Chapter1976

The Simultaneous Determination of Spot and Futures Prices

414 citations0/0 files storedPalgrave Macmillan UK eBooks

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Economics of Agriculture and Food Markets Market Dynamics and Volatility Economic theories and models

Abstract

This paper develops a simple geometric technique for the simultaneous determination of spot and futures prices in commodity markets; and it explains the allocation between hedged and unhedged holdings of stocks. On the basis of this analysis, it is possible to determine whether changes in spot and futures prices have occurred as a result of (a) changes in the excess supply of current production, or (b) changes in price expectations. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Citations in this library

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References

2019American Economic Review 2010Review of Economic Studies 1958Futures Trading and the Storage of Cotton and Wheat 1976The Supply of Storage 1960The Allocation of Economic Resources

Cited by

2002Some Recent Developments in Futures Hedging 1993Hedging with stock index futures: Estimation and forecasting with error correction model 2010Modelling and measuring price discovery in commodity markets 1983The Determination of Spot and Futures Prices with Storable Commodities 2001The Risk Management Process: Business Strategy and Tactics 1984The optimal hedge ratio in unbiased futures markets 1980Hedging and Joint Production: Theory and Illustrations 2004A selected review of agricultural commodity futures and options markets

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