Seasonality in Agricultural Commodity Futures

Research output: Working paperResearch

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Abstract

The stochastic behavior of agricultural commodity prices is investigated using observations of the term structures of futures prices over time. The continuous time dynamics of (log-) commodity prices are modeled as a sum of a deterministic seasonal component, a non-stationary state-variable, and a stationary state-variable. Futures prices are established by standard no-arbitrage arguments and the Kalman filter methodology is used to estimate the model parameters for corn futures, soybean futures, and wheat futures based on weekly data from the Chicago Board of Trade for the period 1972-1997. Furthermore, in a discussion of the estimated seasonal patterns in agricultural commodity prices, the paper provides empirical evidence on the theory of storage that predicts a negative relationship between stocks of inventory and convenience yields; in particular, convenience yields used in this analysis are extracted using the Kalman filter.
Original languageEnglish
Place of PublicationFrederiksberg
PublisherInstitut for Finansiering, Copenhagen Business School
Number of pages37
ISBN (Print)8790705300
Publication statusPublished - Dec 1999
SeriesWorking Papers / Department of Finance. Copenhagen Business School
Number1999-14
ISSN0903-0352

Cite this

Sørensen, C. (1999). Seasonality in Agricultural Commodity Futures. Frederiksberg: Institut for Finansiering, Copenhagen Business School. Working Papers / Department of Finance. Copenhagen Business School, No. 1999-14
Sørensen, Carsten. / Seasonality in Agricultural Commodity Futures. Frederiksberg : Institut for Finansiering, Copenhagen Business School, 1999. (Working Papers / Department of Finance. Copenhagen Business School; No. 1999-14).
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Sørensen, C 1999 'Seasonality in Agricultural Commodity Futures' Institut for Finansiering, Copenhagen Business School, Frederiksberg.

Seasonality in Agricultural Commodity Futures. / Sørensen, Carsten.

Frederiksberg : Institut for Finansiering, Copenhagen Business School, 1999.

Research output: Working paperResearch

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Sørensen C. Seasonality in Agricultural Commodity Futures. Frederiksberg: Institut for Finansiering, Copenhagen Business School. 1999 Dec.