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The Feasibility of Rail Track Delivery as an Alternative Settlement Option for KCBT Wheat Futures Contracts
Daniel M. O’Brien and Jay O’Neil
Year: 2011
 

Abstract

Railcar or “track” delivery is an alternative delivery mechanism considered by the Kansas City Board of Trade in 2010 to help bring about cash-futures convergence. Track delivery would provide an alternative way to physically deliver wheat via railroad ca

 
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Grain Marketing Tools: A Survey of Illinois Grain Elevators
Ryan Stone, Colin Warner and Rick Whitacre
Year: 2011
 

Abstract

The basic services offered by country elevators are very similar (purchasing, conditioning and storing grain), country elevators attempt to differentiate themselves from their competition by offering customers a variety of cash grain marketing tools. Thes

 
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Hedging and Cash Flow Risk in Ethanol Refining
Roger A. Dahlgran, and Jingyu Liu
Year: 2011
 

Abstract

Interviews with ethanol refinery risk managers reveal that, at least for the firms represented, (a) working capital to fund margin accounts is limited so the optimal deployment of this capital is a major concern, and (b) these firms hedge with smaller p

 
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Price Discovery in U.S. and Foreign Commodity Futures Markets: The Brazilian Soybean Example
Gerald Plato and Linwood Hoffman
Year: 2011
 

Abstract

Trader direct access to the order matching systems on United States and foreign commodity futures markets reduces or eliminates the cost of changing trading venues. The Dodd-Frank Act recognizes that price discovery could now more readily shift to forei

 
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The Informational Content of Distant-Delivery Futures Contracts
Kristin N. Schnake, Berna Karali, and Jeffrey H. Dorfman
Year: 2011
 

Abstract

The futures markets have two main goals: price discovery and risk management. Because management decisions often have to be made on a time horizon longer than the time until expiration of the nearby futures contract, the question of distant-delivery fut

 
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Evaluation of Market Thinness for Hogs and Pork
Jason Franken and Joe Parcell
Year: 2011
 

Abstract

We investigate thinness of hog and pork markets in terms of quantity and representativeness of negotiated transactions. Transactional volume imparts marginally greater confidence in pricing precision for Iowa-Southern Minnesota negotiated hogs than for

 
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Marketing Strategies in the Canadian Beef Sector
Julieta Frank, Derek Brewin, and María José Patiño
Year: 2011
 

Abstract

The Canadian beef sector has undergone a structural change since the outbreak of BSE in 2003 and a higher U.S./Canadian dollar exchange rate variability. Hedging beef prices and the U.S. dollar using the futures market may help producers and other beef

 
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Changes in Liquidity,Cash Market Activity, and Futures Market Performance:Evidence from Live Cattle Market in Brazil
Fabio Mattos and Philip Garcia
Year: 2011
 

Abstract

This paper describes developments in the Brazilian live cattle market in the last decade, which resulted in an almost tenfold increase in futures trading, and investigates their effects on futures market’s price discovery and risk transfer functions. Hi

 
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Elimination of the Coffee Export Quota System Revisited: Evaluating International-to- Retail Price Transmission
Jun Lee and Miguel I. Gómez
Year: 2011
 

Abstract

We revisit the impact of the International Coffee Agreement (ICA) on international-to-retail price transmission. We account for two distinct dimensions (e.g. symmetry vs. asymmetry and linearity vs. nonlinearity) of price transmission from international

 
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A Comprehensive Evaluation of USDA Cotton Forecasts
Olga Isengildina-Massa, Stephen MacDonald and Ran Xie
Year: 2011
 

Abstract

This study provides a comprehensive examination of accuracy and efficiency of all USDA cotton supply and demand estimates for the U.S. (including unpublished price forecasts), China and rest of the world (ROW) over1985/86 through 2009/10. Our findings s

 
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The Impact of Ethanol Production on Local Corn Basis
Kathleen Behnke and T. Randall Fortenbery
Year: 2011
 

Abstract

The focus of this study is on the impact local ethanol plants have on corn basis. Basis is the difference between the local cash price and the nearby futures contract price, and accounts for variation in the supply and demand in the local market relativ

 
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Examining the Relationship Between Physical Stocks of Commodities and Open Interest in Related Futures Markets
Daniel Sanders, Corinne Alexander and Matthew Roberts
Year: 2011
 

Abstract

The price volatility observed in futures markets, beginning in 2006 and continuing through to the present, has posed challenges to commercial traders attempting to use these markets to hedge their price risk. Additionally, speculative activity in these

 
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Identifying Jumps and Systematic Risk in Futures
Sijesh C. Aravindhakshan and B. Wade Brorsen
Year: 2011
 

