Agricultural Futures Prices and New Information

摘要

Agricultural futures prices react quickly to new information. Results from agricultural futures price regressions suggest that nominal interest rate variation was dominated by variation in real interest rates during the October 1979 to October 1982 period when the Federal Reserve targeted M1. During the rest of the 1970s and 1980s, nominal interest rate variation appeared to be more related to variation in inflation expectations. Also, corn and wheat prices reacted to unexpected rain shocks, while soybean prices were more sensitive to temperature shocks. Export, stocks, and loan rate shocks were not as important in the evolution of spot prices.