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Hedging and Speculative Pressures: An Investigation of the Relationships among Trading Positions and Prices in Commodity Futures Markets
Georg V. Lehecka
Year: 2013
 

Abstract

This study provides a systematic empirical investigation of lead-lag relationships among trading positions and prices in commodity futures markets. It employs Toda-Yamamoto Granger-causality tests applied on a variety of measurements of hedging, specula

 
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Determination of Factors Driving Risk Premiums in Forward Contracts for Kansas Wheat
Mykel Taylor, Glynn Tonsor, and Kevin Dhuyvetter
Year: 2013
 

Abstract

Forward contracts are a risk management tool used by farmers to eliminate adverse price and basis movements prior to harvest. Elevators offering these forward contracts will offset their risk exposure by hedging their position in the futures market. How

 
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Have Farmers Lost Confidence in Futures Markets?
Mark Welch, Rob Hogan, Emmy Williams, John Robinson, David Anderson, Mark Waller, Stan Bevers, Steve Amosson, Dean McCorkle, and Jackie Smith
Year: 2013
 

Abstract

Since 2007, the environment for trading futures contracts has changed significantly. In late 2012 graduates of the Texas A&M AgriLife Extension Master Marketer program were surveyed to assess the degree to which the changing climate of futures and options

 
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How Do Producers Decide the “Right” Moment to Price Their Crop? An Investigation in the Canadian Wheat Market
Fabio Mattos and Stefanie Fryza
Year: 2013
 

Abstract

This research investigated the timing of marketing decisions in the Canadian wheat market. Cox proportional hazard models were estimated to explore how the timing of producers’ decisions were affected by market-based variable, which included an indicato

 
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Risk Premiums and Forward Basis: Evidence from the Soybean Oil Market
Karen E. Lewis, Mark R. Manfredo, Ira Altman, and Dwight R. Sanders
Year: 2013
 

Abstract

Soybean oil is a primary ingredient in a number of food products, and is also one of the primary oils used in the production of biodiesel. Thus the price volatility of soybean oil represents a major input price risk to food and energy companies. Forward p

 
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The Quality of Price Discovery Under Electronic Trading: The Case of Cotton Futures
Joseph P. Janzen, Aaron D. Smith, and Colin A. Carter
Year: 2013
 

Abstract

We estimate the effect of electronic trade on the quality of price discovery in the Intercontinental Exchange cotton futures market. Between 2006 and 2009, this market transtioned from floor-only trade to parallel floor and electronic trade and then to

 
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A Nonparametric Search for Information Effects from USDA Reports
Jeffrey H. Dorfman and Berna Karali
Year: 2013
 

Abstract

The question of report value has been unsettled in the literature with results varying somewhat across studies and across reports. We employ two nonparametric tests to investigate the potential information value of USDA crop and livestock reports. If th

 
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Revisiting the Determinants of Futures Contracts: The Curious Case of Distillers' Dried Grains
Anton Bekkerman and Hernan A. Tejeda
Year: 2013
 

Abstract

A futures market for distillers' dried grains (DDGs) was introduced on the Chicago Mercantile Exchange in early 2010, but became inactive only four months after its inception. While many new futures contracts do not develop into high-volume traders, signi

 
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Measuring Asymmetric Price Transmission in the U.S. Hog/Pork Markets: A Dynamic Conditional Copula Approach
Feng Qiu and Barry K. Goodwin
Year: 2013
 

Abstract

This paper introduces the application of copula models to the empirical study of price transmission, with an empirical application to the U.S. hog/pork markets. Our copula approach corrects the potential bias in estimation that results from ignoring the v

 
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How Much Would It Be Worth to Know the WASDE Report In Advance?
Trent T. Milacek and B. Wade Brorsen
Year: 2013
 

Abstract

Past research has shown that prices move in response to WASDE reports, but have only looked at price movements right before and right after the reports. This research seeks to determine the profitability of trading based on knowing the next WASDE report a

 
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Asymmetric Price Transmission in the U.S. Beef Market: New Evidence from New Data
Veronica F. Pozo, Ted C. Schroeder and Lance J. Bachmeier
Year: 2013
 

Abstract

We examine price transmissions among farm, wholesale and retail U.S. beef markets using two types of retail level price data, one collected by the Bureau of Labor Statistics (BLS) and the other one collected at the point of sale using electronic scanner

 
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Bubbles in Grain Futures Markets: When are They Most Likely to Occur?
Xiaoli L. Etienne, Scott H. Irwin, and Philip Garcia
Year: 2013
 

Abstract

Unprecedented changes in commodity prices since 2004 have had worldwide repercussions, often acting as a destabilizing economic and political influence. In this paper, we use a recently developed multiple bubble testing procedures to detect and date-sta

