S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
Department of Finance, Copenhagen Business School Working Paper Series, Department of Finance, Copenhagen Business School

No 1999-14:
Seasonality in Agricultural Commodity Futures

Carsten Sørensen

Abstract: The stochastic behavior of agricultural commodity prices is investigated using ob-

servations of the term structures of futures prices over time. The continuous time

dynamics of (log-) commodity prices are modeled as a sum of a deterministic sea-

sonal component, a non-stationary state-variable, and a stationary state-variable.

Futures prices are established by standard no-arbitrage arguments and the Kalman

lter methodology is used to estimate the model parameters for corn futures, soy-

bean futures, and wheat futures based on weekly data from the Chicago Board of

Trade for the period 1972-1997. Furthermore, in a discussion of the estimated sea-

sonal patterns in agricultural commodity prices, we provide empirical evidence on

the theory of storage that predicts a negative relationship between stocks of inven-

tory and convenience yields; in particular, convenience yields used in this analysis

are extracted using the Kalman lter.

Keywords: Asset Pricing; (follow links to similar papers)

JEL-Codes: G12; (follow links to similar papers)

39 pages, December 1, 1999

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

8790705300.pdf    PDF-file
Download Statistics

Questions (including download problems) about the papers in this series should be directed to Lars Nondal ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:cbsfin:1999_014 This page was generated on 2014-12-14 19:21:43