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Evidence for a weather persistence effect on the corn, wheat, and soybean growing season price dynamics
Author(s) -
Stevens Stanley C.
Publication year - 1991
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.3990110108
Subject(s) - futures contract , volatility (finance) , citation , agricultural economics , economics , yield (engineering) , financial economics , library science , computer science , materials science , metallurgy
The growing season weather in the corn, wheat and soybean production areas of the United States is an important determinant of the U.S. supply of these commodities. The weather and climatology literature strongly suggest that during the summer months there is a degree of persistence in the North American weather patterns. Given this nonrandom character of weather and given that the corn, wheat and soybean belts are geographically concentrated enough to be dominated by a regional weather phenomenon, their futures markets are hypothesized to reflect this assimilation of nonrandom weather information as nonrandom price fluctuations. An empirical test of this question is the subject of this paper.