Campus Units

Economics

Document Type

Article

Publication Version

Accepted Manuscript

Publication Date

2012

Journal or Book Title

American Journal of Agricultural Economics

Volume

94

Issue

3

First Page or Article ID Number

718

Last Page

735

DOI

10.1093/ajae/aar137

Abstract

Futures markets on agricultural commodities typically trade with maximum maturity dates of less than four years. If these markets did trade with maturities eight or ten years distant, futures prices would have value as price forecasts and as a way to structure long-term swaps and insurance contracts. Agricultural commodity markets generally exhibit mean reversion in spot prices and convenience yields. Spot markets also exhibit seasonality. This study develops and implements a procedure to generate long-term futures curves from existing futures prices. Data on lean hogs and soybeans are used to show that the method provides plausible results.

Comments

This is a pre-copyedited, author-produced PDF of an article accepted for publication in American Journal of Agricultural Economics following peer review. The version of record is available online at: http://dx.doi.org/10.1093/ajae/aar137.

Copyright Owner

The Authors

Language

en

File Format

application/pdf

Published Version

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