{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/69888"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/69888","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Intertemporal Price Relationships of Storable and Nonstorable Commodities: Theory and Application","abstract":"Major disagreements remain unresolved with the theories of Keynes and Working regarding intertemporal price relationships, hence better explanation is needed. Keynes' theory of normal backwardation suggests that a risk premium, which a hedger pays to transfer risk, exists in futures markets. However, Working's theory of price of storage suggests that hedgers participate in the futures market in pursuit of profit and the arbitrage possibilities eliminate any bias in the futures price.","abstract_html":"Major disagreements remain unresolved with the theories of Keynes and Working regarding intertemporal price relationships, hence better explanation is needed. Keynes' theory of normal backwardation suggests that a risk premium, which a hedger pays to transfer risk, exists in futures markets. However, Working's theory of price of storage suggests that hedgers participate in the futures market in pursuit of profit and the arbitrage possibilities eliminate any bias in the futures price.","abstract_has_math":false,"creators":["Naik, Gopal"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"Ph.D.","degree_level":"Dissertation","degree_discipline":"Agricultural Economics","degree_department":null,"school":null,"contributors":["Leuthold, Raymond M."],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2014,"date_issued":"2014-12-15T20:29:14Z","date_published":"2014-12-15T20:29:14Z","updated_at":"2026-07-22T22:26:01Z","subjects":["Economics, Agricultural"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["(UMI)AAI8823210"],"render_values":[{"text":"(UMI)AAI8823210","href":null,"code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/2142/69888","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Leuthold, Raymond M."]},{"key":"dc:creator","label":"Author","values":["Naik, Gopal"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2014-12-15T20:29:14Z","10000-01-01","1988"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Agricultural Economics"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Ph.D."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Economics, Agricultural"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/69888","(UMI)AAI8823210"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Major disagreements remain unresolved with the theories of Keynes and Working regarding intertemporal price relationships, hence better explanation is needed. Keynes' theory of normal backwardation suggests that a risk premium, which a hedger pays to transfer risk, exists in futures markets. However, Working's theory of price of storage suggests that hedgers participate in the futures market in pursuit of profit and the arbitrage possibilities eliminate any bias in the futures price.","The primary objective of this study is to establish theoretically and to test empirically the relationships between cash and futures prices for storable and nonstorable commodities. A general theory of intertemporal price relationships for storable commodities is derived. According to this theory, basis consists of basis risk premium, adjusted speculation and expected maturity basis apart from cost of storage, opportunity cost and convenience yield. Keynes' risk premium and Working's carrying charge theories are special cases of this theory. Empirical results suggest that in the case of corn, the basis includes a risk premium, a speculative component and expected maturity basis.","In the case of nonstorable commodities, theoretical results are derived assuming that there exists some time period during which the producer is flexible to make marketing decisions. The results show that if the time between successive production streams is shorter than the marketing decision period, then cash and futures prices are intertemporally related. The difference between the cash and nearby futures prices is a function of the sum of the cost of maintaining the animal, opportunity cost, expected maturity basis, basis risk premium and adjusted speculation. The two-period ahead futures price and current cash price are related through feed price and through carryover effect of the animals from one period to another.","The results indicate that there exists a risk premium, a speculative component and an expected maturity basis in both cattle and hog markets. Finally, the cash and futures prices are related beyond one month. For cattle, the cash price seems to influence distant futures prices more than for hogs.","Made available in DSpace on 2014-12-15T20:29:14Z (GMT). No. of bitstreams: 1 8823210.pdf: 7881371 bytes, checksum: dde46d2908e8f79dd3bbe8a59b929e50 (MD5) Previous issue date: 1988","Embargo set by: Seth Robbins for item 70054 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs","Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs","U of I Only","223 p.","Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1988."]},{"key":"dc:title","label":"Title","values":["Intertemporal Price Relationships of Storable and Nonstorable Commodities: Theory and Application"]}]}],"canonical_facts":{"dc:contributor":["Leuthold, Raymond M."],"dc:creator":["Naik, Gopal"],"dc:date":["2014-12-15T20:29:14Z","10000-01-01","1988"],"dc:description":["Major disagreements remain unresolved with the theories of Keynes and Working regarding intertemporal price relationships, hence better explanation is needed. Keynes' theory of normal backwardation suggests that a risk premium, which a hedger pays to transfer risk, exists in futures markets. However, Working's theory of price of storage suggests that hedgers participate in the futures market in pursuit of profit and the arbitrage possibilities eliminate any bias in the futures price.","The primary objective of this study is to establish theoretically and to test empirically the relationships between cash and futures prices for storable and nonstorable commodities. A general theory of intertemporal price relationships for storable commodities is derived. According to this theory, basis consists of basis risk premium, adjusted speculation and expected maturity basis apart from cost of storage, opportunity cost and convenience yield. Keynes' risk premium and Working's carrying charge theories are special cases of this theory. Empirical results suggest that in the case of corn, the basis includes a risk premium, a speculative component and expected maturity basis.","In the case of nonstorable commodities, theoretical results are derived assuming that there exists some time period during which the producer is flexible to make marketing decisions. The results show that if the time between successive production streams is shorter than the marketing decision period, then cash and futures prices are intertemporally related. The difference between the cash and nearby futures prices is a function of the sum of the cost of maintaining the animal, opportunity cost, expected maturity basis, basis risk premium and adjusted speculation. The two-period ahead futures price and current cash price are related through feed price and through carryover effect of the animals from one period to another.","The results indicate that there exists a risk premium, a speculative component and an expected maturity basis in both cattle and hog markets. Finally, the cash and futures prices are related beyond one month. For cattle, the cash price seems to influence distant futures prices more than for hogs.","Made available in DSpace on 2014-12-15T20:29:14Z (GMT). No. of bitstreams: 1 8823210.pdf: 7881371 bytes, checksum: dde46d2908e8f79dd3bbe8a59b929e50 (MD5) Previous issue date: 1988","Embargo set by: Seth Robbins for item 70054 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs","Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs","U of I Only","223 p.","Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1988."],"dc:identifier":["http://hdl.handle.net/2142/69888","(UMI)AAI8823210"],"dc:subject":["Economics, Agricultural"],"dc:title":["Intertemporal Price Relationships of Storable and Nonstorable Commodities: Theory and Application"],"dc:type":["text"],"thesis:degree_discipline":["Agricultural Economics"],"thesis:degree_level":["Dissertation"],"thesis:degree_name":["Ph.D."],"thesis:institution_name":["University of Illinois at Urbana-Champaign"]},"updated_at":"2026-07-22T22:26:01Z"}