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    Live cattle as a new frontier in commodity markets

    Geman, Hélyette and Vergel Eleuterio, Pedro (2015) Live cattle as a new frontier in commodity markets. Journal of Agriculture and Sustainability 7 (1), pp. 39-71. ISSN 2201-4357.

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    Abstract

    The goal of the paper is threefold. First, we present live cattle, an interesting semi-storable commodity which has not often been discussed in the literature. Second, we analyze the spot price trajectories of the US and Brazilian cattle markets over the period 2002-2013, using the first nearby Future as a proxy for the spot price. We find two distinct periods separated by a structural break in October 2007: a first period where Brazilian prices lead US prices, and a second period where both series are cointegrated. Third, in order to globally compare the two Futures markets, we introduce the notion of distance between forward curves and exhibit that not only do spot prices move together in the second period but also that the forward curves show a much higher level of integration, allowing for pair trading strategies.

    Metadata

    Item Type: Article
    Keyword(s) / Subject(s): live cattle markets, cointegration, forward curves, distance between forward curves, pair trading
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centre: Commodities Finance Centre
    Depositing User: Helyette Geman
    Date Deposited: 26 May 2016 13:24
    Last Modified: 26 Jul 2019 17:39
    URI: http://eprints.bbk.ac.uk/id/eprint/15331

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