NCCC-134
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From Auckland to Eau Claire: Price Transmission from International Dairy Markets to Local U.S. Milksheds
John Newton
Year: 2016
 

Abstract

The price relationships governing dairy commodity price transmission among the U.S., Oceania, and EU markets are considered using Vector Autoregressive and Vector Error Correction models. Results demonstrate a one-way price relationship for U.S. dry milk

 
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Relationship of Grain Stocks and Marketing Behavior
Tyler Holmquist, Matthew A. Diersen and Nicole Klein
Year: 2016
 

Abstract

Farmers, merchandisers and end-users are faced with the challenge of allocating stocks of grains and oilseeds throughout the marketing year. Farmers want to obtain the best price subject to storage costs and storage constraints. Merchandisers want to asse

 
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Hedging the Crack Spread during Periods of High Volatility in Oil Prices
Pan Liu, Dmitry Vedenov, Gabriel J. Power
Year: 2016
 

Abstract

Traditional approach to hedging crude oil refining margin (crack spread) adopts a fixed 3:2:1 ratio between the futures positions of crude oil, gasoline, and heating oil. However, hedging the latter in arbitrary proportions might be more effective under s

 
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Determining the Effectiveness of Exchange Traded Funds as a Risk Management Tool for Southeastern Producers
Will Maples, Ardian Harri, John Michael Riley, Jesse Tack, and Brian Williams
Year: 2016
 

Abstract

This research investigates the use of commodity exchange traded funds (ETFs) as a price risk management tool for agriculture producers. The effectiveness of using ETFs to hedge price risk will be determined by calculating optimal hedge ratios. This paper

 
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The Effect of Pit Closure on Futures Trading
Eleni Gousgounis and Esen Onur
Year: 2016
 

Abstract

Motivated by CME’s decision to close down most of the futures pits in July of 2015, we analyze the changes in a number of important CME futures markets between 2012 and 2016. We find that although futures pit trading has been diminished to very low levels

 
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Commodity Price Co-Movements: Back to Normal
Marie Steen and Ole Gjolberg
Year: 2016
 

Abstract

We present evidence overruling the claim that commodity prices over the recent ten years have been moving increasingly and permanently more in sync in the short term. True, correlations across physically unrelated commodities increased during the commodit

 
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Risk Management: Hedging Potential for U.S. Breweries
Alejandro Prera, T. Randall Fortenbery, and Thomas L. Marsh
Year: 2016
 

Abstract

In this paper we investigate the potential to develop hedging strategies for firms in the U.S. brewing sector. The primary ingredients for beer are hops (grown in many different varieties), grain malt (mostly malted barley but also other grains), wheat, y

 
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The Economic Impact of the 2015 Avian Influenza outbreak on U.S. Egg Prices
Agnieszka Dobrowolska and Scott Brown
Year: 2016
 

Abstract

This study provides a partial equilibrium approach to quantifying the effect of the Highly Pathogenic Avian Influenza (HPAI) outbreak that occurred in the United States in late 2014 and early 2015. The quarterly model provides an estimate of egg prices th

 
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What Drives Volatility Expectations in Grain Markets?
Michael K. Adjemian, Valentina G. Bruno, Michel A. Robe, and Jonathan Wallen
Year: 2016
 

Abstract

We analyze empirically the drivers of grain option-implied volatilities (IVs). Forward-looking uncertainty and risk aversion in equity market (jointly captured by the VIX) and the state of commodity inventories (proxied by the net cost of carry for eac

 
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The Information Content in the Term Structure of Commodity Prices
Xiaoli L. Etienne and Fabio Mattos
Year: 2016
 

Abstract

In this paper, we investigate the term structure of agricultural commodity prices. Using corn as an example, we demonstrate that commodity futures price curve can be wellapproximated by three latent factors: level, slope, and curvature obtained from a

 
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Valuing Public Information in Agricultural Commodity Markets:WASDE Corn Reports
Philip Abbott, David Boussios and Jess Lowenberg-DeBoer
Year: 2016
 

Abstract

Monthly WASDE reports by USDA estimate current and future global supply-utilization balances for various commodities, including corn. Existing literature has shown that markets respond to WASDE releases (news effects) but has not quantified the value or

 
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Forecasting Quality Grade and Certified Angus Beef Premiums
Jason Franken and Joe Parcell
Year: 2016
 

Abstract

We evaluate the mean squared error and mean absolute percentage error of alternative forecasts of quality grade and Certified Angus Beef (CAB) premiums, which may be of interest to cow-calf producers, feeders, and packers. A supply and demand model and

 
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The Value of USDA Information in a Big Data Era
Olga Isengildina-Massa, Berna Karali, Scott H. Irwin, Michael K. Adjemian, and Xiang Cao
Year: 2016
 

Abstract

The goal of this study is to determine how big data and access to information affects the role and impact of USDA’s situation and outlook programs. Changes in market reaction to various USDA reports including WASDE, Crop Production, Grain Stocks, Prospe

 
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Market Concentration in the Wheat Merchandizing Industry
Anton Bekkerman and Mykel Taylor
Year: 2016
 

Abstract

Prices offered to farmers by grain handling facilities have been shown to be affected by the spatial competition structure of the market within which these facilities operate. However, little information exists about how elevators' technological and own

 
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Exploring Commodity Trading Activity: An Integrated Analysis of Swaps and Futures
Scott Mixon, Esen Onur, and Lynn Riggs
Year: 2016
 

Abstract

This paper provides the first public analysis of a cross-section of physical commodity swap markets using proprietary position data collected by the Commodity Futures Trading Commission. We find that futures markets are generally larger than swaps marke

 
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The Reference Price Effect on Crop Producer’s Hedging Behavior
Ziran Li, Keri Jacobs, Nathan Kauffman and Dermot Hayes
Year: 2016
 

Abstract

Crop producers’ hedging behavior is at odds with the optimal hedging under expect utility theory. However, there is little consensus on how producers hedge otherwise. In this paper we present an intriguing empirical observation using the Commitment of Tra

 
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The Components of the Bid-Ask Spread: Evidence from the Corn Futures Market
Quanbiao Shang, Mindy Mallory, and Philip Garcia
Year: 2016
 

Abstract

This paper examines whether USDA announcements and commodity index fund rolling activity has an impact of liquidity costs, measured by the Bid-Ask-Spread. Using Huang and Stoll’s (1997) model of liquidity costs, we estimate whether changes to liquidity co

 
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Identifying the Impact of Financialization on Commodity Futures Prices from Index Rebalancing
Lei Yan, Scott H. Irwin, and Dwight R. Sanders
Year: 2016
 

Abstract

Attempts to detect the impact of financialization on commodity futures prices are often subject to the criticism of weak identification. This paper addresses the issue by investigating the rebalancing of the S&P Goldman Sachs Commodity Index. Investment

 
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