Economic theory is replete with causal hypotheses that are scarcely tested because economists are generally constrained to work with observational data. This article describes the use of causal inference methods for testing a hypothesis that one random variable causes another. Contingent on a...

Various bid-ask spread estimators are applied to transaction data from LIFFE commodity futures markets, and the resulting estimates are compared to observed actual bid-ask spreads. Results suggest that actual bid-ask spreads, unlike effective spreads, can be reasonably estimated using...

The effects of volatility of barge and ocean freight prices on prices throughout the international grain-marketing channel are analyzed using a Multivariate GARCH-M model. The model is used to infer the extent to which transportation price risk affects the level of international grain prices....

This research compares partial equilibrium and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when...

This research compares derivative pricing model and statistical time‐series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out‐of‐sample hedging effectiveness of the two approaches...

This study tests causal hypotheses emanating from theories of futures markets by utilizing methods appropriate for disproving causal relationships with observational data. The hedging pressure theory of futures markets risk premiums, the generalized version of the normal backwardation theory of...

This paper looks at the potential role of time-varying volatility of Mississippi river barge and ocean freight prices on commodity prices in Illinois, at the US Gulf and in Rotterdam using a Vector Error Correction GARCH-in-Mean model. The model is used to infer the extent to which...

Various bid-ask spread estimators are applied to transaction data from LIFFE cocoa and coffee futures markets, and the resulting estimates are compared to observed actual bid-ask spreads. Results suggest that actual bid-ask spreads, which are not reported by most open-outcry futures markets, can...

Various bid-ask spread estimators are applied to transaction data from LIFFE cocoa and coffee futures markets, and the resulting estimates are compared to observed actual bid-ask spreads. Results suggest that actual bid-ask spreads, which are not reported by most open-outcry futures markets, can...