Further evidence on the explanatory power of spot food and energy commodities market prices for futures prices

Phillip A. Cartwright () and Natalija Riabko ()
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Phillip A. Cartwright: ESG Management School
Natalija Riabko: FranceAgriMer

Review of Quantitative Finance and Accounting, 2016, vol. 47, issue 3, No 6, 579-605

Abstract: Abstract This research is focused on analyzing spillover effects from crude oil to agricultural commodities futures markets. Moreover, emphasis is placed on the “reverse” relationships between spot and futures markets with particular attention given to the interrelationships. The study is interesting for reasons of economics and finance as well as for taking into account geo-political considerations. This study lends insight into the empirical validity of reverse regressions hypothesizing that spot prices today contain information useful for predicting forward rates in the future. This paper considers the importance of the effects of temporal aggregation as well as alternative time series model specifications and assumptions on the distributions of residuals. In addition to the assumption of normality, the paper considers use of a fat-tailed distribution (multivariate t-distribution) to examine the robustness of results that are based on the normality assumption. Finally, models are compared in terms of ex post predictive validity.

Keywords: Commodities prices; Oil; Temporal aggregation; Causality; Non-normality (search for similar items in EconPapers)
JEL-codes: C1 D4 G1 Q14 Q4 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11156-015-0513-5

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