This paper investigates the long-run relationship between spot and futures prices for corn and soybeans, for the period January 2004 -September 2010. We apply cointegration methodology in the presence of potentially unknown structural breaks in the commodities prices and we then study the causality relationships between spot and futures prices within each specific sub-period identified, with the aim to analyze where changes in spot and futures price originate and how they spread. Empirical estimates highlight the following evidence: i) breaks relate to events that have significantly affected the supply and demand of corn and soybeans for food and energy purposes; ii) sub-periods consequently identified express different dynamics in the causal relationship between spot and futures prices and support the idea that supply and demand fundamentals are important in explaining the 2007-2008 food price increase
Price discovery in agricultural commodities : the shifting relationship between spot and futures prices / L. Baldi, M. Peri, D. Vandone. ((Intervento presentato al convegno European Association of Agricultural Economists (EAAE) 2011 Congress : Change and Uncertainty Challenges for Agriculture, Food and Natural Resources tenutosi a Zurich, Switzerland nel 2011.
Price discovery in agricultural commodities : the shifting relationship between spot and futures prices
L. BaldiPrimo
;M. PeriSecondo
;D. VandoneUltimo
2011
Abstract
This paper investigates the long-run relationship between spot and futures prices for corn and soybeans, for the period January 2004 -September 2010. We apply cointegration methodology in the presence of potentially unknown structural breaks in the commodities prices and we then study the causality relationships between spot and futures prices within each specific sub-period identified, with the aim to analyze where changes in spot and futures price originate and how they spread. Empirical estimates highlight the following evidence: i) breaks relate to events that have significantly affected the supply and demand of corn and soybeans for food and energy purposes; ii) sub-periods consequently identified express different dynamics in the causal relationship between spot and futures prices and support the idea that supply and demand fundamentals are important in explaining the 2007-2008 food price increasePubblicazioni consigliate
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