EconPapers    
Economics at your fingertips  
 

Old crop versus new crop prices: Explaining the correlation

Francisco Arroyo Marioli

Journal of Futures Markets, 2020, vol. 40, issue 7, 1192-1208

Abstract: Although competitive storage theory has proven successful in explaining many patterns for commodity prices, some features are not understood. While standard models predict low correlation between future prices with delivery dates before and after the harvest, the data suggest otherwise. To correct this, I assume that harvests appear continuously rather than at a single moment. This addition to the standard model allows me to link preharvest and postharvest markets to the same source of supply, and hence obtain the empirically observed high correlation. Empirical evidence also suggests that my assumptions are realistic. Results are robust to different parameter specifications.

Date: 2020
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1002/fut.22106

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1192-1208

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-06-04
Handle: RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1192-1208