NCCC-134
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Have Commodity Index Funds Increased Price Linkages between Commodities?
Jeffrey H. Dorfman and Berna Karali
Year: 2012
 

Abstract

To shed more light on the ongoing debate on the role of commodity index funds on recent commodity price spikes, we investigate the linkages between commodity futures prices surrounding the time period of increased index fund activity. We take a Bayesian

 
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An Evaluation of the USDA Sugar Production and Consumption Forecasts
Karen E. Lewis and Mark R. Manfredo
Year: 2012
 

Abstract

The performance of the USDA domestic sugar production and consumption forecasts for marketing years 1993/1994 through 2009/2011 was evaluated. Using USDA sugar forecast information, U.S. sugar policy attempts to operate at no cost to the government by m

 
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Price Explosiveness and Index Trader Behavior in the Corn, Soybean, and Wheat Futures Markets
Xiaoli Liao-Etienne, Scott H. Irwin and Philip Garcia
Year: 2012
 

Abstract

The purpose of this paper is to assess whether index investment Granger causes grain futures price movements during explosive periods. A forward and backward recursive procedure developed by Phillips, Shi, and Yu (2012) is used to detect and date-stamp

 
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The Behavior of Bid-Ask Spreads in the Electronically Traded Corn Futures Market
Xiaoyang Wang, Philip Garcia and Scott H. Irwin
Year: 2012
 

Abstract

This paper is the first to study liquidity costs based on actual observed bid-ask spreads (BAS) in commodity futures markets. Using electronically-traded corn futures contracts, we calculate the BAS directly faced by market participants, avoiding estima

 
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Usage Determinants of Fed Cattle Pricing Mechanisms
Matthew A. Diersen and Scott W. Fausti
Year: 2012
 

Abstract

Proposed cattle slaughter facilities in the upper Midwest have renewed interest among feedlot operators in the most appropriate mechanism to use when selling cattle. Buyers are also interested in the mechanisms that may have different benefits and seasona

 
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Price Discovery, Volatility Spillovers and Adequacy of Speculation in Cheese Spot and Futures Market
Marin Bozic and T. Randall Fortenbery
Year: 2012
 

Abstract

We investigate price discovery, volatility spillovers and impacts of speculation in the dairy sector. Examining the time series properties of cheese cash and implied futures price we find that the unit root hypothesis is strongly rejected for cash price

 
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The Food Corporation of India and the Public Distribution System: Impacts on Market Integration in Wheat, Rice, Pearl Millet, and Corn
Mindy Mallory and Kathy Baylis
Year: 2012
 

Abstract

This paper examines the spatial integration of major staple commodity markets in India. We consider wheat, rice, pearl millet, and corn markets. This set represents the two most highly regulated crops, wheat and rice; and two that are regulated to a lesse

 
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Pass-Through and Consumer Search: An Empirical Analysis
Timothy J. Richards, Miguel I Gómez and Jun Lee
Year: 2012
 

Abstract

Retail-price pass-through is one of the most important issues facing manufacturers of consumer- packaged goods. While retailers tend to pass wholesale prices through to consumers quickly and completely, they often do not pass trade promotions on. Current

 
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Road Block to Risk Management - How Federal Milk Pricing Provisions Complicate Class 1 Cross-Hedging Incentives
John Newton and Dr. Cameron Thraen
Year: 2012
 

Abstract

In 2000 the USDA introduced new methods to price milk used to produce class 1 bev- erage milk in the U.S. This shift in the dairy policy complicated hedging incentives by exposing traders to basis risk and increasing milk price uncertainty. We use empir

 
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Analyzing Crop Revenue Safety Net Program Alternatives and Implications on Marketing Decisions
Jim A. Jansen, Bradley D. Lubben, and Matthew C. Stockton
Year: 2012
 

Abstract

This study evaluates the crop revenue effects of combining federal farm income safety net programs, crop insurance policies, and marketing arrangements. Eight representative farms across Nebraska are used to stochastically simulate the financial impact

