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Are New Crop Futures and Option Prices for Corn and Soybeans Biased? An Updated Appraisal
Katie King and Carl Zulauf
Year: 2010
 

Abstract

This study revisits the debate over whether a bias exists in new crop December corn and November soybean futures and option prices. Some evidence of bias is found in December corn futures and December corn puts, but the evidence is substantially muted w

 
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Pre-Spreading and Returns to Storage
Andrew McKenzie and Amanda Simpson
Year: 2010
 

Abstract

Returns to storage at the farm level have received much attention in the literature. The main objective of this paper was to analyze returns to storage at the elevator or merchandising level. Specifically basis trading and pre-spreading marketing strate

 
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Examining the Risk-Return Relationship between Agribusiness Stocks and the Market
Jerey H. Dorfman and Myung D. Park
Year: 2010
 

Abstract

Volatility and the trade-off between risk and returns have been considered key components of finance theory at least since Merton's intertemporal capital asset pricing model (ICAPM, 1973). In this study, we employ several bivariate GARCH-M models to inv

 
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RIN Risks: Using Supply and Demand Behavior to Assess Risk in the Markets for Renewable Identification Numbers used for Renewable Fuel Standard Compliance
Dustin J. Donahue, Seth Meyer, and Wyatt Thompson
Year: 2010
 

Abstract

Congress has mandated that more biofuels be used over the next decade. To ensure compliance with the mandate, RINs are used to track biofuels that fuel blenders mix into motor fuels for domestic consumption. RINs may be traded, and the prices of RINs ar

 
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The Impact of Biofuel Mandates and Switchgrass Production on Hay Markets
Kwame Acheampong, Michael R. Dicks, and Brian D. Adam
Year: 2010
 

Abstract

The Renewable Fuel Standard mandates in the Energy Independence and Security Act of 2007 (EISA 2007) will require 36 billion gallons of ethanol to be produced in 2022, 16 billion gallons of which is to be produced from cellulosic feedstocks. To meet the

 
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Forecasting Agricultural Commodity Prices Using Multivariate Bayesian Machine Learning Regression
Andres M. Ticlavilca, Dillon M. Feuz, and Mac McKee
Year: 2010
 

Abstract

The purpose of this paper is to perform multiple predictions for agricultural commodity prices (one, two and three month periods ahead). In order to obtain multiple-time-ahead predictions, this paper applies the Multivariate Relevance Vector Machine (MV

 
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Ethanol Futures: Thin but Effective? —Why?
Roger A. Dahlgran
Year: 2010
 

Abstract

This study examines the paradox where the ethanol futures market provides effective hypothetical hedges yet the use of this market is shunned by those with ethanol cash market positions because of its limited volume and open interest. Examining this iss

 
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Producers’ Grain Marketing Decisions: A Study in the Canadian Markets
Stefanie Fryza and Fabio Mattos
Year: 2010
 

Abstract

This paper investigates the dynamics in the decision-making process of producers in Western Canada, where they must market their crop through the Canadian Wheat Board(CWB). The CWB offers several marketing alternatives to producers, which provide distin

 
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Do USDA Announcements Affect the Correlations Across Commodity Futures Returns?
Berna Karali and ChangKeun Park
Year: 2010
 

Abstract

The value of USDA reports has long been a question of interest for researchers and practitioners. Many economists have investigated whether the scheduled public report releases have any impact on commodity prices. In general, it is shown that markets a

 
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Reexamination of the Impact of the Removal of CBOT Corn and Soybean Futures Contract Delivery from Toledo, Ohio
Daniel Sanders, Matthew Roberts, and Carl Zulauf
Year: 2010
 

Abstract

Beginning with delivery on the July 2006 contract, non-convergence became an issue in the Chicago wheat futures contract. Despite several changes to the contract, convergence remains an issue. Recently, some have proposed eliminating Toledo, Ohio as a d

 
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Measuring and Explaining Skewness in Pricing Distributions Implied from Livestock Options
Michael Thomsen and Andrew McKenzie
Year: 2010
 

Abstract

We characterize volatility skews implied by options on futures for hogs and cattle. Both markets have shown a persistent leftward skew. The skew is much more pronounced in live cattle. As a practical matter, the volatility skew is evidence that the cost

 
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The Basis Effects of Failures to Converge
Berna Karali, Kevin McNew, and Walter Thurman
Year: 2010
 

Abstract

We study the spatial patterns to wheat basis (spot price minus futures price) for wheat contracts between 2005 and 2009. Restricting our attention to a single delivery market—Toledo, Ohio— and to cash markets within 100 miles of Toledo, we measure the c

