Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/238830 
Autor:innen: 
Erscheinungsjahr: 
2018
Quellenangabe: 
[Journal:] International Econometric Review (IER) [ISSN:] 1308-8815 [Volume:] 10 [Issue:] 2 [Publisher:] Econometric Research Association (ERA) [Place:] Ankara [Year:] 2018 [Pages:] 33-50
Verlag: 
Econometric Research Association (ERA), Ankara
Zusammenfassung: 
Food price inflation results in uncertainty in the food markets and reduces real income as food covers a relatively large share of the households' expenditures in the LDCs. As price of food commodities are primarily governed by the underlying demand and supply conditions, we have analyzed the association of futures price volatility with the underlying macroeconomic variables. A strong association of futures price volatility with the underlying macro variables will imply that futures market operates based on the implications of the macroeconomic policies and are not merely driven by speculative motive. The association between futures price and the macroeconomic variables will help in developing policies aimed at stabilizing food prices. For our study we have considered the five major oil and oilseed contracts traded on National Commodity and Derivatives Exchange. We have considered the nearest three month contracts traded on the exchange. In our study we observe that Gross Domestic Product (GDP) and Index of Industrial Production (IIP) growth rate have significant impact on futures price volatility. We have also found a significant relation between futures price volatility and inflation. These findings have important implications for commodity production decision making, commodity hedging and commodity price forecasting.
Schlagwörter: 
Food Price Volatility
Agricultural Commodities
Futures Price Volatility
Spot Price Volatility
Macroeconomic
JEL: 
C12
G13
Q02
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by-nc-nd Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.