 
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Do Roll Returns Really Exist? An Analysis of the S&P GSCI
Paul E. Peterson
Year: 2013
 

Abstract

Roll returns for the S&P GSCI commodity index are analyzed using index calculation procedures for the S&P 500 stock market index. S&P GSCI daily index values are calculated and validated against the official index values for the five-year period January 2

 
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Smoothing in USDA’s Commodity Forecasts
Olga Isengildina, Stephen MacDonald, Ran Xie and Julia Sharp
Year: 2013
 

Abstract

This study investigates the rationality of monthly revisions in annual forecasts of supply, demand, and price for U.S. corn, cotton, soybeans, and wheat, published in the World Agricultural Supply and Demand Estimates over 1984/85 through 2011/12. The fin

 
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The dynamics of the Ukrainian farm wheat price volatility: Evidence from a dynamic conditional correlation GARCH model development
Linde Gotz, Kateryna Goychuk, Thomas Glauben and William H. Meyers
Year: 2013
 

Abstract

This paper investigates the development of price volatility in the Ukrainian wheat market from 2005 till 2012 within a dynamic conditional correlation GARCH model. The results indicate that the export controls in Ukraine have not significantly reduced pri

 
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Testing the Effectiveness of Using a Corn Call or a Feeder Cattle Put for Feeder Cattle Price Protection
Hernan A. Tejeda and Dillon M. Feuz
Year: 2013
 

Abstract

This paper studies the effect, from an options market perspective, that the substantial increase in corn prices and volatility has had on the feeder cattle market. An empirical study is conducted to compare the effectiveness of a feeder cattle operator us

 
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Actuarially Fair or Foul? Asymmetric Information Problems in Dairy Margin Insurance
John Newton, Cameron S. Thraen, and Marin Bozic
Year: 2013
 

Abstract

There is a wide consensus in the academic literature that asymmetric information in the form of adverse selection and moral hazard has resulted in sizable financial outlays for governmentsponsored crop insurance programs - ultimately becoming a costly m

 
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Pricing and Hedging Calendar Spread Options on Agricultural Grain Commodities
Adam Schmitz, Zhiguang Wang, and Jung-Han Kimn
Year: 2013
 

Abstract

The calendar spread options (CSOs) on agricultural commodities, most notably corn, soybeans and wheat, allow market participants to hedge the roll-over risk of futures contracts. Despite the interest from agricultural businesses, there is lack of both

 
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Information Transmission between Livestock Futures and Expert Price Forecasts
Jason Franken, Philip Garcia, Scott H. Irwin, and Xiaoli Etienne
Year: 2013
 

Abstract

We evaluate dynamic interaction between four expert forecasts, futures prices, and realized cash hog prices. Lag structures of three variable vector autoregression indicate dynamic interaction among futures and cash markets and that past forecasts impac

 
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Price Density Forecasts in the U.S. Hog Market: Composite Procedures
Andres Trujillo-Barrera, Philip Garcia, and Mindy Mallory
Year: 2013
 

Abstract

We develop and evaluate quarterly out-of-sample individual and composite density forecasts for U.S. hog prices using data from 1975.I to 2010.IV. Individual forecasts are generated from time series models and the implied distribution of USDA outlook for

 
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Price Discovery in the U.S. Fed Cattle Market
Kishore Joseph, Philip Garcia, and Paul E. Peterson
Year: 2013
 

Abstract

We study price discovery in the U.S. fed cattle market, examining the interaction among weekly live cattle futures, negotiated cash fed cattle, and boxed beef cutout prices. Extensive testing and innovation accounting based on directed acyclic graphs of

 
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Have Extended Trading Hours Made Agricultural Commodity Markets More Risky?
Nathan S. Kauffman
Year: 2013
 

Abstract

In May 2012, the Chicago Mercantile Exchange extended trading hours for several agricultural commodities, including corn. Since then, trading during the release of a key U.S. Department of Agriculture report known as the World Agricultural Supply and Dema

 
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How Could We Have Been So Wrong? The Puzzle of Disappointing Returns to Commodity Index Investments
Scott Main, Scott H. Irwin, Dwight R. Sanders, and Aaron Smith
Year: 2013
 

Abstract

Investments into commodity-linked investments have grown considerably since their popularity exploded—along with commodity prices—in 2006 through 2008. Numerous individuals and institutions have embraced alternative investments for their purported diversi

 
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Impacts of Crop Conditions Reports on National and Local Wheat Markets
Ryan Bain and T. Randall Fortenbery
Year: 2013
 

Abstract

The USDA releases crop condition reports that contain crop progress and growing conditions estimates for various crops including corn, soybeans, and winter wheat. Previous work has investigated national market impacts from various USDA reports. However,

 
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