000156246 001__ 156246
000156246 005__ 20180122230242.0
000156246 037__ $$a870-2016-60752
000156246 041__ $$aen_US
000156246 245__ $$aChanging Price Dynamics in Agricultural Commodity Markets
000156246 260__ $$c2013
000156246 269__ $$a2013
000156246 270__ $$mguenther.filler@agrar.hu-berlin.de$$pFiller,   Günther
000156246 300__ $$a2
000156246 336__ $$aConference Paper/ Presentation
000156246 490__ $$aPoster
000156246 490__ $$aP3
000156246 520__ $$aWe analyze the speed of mean reversion (k) in the convenience yield and the spot price volatility for 7 US commodities between 1989-2012. In the hog market k is large, soybeans exhibit the lowest values. While for 5 of 7 commodities κ is lower in the more recent period (2005-2012) than in the pre energy period, soybeans and copper show the opposite behavior. A decreasing speed of k implies that the growth rate of the futures prices rises and thus the gap between the nearest and the farthest maturities increases. The estimated spot price volatilities increased for agricultural commodities.
000156246 542__ $$fLicense granted by Kerstin Oertel (k.oertel@agrar.hu-berlin.de) on 2013-09-05T08:52:06Z (GMT):

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000156246 650__ $$aDemand and Price Analysis
000156246 650__ $$aRisk and Uncertainty
000156246 6531_ $$aAgricultural commodity markets
000156246 6531_ $$aPrice dynamics
000156246 6531_ $$aTerm structure models
000156246 6531_ $$aMean reversion
000156246 700__ $$aFiller, Günther
000156246 700__ $$aVolkenand, Steffen
000156246 700__ $$aOdening, Martin
000156246 773__ $$d2013
000156246 8564_ $$s337581$$uhttp://ageconsearch.umn.edu/record/156246/files/Poster3-Filler-Changing_c.pdf
000156246 887__ $$ahttp://purl.umn.edu/156246
000156246 909CO $$ooai:ageconsearch.umn.edu:156246$$pGLOBAL_SET
000156246 912__ $$nSubmitted by Kerstin Oertel (k.oertel@agrar.hu-berlin.de) on 2013-09-05T08:58:10Z
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  Previous issue date: 2013
000156246 982__ $$gGerman Association of Agricultural Economists (GEWISOLA)>53rd Annual Conference, Berlin, Germany, September 25-27, 2013
000156246 980__ $$a870