Spot contract

About: Spot contract is a research topic. Over the lifetime, 3437 publications have been published within this topic receiving 91599 citations.

Jump Processes in the Market for Crude Oil

Abstract: In many commodity markets, the arrival of new information leads to unexpectedly rapid changes--or jumps--in commodity prices. Such arrivals suggest the assumption that log-return relatives are normally distributed may not hold. Combined with time-varying volatility, the possibility of jumps offers a potential explanation for fat tails in oil price returns. This article investigates the potential presence of jumps and time-varying volatility in the spot price of crude oil and in futures prices. The investigation is carried out over three data frequencies (Monthly, Weekly, Daily), which allows for an investigation of temporal properties. Employing likelihood ratio tests to compare among four stochastic data-generating processes, we find that that allowing for both jumps and time-varying volatility improves the model's ability to explain spot prices at each level of temporal aggregation; this combination also provides a statistically compelling improvement in model fit for futures prices at the Daily and Weekly level. At the monthly level, allowing for jumps does not provide a statistically significant increase in model fit after incorporating time-varying volatility into the model.

The Forward Exchange Market, Speculation, and Exchange Market Intervention

Abstract: This paper develops a stochastic equilibrium model of an open economy incorporating speculation in the forward exchange market The model is used to examine two issues The first is the role of speculation in stabilizing the economy against stochastic disturbances Much risk averse speculation stabilizes domestic income against disturbances in the domestic bond market and forward exchange marketbut exacerbates the effect of foreign disturbances Speculation may dampen or augment the effect of money market and output supply disturbances depending upon the share of foreign bonds in total wealthand the interest elasticity of bond demand The second issue that the model addresses is the role of the forward market in stabilization policy Forward market intervention (or its equivalent in this model,sterilized spot market intervention) does not provide monetary authorities additional leverage in stabilizing income beyond unsterilized spot market intervention Intervention rules based on reactions to both the forward and the spot exchange rates, however, can outper-form intervention policies responding to the spot rate alone,regardless of the market in which intervention occurs

The interactions between agricultural commodity and oil prices: an empirical analysis.

Abstract: Th e purpose of the study is to analyse the short and long-term relationships between the world oil prices (Europe Brent Spot Price and West Texas Intermediate Spot Price) and the agricultural commodity prices (Wheat, Corn and Soybeans). Th e analysis is based upon the data set covering the monthly period of 1990.01–2014.05. According to the Johansen co-integration tests results, there are no long-run relationships between each agricultural commodity prices and world oil prices at the 5% signifi cance level. On the other hand, according to the results of the Granger causality tests, there are uni-directional causality relationships from the Europe Brent and West Texas Intermediate oil prices to Wheat at the 1% and 5% signifi cance level respectively, to Corn at the 1% and 1% signifi cance level respectively and to Soybeans at the 1% and 5% signifi cance level respectively. No causality relationship from the agricultural commodity prices to world the oil prices has been observed.