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| The ‘Necessity’ of New Position Limits in Agricultural Futures Markets:
The Verdict from Daily Firm-Level Position Data
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| Dwight R. Sanders and Scott H. Irwin |
| Year: 2014 |
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Abstract
Regulators are proposing new position limits in U.S. commodity futures markets while the actual impact of long-only index funds on futures prices continues to be debated. Researchers have noted the data limitations—frequency and market breadth—associated
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Click here for a copy of the paper in Adobe's PDF format.
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| Quantifying Public and Private Information Effects on the Cotton Market
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| Ran Xie, Olga Isengildina-Massa, Julia L. Sharp, and Gerald P. Dwyer |
| Year: 2014 |
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Abstract
The study evaluates the impact of four public reports and one private report on the cotton
market: Export Sales, Crop Progress, World Agricultural Supply and Demand Estimates
(WASDE), Perspective Planting, and Cotton This Month. The best fitting GARCH m
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Click here for a copy of the paper in Adobe's PDF format.
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| Forecasting of Futures Prices: Using One Commodity to Help Forecast Another
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| Anzhi Li and Jeffrey H. Dorfman |
| Year: 2014 |
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Abstract
Managers of businesses that involve agricultural commodities need price forecasts in order to
manage the risk in either the sale or purchase of agricultural commodities. This paper examines
whether commodity price forecasting model performance can be im
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Click here for a copy of the paper in Adobe's PDF format.
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| How Do Agricultural Futures Prices Respond To New Information About Drought Conditions?
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| Kathleen Brooks, Fabio Mattos, and Karina Schoengold |
| Year: 2014 |
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Abstract
This study tests whether information provided by the U.S. Drought Monitor impacted futures
prices for commodities between 2000 and 2012. Results based on the November futures prices
for soybeans indicate that there is a statistically significant differe
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Click here for a copy of the paper in Adobe's PDF format.
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| Chewing the Cud on Using Multi-Commodity Hedge Ratios To Manage Dairy Farm Risk
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| John Newton, Cameron S. Thraen, and Marin Bozic |
| Year: 2014 |
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Abstract
This study examines the risk management opportunities for regional mailbox milk prices and
composite income-over-feed-cost margins using alternative milk and input cost risk management
strategies. Multi-commodity hedge ratios are estimated using cash an
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Click here for a copy of the paper in Adobe's PDF format.
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| Spatial Price Efficiency in the Urea Market
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| Zhepeng Hu and Wade Brorsen |
| Year: 2014 |
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Abstract
Urea fertilizer is widely used in the U.S., however, most urea is not openly traded and formula pricing is common. This study measures the efficiency of spatial urea prices in the New Orleans-Arkansas River urea market and the New Orleans-Middle East urea
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Click here for a copy of the paper in Adobe's PDF format.
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| Portfolio Investment: Are Commodities Useful?
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| Lei Yan and Philip Garcia |
| Year: 2014 |
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Abstract
This paper investigates the usefulness of commodities in investors' portfolios within a mean-
variance optimization framework. The analysis di ers from previous research by considering
multiple investment tools including individual commodity futures con
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Click here for a copy of the paper in Adobe's PDF format.
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| Bayesian Analysis of a Comprehensive Model for Agricultural Futures
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| Adam Schmitz, ZhiguangWang, and Jung-Han Kimn |
| Year: 2014 |
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Abstract
Agricultural futures price features stochastic volatility, seasonal spot price volatility,
and stochastic cost-of-carry. We propose a single comprehensive model that inludes all
these features. We apply the proposed model to analyze the corn futures mar
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Click here for a copy of the paper in Adobe's PDF format.
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| Return and Risk Performance of Basis Strategy: A Case Study of Illinois Corn and Soybeans, 1975-2012 Crop Years
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| Sanghyo Kim, Carl Zulauf, and Matthew Roberts |
| Year: 2014 |
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Abstract
The study examines if a storage strategy based on the cash-futures basis (the basis strategy)
has been profitable over the 1975-2012 crop years for Illinois corn and soybeans. The study
first examines the means and standard deviations of annual net stor
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Click here for a copy of the paper in Adobe's PDF format.
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| Soybean Oil Spatial Price Dynamics
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| JewelwayneS. Cain and Joe L. Parcell |
| Year: 2014 |
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Abstract
We analyze the price relationship of refined-bleached-deodorized (RBD) soybean oil prices among four regional U.S. markets (Central Illinois, U.S. Gulf, West Coast, and East Coast). Econometric time-series methods were used to detect price integration, li
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Click here for a copy of the paper in Adobe's PDF format.
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| The Competitive Position of the Black Sea Regionin World Wheat Export Markets
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| Daniel M. O’Brien and Frayne Olson |
| Year: 2014 |
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Abstract
Differences in physical quality characteristics among classes or types of wheat are often reflected in global cash wheat prices in general, and in wheat prices and sales involving major Black Sea Region exporters Russia, Ukraine and Kazakhstan in particul
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Click here for a copy of the paper in Adobe's PDF format.
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| Sources of Roll-Related Returns in the S&P GSCI Excess Return Index
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| Di Hu and Paul E. Peterson |
| Year: 2014 |
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Abstract
Standard & Poor’s Goldman Sachs Commodity Index (S&P GSCI) is the largest tradable
commodity index fund in the world with more than $80 billion in S&P GSCI-related
investments. Investors have been led to believe that investing in the S&P GSCI during
pe
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Click here for a copy of the paper in Adobe's PDF format.
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| The Performance of U.S. Ethanol Futures Markets on the World Stage
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| Roger A. Dahlgran, Waldemar Antônio da Rocha de Souza, Jingyu Liu, and Xiaoyi (Dora) Yang |
| Year: 2014 |
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Abstract
This study examines the feasibility of Brazilian ethanol dealers using the U.S. ethanol futures
contract as a price-risk management vehicle. This application is appropriate given that the U.S.
and Brazil are the world’s largest and second largest ethano
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Click here for a copy of the paper in Adobe's PDF format.
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| A Structural Approach to Disentangling Speculative and Fundamental Influences on the Price of Corn
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| Xiaoli L. Etienne, Scott H. Irwin, and Philip Garcia |
| Year: 2014 |
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Abstract
Corn prices experienced enormous volatility over the last decade. In this paper, we apply a structural vector autoregression model to quantify the relative importance of various contributing factors in driving corn price movements. The identification of s
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Click here for a copy of the paper in Adobe's PDF format.
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| How Large Is the Agricultural Swaps Market?
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| Paul E. Peterson |
| Year: 2014 |
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Abstract
This study is the first detailed examination of trading activity in the agricultural
swaps market, covering 22 major agricultural commodities during the first 13 months of
reporting under the Dodd-Frank Act. It is also the first to quantify the size of
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Click here for a copy of the paper in Adobe's PDF format.
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| Competing for Wheat in the Great Plains: Impacts of Shuttle-Loading Grain Facilities on Basis Patterns
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| Anton Bekkerman, Mykel Taylor, Gage Ridder, and Brian Briggeman |
| Year: 2014 |
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Abstract
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Click here for a copy of the paper in Adobe's PDF format.
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| Marketing Strategies for Soybeans in 1997-2012: Performance Persistence and Risk-return Tradeoffs
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| Fabio Mattos and Kathleen Brooks |
| Year: 2014 |
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Abstract
This working paper discusses preliminary ideas of a research project that explores the performance of marketing strategies. In this first step only strategies using futures contracts for soybeans are examined. A set of 26 marketing strategies was simulate
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Click here for a copy of the paper in Adobe's PDF format.
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