IDEAS home Printed from https://ideas.repec.org/p/cdl/agrebk/qt3p3028t6.html
   My bibliography  Save this paper

Linkages among commodity futures markets and dynamic welfare analysis

Author

Listed:
  • Rausser, Gordon C.
  • Walraven, Nicholas A.

Abstract

This study constructs dynamic welfare measures for a system of futures markets that express the allocative efficiency of a particular market as a function of its accuracy and speed of adjustment following a shock to the system. The system comprises futures prices for T-bills, exchange rates (German mark, British pound, Canadian dollar and yen), and agricultural commodities (corn, wheat, and cotton) for delivery in 1981 and 1982. The results suggest that, although agricultural, exchange, and financial markets allover-react to a disturbance, agricultural markets do so to a much greater degree. Owing to their much greater size, however, the welfare loss arising from the overshooting is likely to be much larger for interest rate and exchange markets.

Suggested Citation

  • Rausser, Gordon C. & Walraven, Nicholas A., 1990. "Linkages among commodity futures markets and dynamic welfare analysis," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt3p3028t6, Department of Agricultural & Resource Economics, UC Berkeley.
    • Handle: RePEc:cdl:agrebk:qt3p3028t6
    as

    Download full text from publisher

    File URL: https://www.escholarship.org/uc/item/3p3028t6.pdf;origin=repeccitec
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Rausser, Gordon C. & Chalfant, James A. & Stamoulis, Kostas G., 1985. "Instability in agricultural markets: the U.S. experience," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt5zp3w60h, Department of Agricultural & Resource Economics, UC Berkeley.
    2. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
    3. Stein, Jerome L, 1981. "Speculative Price: Economic Welfare and the Idiot of Chance," The Review of Economics and Statistics, MIT Press, vol. 63(2), pages 223-232, May.
    4. Zellner, Arnold & Palm, Franz, 1974. "Time series analysis and simultaneous equation econometric models," Journal of Econometrics, Elsevier, vol. 2(1), pages 17-54, May.
    5. Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-622, September.
    6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    7. Rausser, Gordon C & Carter, Colin, 1983. "Futures Market Efficiency in the Soybean Complex," The Review of Economics and Statistics, MIT Press, vol. 65(3), pages 469-478, August.
    8. Gershon Feder & Richard E. Just & Andrew Schmitz, 1980. "Futures Markets and the Theory of the Firm under Price Uncertainty," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 94(2), pages 317-328.
    9. Holthausen, Duncan M, 1979. "Hedging and the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 69(5), pages 989-995, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Post-Print hal-01613916, HAL.
    2. Stefani, Gianluca & Valli, Carlotta, 2004. "Exploring the Impacts of Risk Communication Policies on Welfare: Theoretical Aspects," 84th Seminar, February 8-11, 2004, Zeist, The Netherlands 24989, European Association of Agricultural Economists.
    3. Wolfram Schlenker & Sofia B. Villas-Boas, 2009. "Consumer and Market Responses to Mad Cow Disease," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 91(4), pages 1140-1152.
    4. Wolfram Schlenker & Sofia B. Villas-Boas, 2009. "Consumer and Market Responses to Mad Cow Disease," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 91(4), pages 1140-1152.
    5. repec:dau:papers:123456789/11382 is not listed on IDEAS
    6. Colin A. Carter & Gordon C. Rausser & Aaron Smith, 2011. "Commodity Booms and Busts," Annual Review of Resource Economics, Annual Reviews, vol. 3(1), pages 87-118, October.
    7. repec:ipg:wpaper:2013-019 is not listed on IDEAS
    8. repec:ipg:wpaper:19 is not listed on IDEAS

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Rausser, Gordon C & Walraven, Nicholas A, 1990. "Linkages among Commodity Futures Markets and Dynamic Welfare Analysis," The Review of Economics and Statistics, MIT Press, vol. 72(4), pages 631-639, November.
    2. Rausser, Gordon C. & Walraven, Nicholas, 1988. "Dynamic welfare analysis and commodity futures markets overshooting," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt7xc0k7s1, Department of Agricultural & Resource Economics, UC Berkeley.
    3. Rausser, Gordon C., 1985. "Agriculture, trade, and macroeconomics," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt7gb46609, Department of Agricultural & Resource Economics, UC Berkeley.
    4. Rausser, Gordon C & Carter, Colin, 1983. "Futures Market Efficiency in the Soybean Complex," The Review of Economics and Statistics, MIT Press, vol. 65(3), pages 469-478, August.
    5. Charles Engel & Kenneth D. West, 2005. "Exchange Rates and Fundamentals," Journal of Political Economy, University of Chicago Press, vol. 113(3), pages 485-517, June.
    6. Debabrata Bagchi & Georgios E. Chortareas & Stephen M. Miller, 2004. "The Real Exchange Rate in Small, Open, Developed Economies: Evidence from Cointegration Analysis," The Economic Record, The Economic Society of Australia, vol. 80(248), pages 76-88, March.
    7. Awad, Taleb Mohammad, 1987. "International monetary and exchange rate policies and world agricultural markets: the case of soybeans and soybean products," ISU General Staff Papers 198701010800009611, Iowa State University, Department of Economics.
    8. Christophe Gouel, 2012. "Agricultural Price Instability: A Survey Of Competing Explanations And Remedies," Journal of Economic Surveys, Wiley Blackwell, vol. 26(1), pages 129-156, February.
    9. Raghavan, Mala & Athanasopoulos, George, 2019. "Analysis of shock transmissions to a small open emerging economy using a SVARMA model," Economic Modelling, Elsevier, vol. 77(C), pages 187-203.
    10. Schiff, Maurice & Valdes, Alberto, 1998. "Agriculture and the macroeconomy," Policy Research Working Paper Series 1967, The World Bank.
    11. Dal Bianco, Marcos & Camacho, Maximo & Perez Quiros, Gabriel, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 377-396.
    12. Park, Timothy A. & Antonovitz, Frances, 1991. "Econometric Tests Of Firm Decision Making Under Uncertainty: Optimal Output And Hedging Decisions," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271264, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    13. Niko Hauzenberger & Florian Huber, 2020. "Model instability in predictive exchange rate regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 168-186, March.
    14. Rangan Gupta & Stephen Miller, 2012. "“Ripple effects” and forecasting home prices in Los Angeles, Las Vegas, and Phoenix," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 48(3), pages 763-782, June.
    15. Chinn, Menzie D., 2000. "Before the fall: were East Asian currencies overvalued?," Emerging Markets Review, Elsevier, vol. 1(2), pages 101-126, September.
    16. Pericoli, Marcello & Taboga, Marco, 2012. "Bond risk premia, macroeconomic fundamentals and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 42-65.
    17. Garcia, Philip & Hudson, Michael A. & Waller, Mark L., 1988. "The Pricing Efficiency of Agricultural Futures Markets: An Analysis of Previous Research Results," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 20(1), pages 119-130, July.
    18. Jennifer Castle & Takamitsu Kurita, 2019. "Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks," Economics Series Working Papers 866, University of Oxford, Department of Economics.
    19. Rangan Gupta & Alain Kabundi & Stephen Miller & Josine Uwilingiye, 2014. "Using large data sets to forecast sectoral employment," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(2), pages 229-264, June.
    20. Scholl, Almuth & Uhlig, Harald, 2008. "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," Journal of International Economics, Elsevier, vol. 76(1), pages 1-13, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cdl:agrebk:qt3p3028t6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lisa Schiff (email available below). General contact details of provider: https://edirc.repec.org/data/dabrkus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.