 
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Comparing Different Models to Cross Hedge Distillers Grains in Iowa: Is It Necessary to Include Energy Derivatives?
Juan M. Murguia and John D. Lawrence
Year: 2010
 

Abstract

The actual and expected increase of corn based ethanol production in the Midwest has increased the availability of Distillers Grains that are used in the feeding and egg industry as source of protein and energy. Since no future market has existed for th

 
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Price Mean Reversion and Seasonality in Agricultural Commodity Markets
Na Jin, Sergio Lence, Chad Hart, and Dermot Hayes
Year: 2010
 

Abstract

Schwartz's (1997) two-factor model is generalized to allow for mean reversion in spot prices. Our modeling also acknowledges that commodities exhibit seasonality patterns in the spot price. A Bayesian MCMC algo- rithm is developed to estimate our model.

 
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A Comparison of Hedging Strategies and Effectiveness for Storable and Non-Storable Commodities
Janelle Mann and Peter Sephton
Year: 2010
 

Abstract

This research questions whether the hedging potential of a futures market differs between storable and non-storable commodities. The relationship between asset storability and hedging effectiveness was examined using five years of daily cash and futures

 
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Impact of Mandatory Price Reporting on Hog Market Integration
Jason Franken, Joe Parcell, and Glynn Tonsor
Year: 2010
 

Abstract

We examine whether mandatory price reporting (MPR), which is intended to facilitate transparent pricing, has impacted pricing relationships among U.S. hog markets. Hog markets are cointegrated both prior to and following enactment of MPR, but are not fu

 
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How Strong are the Linkages among Agricultural, Oil, and Exchange Rate Markets?
Julieta Frank and Philip Garcia
Year: 2010
 

Abstract

Highly fluctuating agricultural prices have rekindled questions regarding the influence of volatile oil and exchange rates markets on dynamic behavior. Using weekly cash data from 1998 to 2009 and VAR and VECM procedures, we estimate the linkages among

 
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Price Discovery and Convergence of Futures and Cash Prices
Gerald Plato and Linwood Hoffman
Year: 2010
 

Abstract

Prices for corn, soybeans, and wheat futures contracts traded on the Chicago Mercantile Exchange and corresponding cash prices at delivery locations frequently failed to converge to the per bushel cost of delivering on futures contracts from 2000 to 200

 
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On the Relationship of Expected Supply and Demand to Futures Prices
Hans Walter P. Chua and William G. Tomek
Year: 2010
 

Abstract

Expectations about future economic conditions are important determinants of commodity prices. This paper presents a relatively simple model that makes futures prices for corn a function of expected production and inventories and of variables that accoun

 
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The Forward Contract’s Income Shifting Option and Implications on the Forward Basis
Mindy L. Mallory and Scott H. Irwin
Year: 2010
 

Abstract

Previous studies have documented a cost of forward contracting grain relative to hedging in the futures markets. Our study quantifies the value of the income shifting option to forward contracting. An income shifting option refers to the fact that at ha

 
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The Long Run and Short Run Impact of Captive Supplies on the Spot Market Price: An Agent-Based Artificial Market
Tong Zhang and B. Wade Brorsen
Year: 2010
 

Abstract

This paper seeks to reduce the gap between theoretical research that shows a potentially large price-depressing effect of captive supplies and empirical work that finds any pricedepressing effect of captive supplies is small. An agent-based model is dev

 
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Uncovering Dominant-Satellite Relationships in the U.S. Soybean Basis: A Spatio-Temporal Analysis
Daniel A. Lewis, Todd H. Kuethe, Mark R. Manfredo, and Dwight R. Sanders
Year: 2010
 

Abstract

Time series analysis shows that local soybean basis levels have some tendency to follow or be determined by the basis levels at export locations (Toledo and U.S. Gulf). Processing centers tend to show the most independence in basis discovery. Spatial mo

 
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Theory of Storage and Option Pricing: Analyzing Determinants of Implied Skewness and Implied Kurtosis
Marin Bozic and T. Randall Fortenbery
Year: 2010
 

Abstract

Options on agricultural futures are popular financial instruments used for agricultural price risk management and to speculate on future price movements. Poor performance of Black’s classical option pricing model has stimulated many researchers to intr

 
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Returns to Traders and Existence of a Risk Premium in Agricultural Futures Markets
Nicole M. Aulerich, Scott H. Irwin, and Philip Garcia
Year: 2010
 

Abstract

This paper analyzes the existence of a risk premium following the Keynesian theory of normal backwardation. A natural experiment using actual trading observations of commodity index traders is used to determine if passively holding long positions opposi

 
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