Document Type
Article
Journal/Book Title/Conference
Economics Research Institute Study Paper
Volume
96
Issue
33
Publisher
Utah State University Department of Economics
Publication Date
1996
First Page
1
Last Page
16
Abstract
Researchers commonly use nearby contract futures prices series in empirical analysis and commodity hedging applications based on the assumption that the maturing contract is always an appropriate proxy for more distant contracts. This paper discusses the implications of this practice based on econometric tests for equivalence between nearby and specific contract wheat futures price behavior. Nearby futures prices are inconsistent with each of the five contracts available on the Chicago Board of Trade.
Recommended Citation
Barrett, Christopher B.; Li, Jau-Rong; and Thilmany, Dawn D., "The Fallacy of Nearby Contract Commodity Futures Price Analysis: Intramarket Futures Contracts Are Not Identically Distributed" (1996). Economic Research Institute Study Papers. Paper 99.
http://digitalcommons.usu.edu/eri/99