{"product_id":"commodity-prices-options-and-futures-behaviour-von-guillermo-benavides","title":"Commodity Prices, Options and Futures Behaviour","description":"\u003cp\u003eAn analysis of futures and spot price volatility of  agricultural commodities including an assessment,  from a social welfare perspective, of a Mexican- Government-Futures-Scheme (ASERCA futures-scheme)  were conducted in this research project. The  agricultural commodities under study were corn and  wheat. For the volatility analysis an implication of  the theory of storage and the Samuelson effect were  tested using a restricted version of the BEKK model.  The storage implication is that supply-and-demand  fundamentals affect the price volatility of  commodities whereas, for the Samuelson effect, spot  prices are thought to be more volatile than futures  prices. The same model estimates were then compared  to option implied volatility and composite forecast  models in order to find out which is the best model  in terms of forecast accuracy. For the social  welfare analysis a utility function and a non- structural model (VAR) were used in order to  quantify the overall gains for the Mexican economy  of the ASERCA futures scheme.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838363387\"\u003e\u003ch3\u003eThe Cases of Corn and Wheat with an Application to the Mexican (ASERCA) Scheme\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838363387","offer_id":39498968105053,"sku":"9783838363387","price":79.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/5ccef708-e980-4b86-9d38-e0749518a9a0.jpg?v=1775627025","url":"https:\/\/shop.autorenwelt.de\/en\/products\/commodity-prices-options-and-futures-behaviour-von-guillermo-benavides","provider":"Autorenwelt Shop","version":"1.0","type":"link"}