search query: @author Rausser, G. C. / total: 3
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Author: | Rausser, G. C. Welraven, N. A. |
Title: | Linkages among commodity futures markets and dynamic welfare analysis |
Journal: | Review of Economics and Statistics
1990 : NOV, VOL. 72:4, p. 631-639 |
Index terms: | COMMODITY MARKETS FUTURES MARKETS WELFARE WELFARE ECONOMICS WELFARE LOSS AGRICULTURE |
Language: | eng |
Abstract: | Dynamic welfare measures are constructed for a system of futures markets that express the allocative efficiency of a particular market as a function of this accuracy and speed of adjustment following a shock to the system. The system comprises future prices for T-bills, exchange rates (German mark, British pound, Canadian dollar and yen), and agricultural commodities (corn, wheat, and cotton) for delivery in 1981 and 1982. The results suggest that agricultural markets do so to a much greater degree. Owing to their much greater size, however, the welfare loss arising from the overshooting is likely to be much larger for interest rate and exchange markets. |
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