The Effect of Planting on the Volatility of Grain Futures Prices

David A. Hennessy and Thomas I. Wahl

No 285632, 1981-1999 Conference Archive from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Existing literature on commodity futures price volatility emphasizes time to expiration and the resolution of uncertainty. This paper stresses the supply and demand infexibilities arising from decision making. A decision made on the supply (demand) side makes future supply (demand) responses less elastic. Therefore, a shock arising after a decision is made is more effective in changing the futures price than a shock before the decision is made. The results support the maturity hypothesis but do not conflct with the state variable hypothesis of futures price volatility.

Keywords: Marketing (search for similar items in EconPapers)
Date: 1995-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nc8191:285632

DOI: 10.22004/ag.econ.285632

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