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 Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Commodities Finance Centre |
| Depositing User: | Helyette Geman |
| Date Deposited: | 26 May 2016 13:24 |
| Last Modified: | 02 Aug 2023 17:24 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/15331 |
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