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The Effects of Supply and Interest Rate Shocks in Commodity Futures Markets
Author(s) -
Bond Gary E.
Publication year - 1984
Publication title -
american journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 111
eISSN - 1467-8276
pISSN - 0002-9092
DOI - 10.2307/1240796
Subject(s) - futures contract , economics , spot contract , commodity , interest rate , futures market , financial economics , forward market , monetary economics , econometrics , finance
This paper extends previous studies of futures markets to highlight the role of expectations in the analysis of supply and interest rate shocks. Shocks which are expected to be permanent generally will create larger movements in spot and futures prices than shocks which are regarded as transitory. Further, the reactions of spot and futures prices may differ both qualitatively and quantitatively depending on whether new information refers to events in the current period or to likely developments in some future period. The results demonstrate the potential importance of capturing expectations effects in empirical studies of futures market behavior.