Linkages Among Commodity Futures Markets and Dynamic Welfare Analysis
This study constructs dynamic welfare measures for a system of futures markets that express the allocative efficiency of a particular market as a function of its accuracy and speed of adjustment following a shock to the system. The system comprises future prices for T-bills, exchange rates (German m...
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| Veröffentlicht in: | The review of economics and statistics 1990-11, Vol.72 (4), p.631-639 |
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| container_title | The review of economics and statistics |
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| creator | Rausser, Gordon C. Walraven, Nicholas A. |
| description | This study constructs dynamic welfare measures for a system of futures markets that express the allocative efficiency of a particular market as a function of its accuracy and speed of adjustment following a shock to the system. The system comprises future prices for T-bills, exchange rates (German mark, British pound, Canadian dollar and yen), and agricultural commodities (corn, wheat, and cotton) for delivery in 1981 and 1982. The results suggest that, although agricultural, exchange, and financial markets all overreact to a disturbance, agricultural markets do so to a much greater degree. Owing to their much greater size, however, the welfare loss arising from the overshooting is likely to be much larger for interest rate and exchange markets. |
| doi_str_mv | 10.2307/2109603 |
| format | Article |
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| source | Periodicals Index Online; JSTOR Mathematics & Statistics; EBSCOhost Business Source Complete; Jstor Complete Legacy |
| subjects | Agricultural commodities Agricultural markets Agriculture Commodities trading Commodity futures Disequilibrium Economic conditions Economic models Economic statistics Efficiency Elasticity of demand Elasticity of supply Exchange rates Futures market Market prices Price level changes Securities markets Statistical analysis Supply and demand United States Treasury bills Welfare economics Welfare losses Wheat |
| title | Linkages Among Commodity Futures Markets and Dynamic Welfare Analysis |
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