Download or read book The Determinants of the Volatility of Futures Prices written by Ronald W. Anderson and published by . This book was released on 1982 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Determinants of the Volatility of Futures Prices written by David Camilleri and published by . This book was released on 2002 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Determinants of Trading Volume in Futures Markets written by Terrence F. Martell and published by . This book was released on 1985 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.

Download or read book What Explains the Rise in Food Price Volatility written by Mr.Shaun K. Roache and published by International Monetary Fund. This book was released on 2010-05-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The macroeconomic effects of large food price swings can be broad and far-reaching, including the balance of payments of importers and exporters, budgets, inflation, and poverty. For market participants and policymakers, managing low frequency volatility—i.e., the component of volatility that persists for longer than one harvest year—may be more challenging as uncertainty regarding its persistence is likely to be higher. This paper measures the low frequency volatility of food commodity spot prices using the spline- GARCH approach. It finds that low frequency volatility is positively correlated across different commodities, suggesting an important role for common factors. It also identifies a number of determinants of low frequency volatility, two of which—the variation in U.S. inflation and the U.S. dollar exchange rate—explain a relatively large part of the rise in volatility since the mid-1990s.

Download or read book Do Volatility Determinants Vary across Futures Contracts Insights from a Smoothed Bayesian Estimator written by Berna Karali and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We apply a new Bayesian approach to multiple-contract futures data. It allows the volatility of futures prices to depend upon physical inventories and the contract's time to delivery - and it allows those parametric effects to vary over time. We find a time-varying negative relationship between lumber inventories and lumber futures price volatility. The Bayesian approach leads to different conclusions regarding the size of the inventory effect than does the standard method of parametric restrictions across contracts. The inventory effect is smaller for the most recent contracts, possibly due to increasing inventories over time. In contrast, the Bayesian approach does not lead to substantively different conclusions about the time-to-delivery effect than do traditional frequentist methods.

Download or read book The Volatility of Futures Prices written by Jau-Lian Jeng and published by . This book was released on 1991 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volatility and Commodity Price Dynamics written by Robert S. Pindyck and published by . This book was released on 2001 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity prices tend to be volatile, and volatility itself varies over time. changes in volatility can affect market variables by directly affecting the marginal value of storage, and by affecting a component of the total marginal cost of productions: the opportunity cost of exercising the option to produce the commodity now rather than waiting for more price information. I examine the role of volatility in short-run commodity market dynamics, as well as the determinants of volatility itself. Specifically, I develop a model describing the joint dynamics of inventories, spot and futures prices, and volatility, and estimate it using daily and weekly data for the petroleum complex: crude oil, heating oil, and gasoline.

Download or read book Methods to Analyse Agricultural Commodity Price Volatility written by Isabelle Piot-Lepetit and published by Springer Science & Business Media. This book was released on 2011-06-10 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the issue of price volatility in agricultural commodities markets and how this phenomenon has evolved in recent years. The factors underlying the price spike of 2007-08 appear to be global and macroeconomic in nature, including the rapid growth in demand by developing countries, the international financial crisis, and exchange rate movements. Some of these factors are new, appearing as influences on price volatility only in the last decade. Although volatility has always been a feature of agricultural commodity markets, the evidence suggests that volatility has increased in certain commodity markets. A growing problem is that agricultural price shocks and volatility disrupt agricultural markets, economic incentives and incomes. With increased globalization and integration of financial and energy markets with agricultural commodity markets, the relationships between markets are expanding and becoming more complex. When a crisis such as a regional drought, food safety scare or a financial crisis hits a particular market, policy-makers often do not know the extent to which it will impact on other markets and affect producer, consumer and trader decisions. Including contributions from experts at the World Bank, the Food and Agriculture Organization of the United Nations, the USDA, and the European Commission, the research developed throughout the chapters of this book is based on current methodologies that can be used to analyze price volatility and provide directions for understanding this volatility and the development of new agricultural policies. The book highlights the challenges facing policy makers in dealing with the changing nature of agricultural commodities markets, and offers recommendations for anticipating price movements and managing their consequences. It will be a practical guide for both present and future policy-makers in deciding on potential price-stabilizing interventions, and will also serve as a useful resource for researchers and students in agricultural economics.

Download or read book Determinants of Silver Futures Price Volatility written by Woradee Jongadsayakul and published by . This book was released on 2016 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research studies determinants of silver futures price volatility in Thailand Futures Exchange using generalized autoregressive conditional heteroskedasticity model. The sample data consist of daily closing price, volume, and open interest of silver futures from the period June 21, 2011 to December 26, 2012 for the nearby month contract with 376 sample data points. I construct data sample by switching or rolling over to the next maturing contract one day before the expiration date. The empirical results reveal there is no significant relationship between volatility and time to expiration. There are a negative role for trading volume and a positive role for open interest in determining silver futures price volatility. The analysis of silver futures price volatility insists the Clearing House that margin requirements for silver futures should not be affected as the time to maturity of the contract decreases. The findings are also helpful to risk managers dealing with silver futures and predicting silver futures price volatility.