 
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The Increasing Participation of China in the World Soybean Market and Its Impact on Price Linkages in Futures Markets
Maria Alice Móz Christofoletti,Rodolfo Margato da Silva,and Fabio Mattos
Year: 2012
 

Abstract

This paper examines price linkages between soybean futures contracts traded in China, U.S, Brazil and Argentina for the period ranging from 2002 to 2011. The main findings show that U.S. prices still appear to have a dominant role to explain price chang

 
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A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis
Adam Schmitz, Zhiguang Wang, and Jung-Han Kimn
Year: 2012
 

Abstract

Stochastic volatility, price jumps, seasonality, and stochastic cost of carry, have been included separately, but not collectively, in pricing models of agricultural commodity futures and options. We propose a comprehensive model that incorporates all f

 
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Marketing Choices by Texas Cotton Growers
Jason D. Pace and John R. C. Robinson
Year: 2012
 

Abstract

Recent changes in farm programs, cotton supply and demand fundamentals, and cotton price patterns have likely shifted how producers market their cotton. This paper examines cash marketing choices by southwestern cotton producers in 2010. Hedging is includ

 
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How Does “Cost Risk”Influence Producers' Decision to Hedge?
Elisson de Andrade and Fabio Mattos
Year: 2012
 

Abstract

Several studies have investigated transaction costs in futures trading and found that optimal hedge ratios tend to be smaller in their presence. However, those studies consider transaction costs deterministically, i.e. hedgers know the exact amount of t

 
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Commodity Price Comovement: The Case of Cotton
Joseph P. Janzen, Aaron D. Smith, and Colin A. Carter
Year: 2012
 

Abstract

During the commodity price boom and bust of 2007-2008, cotton futures prices rose and fell dramatically in spite of high levels of inventory. At the same time, correlation between cotton and other commodity prices reached historically high levels. These

 
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Forecasting Corn and Soybean Basis Using Regime-Switching Models
Daniel J. Sanders and Timothy G. Baker
Year: 2012
 

Abstract

Corn and soybean producers in the core production areas of the U.S. have experienced a notable jump in basis volatility in recent years. In turn, these increasingly erratic swings in basis have increased producers’ price risk exposure and added a volatile

 
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Exploring Underlying Distributional Assumptions of Livestock Gross Margin Insurance for Dairy
Marin Bozic, John Newton, Cameron S. Thraen and Brian W. Gould
Year: 2012
 

Abstract

Livestock Gross Margin Insurance for Dairy Cattle (LGM-Dairy) is a recently introduced tool for protecting average income over feed cost margins in milk production. In this paper we examined the assumptions underpinning the rating method used to determ

 
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Foreign Exchange Pass-Through and the Potential Use of Grain Export-Denominated Trade Weighted Indices
Allister Keller and Ron McIver
Year: 2012
 

Abstract

 
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The Price Responsiveness of U.S. Wheat Export Demand by Class
Daniel O’Brien and Frayne Olson
Year: 2012
 

Abstract

The objective of this research is to analyze the factors affecting the price responsiveness of disaggregated classes of U.S. wheat exports. Factors examined in this study that are likely to influence U.S. exports on a class-by-class basis include wheat pr

 
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Density Forecasts of Lean Hog Futures Price
Andres Trujillo-Barrera, Philip Garcia, and Mindy Mallory
Year: 2012
 

Abstract

High price variability in agricultural commodities increases the importance of accurate forecasts. Density forecasts estimate the future probability distribution of a random variable, offering a complete description of risk. In this paper we investigate

 
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Reexamining the Interaction between Private and Public Stocks
Carl R. Zulauf
Year: 2012
 

Abstract

It is commonly-accepted that public stocks reduce private stocks. In contrast, empirical estimates range from no displacement to 100 percent displacement. Utilizing the concept of options, a conceptual model was developed. It implies the displacement effe

 
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