Topic
Spot contract
About: Spot contract is a research topic. Over the lifetime, 3437 publications have been published within this topic receiving 91599 citations.
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01 Dec 2018
TL;DR: In this article, the authors investigated the causal relationship between agricultural products and crude oil markets for the period January 2000 - July 2018 and found that the crude oil market plays a major role in explaining fluctuations in the prices and associated volatility of agricultural commodities.
Abstract: textThe food-energy nexus has attracted great attention from policymakers, practitioners and academia
since the food price crisis during the 2007-2008 Global Financial Crisis (GFC), and new policies
that aim to increase ethanol production. This paper incorporates aggregate demand and alternative
oil shocks to investigate the causal relationship between agricultural products and oil markets,
which is a novel contribution. For the period January 2000 - July 2018, monthly spot prices of 15
commodities are examined, including Brent crude oil, biofuel-related agricultural commodities,
and other agricultural commodities. The sample is divided into three sub-periods, namely: (i)
January 2000 - July 2006; (ii) August 2006 - April 2013; and (iii) May 2013 - July 2018. The
Structural Vector Autoregressive (SVAR) model, impulse response functions, and variance
decomposition technique are used to examine how the shocks to agricultural markets contribute to
the variance of crude oil prices. The empirical findings from the paper indicate that not every oil
shock contributes the same to agricultural price fluctuations, and similarly for the effects of
aggregate demand shocks on the agricultural market. These results show that the crude oil market
plays a major role in explaining fluctuations in the prices and associated volatility of agricultural
commodities
33 citations
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TL;DR: In this article, the authors model the properties of equilibrium spot and futures oil prices in a general equilibrium production economy with two goods, and estimate a linear approximation of the equilibrium regime-shifting dynamics implied by their model.
Abstract: We model the properties of equilibrium spot and futures oil prices in a general equilibrium production economy with two goods. In our model production of the consumption good requires two inputs: the consumption good and a Oil. Oil is produced by wells whose flow rate is costly to adjust. Investment in new Oil wells is costly and irreversible. As a result in equilibrium, investment in Oil wells is infrequent and lumpy. Equilibrium spot price behavior is determined as the shadow value of oil. The resulting equilibrium oil price exhibits mean-reversion and heteroscedasticity. Further, even though the state of the economy is fully described by a one-factor Markov process, the spot oil price is not Markov (in itself). Rather it is best described as a regime-switching process, the regime being an investment `proximity' indicator. Further, our model captures many of the stylized facts of oil futures prices. The futures curve exhibits backwardation as a result of a convenience yield, which arises endogenously due to the productive value of oil as an input for production. This convenience yield is decreasing in the amount of oil available in the economy. We test out model using crude oil data from 1982 to 2003. We estimate a linear approximation of the equilibrium regime-shifting dynamics implied by our model. Our empirical specification successfully captures spot and futures data. Finally, the specific empirical implementation we use is designed to easily facilitate commodity derivative pricing that is common in two-factor reduced form pricing models.
33 citations
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TL;DR: Wang et al. as discussed by the authors investigated dynamic correlations between Chinese crude oil futures and spot prices of its two main underlying assets, OPEC and Oman, as well as the hedging effectiveness.
33 citations
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TL;DR: In this paper, the interaction of provider of free after-sales service and contract type of either wholesale price contracts or consignment contracts with revenue sharing in a two-echelon supply chain with one manufacturer and one retailer facing random demand was investigated.
33 citations
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TL;DR: In this article, the authors examined the market efficiency of the commodity futures market in India and found that a cointegrating relationship exists between these indices and that the market appears efficient during the more recent sub-sample period since July 2009 onwards.
Abstract: This article aims to examine the market efficiency of the commodity futures market in India, which has been growing phenomenally over the last few years. We estimate the long-run equilibrium relationship between multi-commodity futures and spot prices and then test for weak-form market efficiency by applying both the dynamic ordinary least squares and fully modified ordinary least squares methods. The entire sample period is from 2 January 2006 to 31 March 2011. The results indicate that a cointegrating relationship exists between these indices and that the commodity futures market appears efficient during the more recent sub-sample period since July 2009 onwards.
33 citations