Do Inventory and Time-to-Delivery Effects Vary Across Futures Contracts? Insights from a Smoothed Bayesian Estimator

Berna Karali, Jeffrey Dorfman () and Walter Thurman

No 6084, 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: We apply a new Bayesian approach to multiple-contract futures data to allow the inventory and time-to-delivery effects on volatility to vary across contracts. We find a varying negative relationship between lumber inventories and lumber futures price volatility. The inventory effect is smaller for the most recent contracts possibly due to increasing inventories over time. While this approach reveals the downward bias on the inventory effect introduced by restricting this parameter across contracts, it does not change the time-to-delivery effect.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 33
Date: 2008
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Citations: View citations in EconPapers (1)

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Journal Article: Do volatility determinants vary across futures contracts? Insights from a smoothed Bayesian estimator (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea08:6084

DOI: 10.22004/ag.econ.6084

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