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Article
The Long-Term Structure of Commodity Futures
American Journal of Agricultural Economics
  • Na Jin, Federal Home Loan Bank of Des Moines
  • Sergio H Lence, Iowa State University
  • Chad Hart, Iowa State University
  • Dermot J. Hayes, Iowa State University
Document Type
Article
Publication Version
Accepted Manuscript
Publication Date
1-1-2012
DOI
10.1093/ajae/aar137
Abstract
Futures 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.
Comments

This is a pre-copyedited, author-produced PDF of an article accepted for publication in American Journal of Agricultural Economics following peer review. The version of record is available online at: http://dx.doi.org/10.1093/ajae/aar137.

Copyright Owner
The Authors
Language
en
File Format
application/pdf
Citation Information
Na 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/