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Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange

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  • Ramaprasad Bhar
  • Shigeyuki Hamori

Abstract

In this paper, we propose a discrete version of the short-term and long-term component model of the agricultural futures prices. The maximum likelihood estimate of each parameter is obtained using an adaptive filtering algorithm. The diagnostics statistically support the specification of the model. The short-term components exhibit no causal relationship with economic fundamentals such as inflation rate and economic growth rate. These components, therefore, seem to be driven mainly by fads rather than market fundamentals. On the other hand, the long-term components show conitegrating relationship with only one cointegrating vector among the three futures contracts examined. Copyright Springer Science+Business Media, LLC 2006

Suggested Citation

  • Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 1-9, March.
    • Handle: RePEc:kap:apfinm:v:13:y:2006:i:1:p:1-9
    DOI: 10.1007/s10690-007-9032-2
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    2. Hazrana, Jaweriah, 2017. "Modelling International Oilseed Prices: An Application Of The Structural Time Series Model," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 5(2), April.

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    More about this item

    Keywords

    Agricultural futures; Kalman filter; Fads; G12;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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