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The Effects of Supply and Interest Rate Shocks in Commodity Futures Markets

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  • Gary E. Bond

Abstract

This paper extends previous studies of futures markets to highlight the role of expectations in the analysis of supply and interest rate shocks. Shocks which are expected to be permanent generally will create larger movements in spot and futures prices than shocks which are regarded as transitory. Further, the reactions of spot and futures prices may differ both qualitatively and quantitatively depending on whether new information refers to events in the current period or to likely developments in some future period. The results demonstrate the potential importance of capturing expectations effects in empirical studies of futures market behavior.

Suggested Citation

  • Gary E. Bond, 1984. "The Effects of Supply and Interest Rate Shocks in Commodity Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 66(3), pages 294-301.
    • Handle: RePEc:oup:ajagec:v:66:y:1984:i:3:p:294-301.
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    File URL: http://hdl.handle.net/10.2307/1240796
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    Cited by:

    1. Pagoulatos, Emilio & Azzam, Azzeddine & Kitazawa, Motoichiro, 1990. "An Econometric Analysis of the Forward Premium in the International Corn Market," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 17(3), pages 335-347.
    2. Dieter Hess & He Huang & Alexandra Niessen, 2008. "How do commodity futures respond to macroeconomic news?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(2), pages 127-146, June.
    3. Hua, Ping, 1998. "On Primary Commodity Prices: The Impact of Macroeconomic/Monetary Shocks," Journal of Policy Modeling, Elsevier, vol. 20(6), pages 767-790, December.
    4. Santos, Joseph, 2003. "Commodity futures contracts: Furnishing an elastic currency in the nineteenth century," Journal of Macroeconomics, Elsevier, vol. 25(4), pages 561-578, December.

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