The Effects of Commodity and Market Characteristics on Futures Basis Variability

S. J. Monson

No 270515, 1989 Annual Meeting, July 30-August 2, Baton Rouge, Louisiana from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: A cross commodity approach including storable and nonstorables was used to analyze the basis at constant periods from contract maturity. Various commodity and market characteristics that increase arbitrage potential were found to be significant in decreasing variability in the basis residual, thereby reducing basis risk.

Keywords: Agricultural and Food Policy; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 14
Date: 1989-07-30
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea89:270515

DOI: 10.22004/ag.econ.270515

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