Abstract

A variety of multivariate jump-diffusion models have been suggested as models of asset prices. This paper extends the literature on (joint) mixed jump-diffusion processes in futures markets by using the CRB index futures to represent systematic risk in

 
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Volatility Spillovers in the U.S. Crude Oil, Corn, and Ethanol Markets
Andres Trujillo-Barrera, Mindy Mallory, and Philip Garcia
Year: 2011
 

Abstract

This paper analyzes volatility spillovers from energy to agricultural markets in the U.S. which have increased due to strong crude oil price volatility and the large growth in ethanol production in the period 2006-2011. Results suggest that spillovers f

 
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Highly variable prices or excessive volatility? Is a supply management program warranted? An Extension Dairy Economist’s Perspective
Cameron S. Thraen
Year: 2011
 

Abstract

During the past decade the U.S. dairy market has been subject to periodic swings in dairy commodity and milk prices. The U.S. All Milk price reached an historic high of $21.90 (nominal dollars) per hundredweight in November, 2007 before retreating to a

 
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'Investing' in Commodity Futures Markets: Are the Lambs Being Led to Slaughter?
Dwight R. Sanders and Scott H. Irwin
Year: 2011
 

Abstract

Investments into commodity-linked investments have grown considerably over the last five years as individuals and institutions have embraced alternative investments. However, unlike investments in equities or real estate, commodity futures markets produ

 
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Dynamic Inter-relationships in Hard Wheat Basis Markets
William W. Wilson and Dragan Miljkovic
Year: 2011
 

Abstract

The basis values for hard red spring wheat (HRS) have escalated radically, experienced extraordinary levels of volatility (risk), have been subject to a squeeze during 2008, and all these have important implications for market participants. These observ

 
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How Do Canadian Wheat Producers’ Make Marketing Decisions?
Stefanie Fryza and Fabio Mattos
Year: 2011
 

Abstract

The purpose of this paper is to investigate how Western Canadian wheat producers’ make their marketing decisions. In Canada wheat must be marketed through the Canadian Wheat Board (CWB), which offers several marketing contracts providing distinct combin

 
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Testing the Performance of Multiproduct Optimal Hedging with Time-Varying Correlations in Storable and Non-storable Commodities
Hernan A. Tejeda and Barry K. Goodwin
Year: 2011
 

Abstract

Recent steady growth in the volatility of commodity markets, and the increasing need for proper risk management tools in production settings that make use of inputs and outputs in futures markets, may be addressed via multiproduct hedging. This study de

 
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A Quantile Regression Approach to Analyzing Quality-Differentiated Agricultural Markets
Anton Bekkerman, Gary W. Brester, and Tyrel McDonald
Year: 2011
 

Abstract

Hedonic models are commonly used to quantify the value of characteristics implicit in a product’s price. However, when products are heterogenous across quality levels, using traditional parametric methods for estimating characteristic values may provide

 
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A Spatial Approach to Estimating Factors that Influence the Corn Basis
Michael K. Adjemian, Todd Kuethe, Vince Breneman, Ryan Williams, Mark Manfredo, and Dwight Sanders
Year: 2011
 

Abstract

It is well known that supply and demand fundamentals at any location affect the local basis. Because grain markets are tied together by spatial arbitrage, the local basis may also be affected by the supply and demand factors at neighboring locations. W

 
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Returns to Individual Traders in Agricultural Futures Markets: Skill or Luck?
Nicole M. Aulerich, Scott H. Irwin, and Philip Garcia
Year: 2011
 

Abstract

Using individual trader data from the CFTC reporting system for the period January 2000 to September 2009, the paper investigates whether non-commercial traders in the corn, live cattle, and coffee futures markets persist in making profits. Two out-of-s

 
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The Role of Long Memory in Hedging Strategies for Canadian Commodity Futures
Janelle Mann
Year: 2011
 

Abstract

This research paper investigates whether ICE futures contracts are an effective and affordable strategy to manage price risk for Canadian commodity producers in recent periods of high price volatility. Long memory in volatility is found to be present in

 
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Oligopsony Fed Cattle Pricing: Did Mandatory Price Reporting Increase Meatpacker Market Power?
Xiaowei Cai, Kyle W. Stiegert,and Stephen R. Koontz
Year: 2011
 

Abstract

The Livestock Mandatory Price Reporting Act became law in April 2001 with the intent to provide more transparent market information to cattle producers. A criticism of mandatory price reporting (MPR) is that the increased price transparency may actually

 
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Futures Market Failure
Philip Garcia, Scott H. Irwin, and Aaron D. Smith
Year: 2011
 

Abstract

In a well-functioning futures market, the futures price on the expiration date equals the price of the underlying asset on that date. An unprecedented episode of non-convergence in Chicago Board of Trade (CBOT) corn, soybeans, and wheat began in late 20

 
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