We use a no-arbitrage, cost-of-carry asset pricing model to show that the existence of cointegration between spot and forward (futures) prices depends on the time-series properties of the ...

The Japanese farmland market is strongly regulated, although partial deregulation and decentralization are evident. This paper examines the relationship between farmland rents and prices in Japan ...

Nonlinear cointegration and time series analysis represent a dynamic area of research that extends the classical framework of cointegration by allowing the long-run equilibrium relationships among ...

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...