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This study investigates the relationship between cash and future prices of soybeans and soybean meal over periods of high and low price variability. Error Correction models are estimated for each commodity’s cash and futures price. An exogenous measure of price variability is included in the model to determine if variability influences the equilibrium adjustment process. This, in turn, is used to measure the impact of price variability on short run market efficiency and the price discovery process. The analysis is applied to daily cash and futures prices from 1992 to 2013. The findings support the idea that increased price variability increases market adjustment rates and the price discovery process.

Keywords: soybean prices ; cash markets ; futures markets ; price discovery ; price variability

Subject(s): Demand and Price Analysis

Research Methods/ Statistical Methods

Issue Date: 2015

Publication Type: Conference Paper/ Presentation

PURL Identifier: http://purl.umn.edu/201850

Total Pages: 31

JEL Codes: C22; C58

Note: These represent the work of the authors Carlos Arnade and Linwood Hoffman but may not represent the views of the Economic Research Service or USDA

Record appears in: Agricultural and Applied Economics Association (AAEA) > 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California





Autor: Arnade, Carlos ; Hoffman, Linwood

Fuente: http://ageconsearch.umn.edu/record/201850?ln=en



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