Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach
Xiaojie Xu ()
Additional contact information
Xiaojie Xu: North Carolina State University
Financial Markets and Portfolio Management, 2019, vol. 33, issue 2, No 3, 155-181
Abstract This paper examines the causal structure among the daily corn futures and seven cash price series from Midwestern states from January 3, 2006, to March 24, 2011, through a rolling approach that takes into account window sizes of a half, one, one and a half, and two years. Except for some testing samples, all series are tied together through cointegration and adjust toward the long-run relationship(s). Considering different forecasting lengths, the out-of-sample Granger causality test for each window generally reveals that no series gains persistent forecastability from another. These results shed light on the evolving causal structure among the different series. Discussions of empirical findings at a more granular level also are presented.
Keywords: Cash; Futures; Cointegration; Causality; Forecasting (search for similar items in EconPapers)
JEL-codes: C32 Q11 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s11408-019-00330-7 Abstract (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kap:fmktpm:v:33:y:2019:i:2:d:10.1007_s11408-019-00330-7
Ordering information: This journal article can be ordered from
http://www.springer. ... nt/journal/11408/PS2
Access Statistics for this article
Financial Markets and Portfolio Management is currently edited by Manuel Ammann
More articles in Financial Markets and Portfolio Management from Springer, Swiss Society for Financial Market Research Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla ().