analysis of silver futures price volatility insists the Clearing House that margin requirements for silver futures should not be affected as the time to maturity of the contract decreases. The findings are also helpful to risk managers dealing with silver futures and predicting silver futures price volatility.
Author : Robert S. Pindyck
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (523 download)
Download or read book Volatility and Commodity Price Dynamics written by Robert S. Pindyck and published by . This book was released on 2001 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity prices tend to be volatile, and volatility itself varies over time. changes in volatility can affect market variables by directly affecting the marginal value of storage, and by affecting a component of the total marginal cost of productions: the opportunity cost of exercising the option to produce the commodity now rather than waiting for more price information. I examine the role of volatility in short-run commodity market dynamics, as well as the determinants of volatility itself. Specifically, I develop a model describing the joint dynamics of inventories, spot and futures prices, and volatility, and estimate it using daily and weekly data for the petroleum complex: crude oil, heating oil, and gasoline.
Author : Isabelle Piot-Lepetit
Publisher : Springer Science & Business Media
ISBN 13 : 1441976345
Total Pages : 238 pages
Book Rating : 4.4/5 (419 download)
Download or read book Methods to Analyse Agricultural Commodity Price Volatility written by Isabelle Piot-Lepetit and published by Springer Science & Business Media. This book was released on 2011-06-10 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the issue of price volatility in agricultural commodities markets and how this phenomenon has evolved in recent years. The factors underlying the price spike of 2007-08 appear to be global and macroeconomic in nature, including the rapid growth in demand by developing countries, the international financial crisis, and exchange rate movements. Some of these factors are new, appearing as influences on price volatility only in the last decade. Although volatility has always been a feature of agricultural commodity markets, the evidence suggests that volatility has increased in certain commodity markets. A growing problem is that agricultural price shocks and volatility disrupt agricultural markets, economic incentives and incomes. With increased globalization and integration of financial and energy markets with agricultural commodity markets, the relationships between markets are expanding and becoming more complex. When a crisis such as a regional drought, food safety scare or a financial crisis hits a particular market, policy-makers often do not know the extent to which it will impact on other markets and affect producer, consumer and trader decisions. Including contributions from experts at the World Bank, the Food and Agriculture Organization of the United Nations, the USDA, and the European Commission, the research developed throughout the chapters of this book is based on current methodologies that can be used to analyze price volatility and provide directions for understanding this volatility and the development of new agricultural policies. The book highlights the challenges facing policy makers in dealing with the changing nature of agricultural commodities markets, and offers recommendations for anticipating price movements and managing their consequences. It will be a practical guide for both present and future policy-makers in deciding on potential price-stabilizing interventions, and will also serve as a useful resource for researchers and students in agricultural economics.
Author : Seak Yau Loh
Publisher :
ISBN 13 :
Total Pages : 100 pages
Book Rating : 4.:/5 (969 download)
Download or read book An Analysis of Some Determinants of Stock Price Volatility in the U.S. Market written by Seak Yau Loh and published by . This book was released on 1993 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Diego J. Gavilanez Hernandez
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (816 download)
Download or read book Factors Influencing Price Volatility on Soybeans Futures Prices written by Diego J. Gavilanez Hernandez and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Craig Pirrong
Publisher : Cambridge University Press
ISBN 13 : 1139501976
Total Pages : 238 pages
Book Rating : 4.1/5 (395 download)
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author : Richard C. Stapleton
Publisher :
ISBN 13 :
Total Pages : 51 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Term Structure of Interest-Rate Future Prices written by Richard C. Stapleton and published by . This book was released on 2008 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive general properties of two-factor models of the term structure of interest rates and, in particular, the process for futures prices and rates. Then, as a special case, we derive a no-arbitrage model of the term structure in which any two futures rates act as factors. The term structure shifts and tilts as the factor rates vary. The cross-sectional properties of the model derive from the solution of a two-dimensional autoregressive process for the short-term rate, which exhibits both mean reversion and a lagged persistence parameter. We show that the correlation of the futures rates is restricted by the no-arbitrage conditions of the model. In addition, we investigate the determinants of the volatility of the futures rates of various maturities. These are shown to be related to the volatilities of the short rate, the volatility of the second factor, the degree of mean reversion and the persistence of the second factor shock. We obtain specific results for futures rates in the case where the logarithm of the short-term rate [e.g., the London Inter-Bank Offer Rate (Libor)] follows a two-dimensional process. Our results lead to empirical hypotheses that are testable using data from the liquid market for Eurocurrency interest rate futures contracts.
Author : Jean-Paul Chavas
Publisher : University of Chicago Press
ISBN 13 : 022612908X
Total Pages : 394 pages
Book Rating : 4.2/5 (261 download)
Download or read book The Economics of Food Price Volatility written by Jean-Paul Chavas and published by University of Chicago Press. This book was released on 2014-10-17 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been an increase in food price instability in recent years, with varied consequences for farmers, market participants, and consumers. Before policy makers can design schemes to reduce food price uncertainty or ameliorate its effects, they must first understand the factors that have contributed to recent price instability. Does it arise primarily from technological or weather-related supply shocks, or from changes in demand like those induced by the growing use of biofuel? Does financial speculation affect food price volatility? The researchers who contributed to The Economics of Food Price Volatility address these and other questions. They examine the forces driving both recent and historical patterns in food price volatility, as well as the effects of various public policies in affecting this volatility. The chapters include studies of the links between food and energy markets, the impact of biofuel policy on the level and variability of food prices, and the effects of weather-related disruptions in supply. The findings shed light on the way price volatility affects the welfare of farmers, traders, and consumers.
Author : Richard C. Stapleton
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Term Structure of Interest-Rate Futures Prices written by Richard C. Stapleton and published by . This book was released on 2008 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive general properties of two-factor models of the term structure of interest rates and, in particular, the process for futures prices and rates. Then, as a special case, we derive a no-arbitrage model of the term structure in which any two futures rates act as factors. The term structure shifts and tilts as the factor rates vary. The cross-sectional properties of the model derive from the solution of a two dimensional autoregressive process for the short-term rate, which exhibits both mean reversion and a lagged persistence parameter. We show that the correlation of the futures rates is restricted by the no-arbitrage conditions of the model. In addition, we investigate the determinants of the volatility of the futures rates of various maturities. These are shown to be related to the volatilities of the short rate, the volatility of the second factor, the degree of mean reversion and the persistence of the second factor shock. We obtain specific results for futures rates in the case where the logarithm of the short-term rate [e.g., the London Inter-Bank Offer Rate (Libor)] follows a two-dimensional process. Our results lead to empirical hypotheses that are testable using data from the liquid market for Eurocurrency interest rate futures contracts.
