Do Interest Rates Explain Disaggregate Commodity Price Growth?

Jason R.V. Franken, Philip Garcia and Scott Irwin

No 21319, 2006 Annual meeting, July 23-26, Long Beach, CA from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: The storage at a loss paradox - inventories despite an inadequate spot-futures price spread to cover storage costs - is an unresolved issue of long-standing interest to economists. Alternative explanations include risk premiums for futures market speculators, convenience yields from holding inventories, and mismeasurement/aggregation of data. Statistical analyses of regional- and elevator-level data suggest that aggregation can impact results, and that soybean price behavior is generally consistent with inter-temporal arbitrage conditions, while corn price behavior points to convenience yields at longer horizons.

Keywords: Risk; and; Uncertainty (search for similar items in EconPapers)
Pages: 29
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea06:21319

DOI: 10.22004/ag.econ.21319

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