The Long-Term Structure of Commodity FuturesAmerican Journal of Agricultural Economics
Publication VersionAccepted Manuscript
AbstractFutures 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.
Copyright OwnerThe Authors
Citation InformationNa Jin, Sergio H Lence, Chad Hart and Dermot J. Hayes. "The Long-Term Structure of Commodity Futures" American Journal of Agricultural Economics Vol. 94 Iss. 3 (2012) p. 718 - 735
Available at: http://works.bepress.com/dermot_hayes/149/