Commodity Prices, Options and Futures Behaviour : The Cases of Corn and Wheat with an Application to the Mexican (ASERCA) Scheme

Language: English

Published by LAP LAMBERT Academic Publishing, 2010

3838363388 / 9783838363387

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nach der Bestellung gedruckt Neuware - Printed after ordering - An analysis of futures and spot price volatility of agricultural commodities including an assessment, from a social welfare perspective, of a Mexican- Government-Futures-Scheme (ASERCA futures-scheme) were conducted in this research project. The agricultural commodities under study were corn and wheat. For the volatility analysis an implication of the theory of storage and the Samuelson effect were tested using a restricted version of the BEKK model. The storage implication is that supply-and-demand fundamentals affect the price volatility of commodities whereas, for the Samuelson effect, spot prices are thought to be more volatile than futures prices. The same model estimates were then compared to option implied volatility and composite forecast models in order to find out which is the best model in terms of forecast accuracy. For the social welfare analysis a utility function and a non- structural model (VAR) were used in order to quantify the overall gains for the Mexican economy of the ASERCA futures scheme.…

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Title
Commodity Prices, Options and Futures Behaviour : The Cases of Corn and Wheat with an Application to the Mexican (ASERCA) Scheme
Author
Guillermo Benavides
Publisher
LAP LAMBERT Academic Publishing
Publication year
2010
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3838363388
ISBN 13
9783838363387
Item weight
477 grams
Dimensions
220x150x19 mm

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