| dc.contributor.author | Goetz, Cole Louis | |
| dc.description.abstract | This thesis examines the relationship between spot prices, futures prices, and ending stocks for storable commodities. We used Granger causality and DAGs to determine causal relationships and cointegration tests to determine long-run relationships. We use VAR/VECM and consider innovation accounting techniques to see how volatility in one market affects the price behavior and volatility in the other market. Results suggest that for agricultural commodities, innovations in futures price permanently increase the level of spot prices while accounting for much of spot price variance over time. For national oil, shocks to futures price decrease the level of spot price in the long run. In regional oil markets, there are transitory impulse responses. Futures price plays a small role in the volatility of spot prices for oil over time. Overall results are mixed, with oil suggesting futures markets may have a price stabilizing effect and agriculture commodities indicating spot price destabilization. | en_US |
| dc.publisher | North Dakota State University | en_US |
| dc.rights | NDSU policy 190.6.2 | |
| dc.title | The Effects of Futures Markets on the Spot Price Volatility of Storable Commodities | en_US |
| dc.type | Thesis | en_US |
| dc.date.accessioned | 2019-05-29T13:32:09Z | |
| dc.date.available | 2019-05-29T13:32:09Z | |
| dc.date.issued | 2019 | en_US |
| dc.identifier.uri | https://hdl.handle.net/10365/29795 | |
| dc.subject.lcsh | Futures market. | |
| dc.subject.lcsh | Spot prices. | |
| dc.subject.lcsh | Futures -- Prices. | |
| dc.subject.lcsh | Commodity exchanges. | |
| dc.subject.lcsh | Primary commodities -- Prices. | |
| dc.subject.lcsh | Commodity futures. | |
| dc.rights.uri | https://www.ndsu.edu/fileadmin/policy/190.pdf | |
| ndsu.degree | Master of Science (MS) | en_US |
| ndsu.college | Agriculture, Food Systems and Natural Resources | en_US |
| ndsu.department | Agribusiness and Applied Economics | en_US |
| ndsu.program | Agribusiness and Applied Economics | en_US |
| ndsu.advisor | Miljkovic, Dragan | |