Download or read book An Analysis of Some Determinants of Stock Price Volatility in the U S Market written by Seak Yau Loh and published by . This book was released on 1993 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Economics of Food Price Volatility written by Jean-Paul Chavas and published by University of Chicago Press. This book was released on 2014-10-14 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.

Download or read book The Theory of Futures Markets written by Paul Weller and published by Wiley-Blackwell. This book was released on 1992-01 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: Increasing financial sophistication and the recent acceleration in the pace of financial innovation has led to a dramatic growth in the economic significance of futures markets. In particular, the volume of trade in financial futures has mushroomed over the last decade, and in the case of stock index futures now rivals that of trade in the stocks themselves. Given the greater prominence of these markets, it is important for both students and academics to be aware of recent advances in the theoretical understanding of their function and performance. This volume examines a wide range of issues which arise in the theory of futures markets. An introductory chapter analyses a simple equilibrium model of a futures market and focuses upon the role of the market in spreading risk. Other chapters examine such issues as the following: conditions under which trading in futures markets leads to a fully efficient reallocation of risk; the role of different assumptions about expectations formation on the nature of equilibrium; the affect of trading futures on price volatility in the spot market; the provision of liquidity and the role of transactions costs; the extent to which futures prices reveal traders' private information; determinants of hedging and speculative trading decisions; factors influencing the likelihood of a manipulation of the market i.e., a corner or squeeze; the importance of program trading and dynamic hedging strategies on price volatility in equity markets. The breadth and timeliness of the book will ensure it becomes a standard reference for academics and professionals working in financial markets.

Download or read book Factors Influencing Price Volatility on Soybeans Futures Prices written by Diego J. Gavilanez Hernandez and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Interest Rate Future Prices written by Richard C. Stapleton and published by . This book was released on 2008 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive general properties of two-factor models of the term structure of interest rates and, in particular, the process for futures prices and rates. Then, as a special case, we derive a no-arbitrage model of the term structure in which any two futures rates act as factors. The term structure shifts and tilts as the factor rates vary. The cross-sectional properties of the model derive from the solution of a two-dimensional autoregressive process for the short-term rate, which exhibits both mean reversion and a lagged persistence parameter. We show that the correlation of the futures rates is restricted by the no-arbitrage conditions of the model. In addition, we investigate the determinants of the volatility of the futures rates of various maturities. These are shown to be related to the volatilities of the short rate, the volatility of the second factor, the degree of mean reversion and the persistence of the second factor shock. We obtain specific results for futures rates in the case where the logarithm of the short-term rate [e.g., the London Inter-Bank Offer Rate (Libor)] follows a two-dimensional process. Our results lead to empirical hypotheses that are testable using data from the liquid market for Eurocurrency interest rate futures contracts.

Download or read book Three Essays on Volatility and Information Content of Futures Markets written by Pavel Teterin and published by . This book was released on 2018 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes three essays on volatility and information content of futures markets. This work gives new insight into the structural changes in volatility, the information content of global interest rate futures, and the time-series behavior of the volatility term structure. The first essay examines structural volatility shifts U.S. crude oil and corn futures markets. In trying to capture the interrelations present in the two markets, we take seriously the importance of properly modelling smooth structural shifts. We incorporate trigonometric functions into a multivariate GARCH model of crude and corn futures prices to obtain the empirical volatility response functions and the time-varying correlation coefficient. Although both short-term and long-term futures exhibit shifts in the mean and volatility, volatility shifts do not manifest themselves in the same manner for different maturities. In the second essay, we investigate the term structure of interest rate futures in the US, Eurozone, United Kingdom, and Switzerland and empirically document five unique results. First, implied USD futures rates contain significantly different information compared to USD spot rates. Second, the four interest rate futures contracts contain similar information that is driven by one common component. Third, implied futures rates contain more information regarding future rate changes than return premiums. Fourth, information shifts are associated with macroeconomic conditions and central bank policies. Finally, significant information shifts occurred during the 2013-2015 time frame, which were greater than those of the great recessionary period of 2008-2009. The third essay focuses on the Samuelson hypothesis, a proposition that futures volatility declines with maturity. We study the strength of the Samuelson effect over time in ten most actively traded U.S. commodity futures. Capturing the dynamics of the futures volatility term structure with three factors, we show that in most markets the slope factor is strongly negative in certain periods and only weakly or not at all negative in other periods. Consistent with the linkage between carry arbitrage and the Samuelson hypothesis, we find that high inventory levels correspond to a flatter volatility term structure. We also find that a flatter volatility term structure corresponds to lower absolute futures term premiums.

Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.