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

Benavides, Guillermo

 
9783838363387: Commodity Prices, Options and Futures Behaviour: The Cases of Corn and Wheat with an Application to the Mexican (ASERCA) Scheme
Couverture souple
ISBN 10 : 3838363388 ISBN 13 : 9783838363387
Editeur : LAP LAMBERT Academic Publishing, 2010

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3838363388
ISBN 13 
9783838363387
Reliure
Broché
Nombre de pages
308
Coordonnées du fabricant
non disponible
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