NCCC-134
Home Paper Archive What's new Submissions Program Executive Committee Contact Subscribe

The Long-term Effects of Meat Recalls on Futures Markets
Matt Houser and Jeffrey H. Dorfman
Year: 2017
 

Abstract

Over the past twenty years, there has been an increasing trend in the number of recalls. Despite increased safety control standards, foodborne disease outbreaks continue to impact the food supply. A common source of foodborne illness and fatal infection i

 
Click here for a copy of the paper in Adobe's PDF format.



Assessing the Accuracy of USDA’s Farm Income Forecasts: The Impact of ARMS
Todd H. Kuethe, Todd Hubbs, and Dwight R. Sanders
Year: 2017
 

Abstract

The USDA’s forecasts for net farm income are important inputs for businesses, legislators, economists, and other policy-makers. While the USDA has been providing forecasts for net farm income for over 50 years, they have not been rigorously analyzed in re

 
Click here for a copy of the paper in Adobe's PDF format.



Hedging Effectiveness of Fertilizer Swaps
William E. Maples, B. Wade Brorsen, and Xiaoli L. Etienne
Year: 2017
 

Abstract

One potential tool fertilizer dealers and producers have to protect themselves against fertilizer price risk is the fertilizer swaps market. Swaps usually settle using a floating variable price that is determined by an index of cash prices. This paper cal

 
Click here for a copy of the paper in Adobe's PDF format.



Time Series Modeling of Cash and Futures Commodity Prices
Joshua G. Maples and B. Wade Brorsen
Year: 2017
 

Abstract

Commodity prices exhibit differing levels of mean reversion and unit root tests are a standard part of the analysis of commodity price series. Changing underlying means are inherent in commodity prices and can create biased estimates if not correctly spec

 
Click here for a copy of the paper in Adobe's PDF format.



Examining Dynamically Changing Cattle Market Linkages with Inventory as Controlled Transitions
Yunhan Li, Wenying Li, and Jeffrey H. Dorfman
Year: 2017
 

Abstract

This article reports tests of price cointegration of cattle markets in the U.S. and proposes a simple procedure for incorporating a flexible transition function into the ECON smooth transition autoregressive (ECON-STAR) model to evaluate market dynamics o

 
Click here for a copy of the paper in Adobe's PDF format.



The Effects of Microstructure Noise on Realized Volatility in the Live Cattle Futures Market
Anabelle Couleau, Teresa Serra, and Philip Garcia
Year: 2017
 

Abstract

Recently, U.S. live cattle futures prices have experienced high levels volatility which has raised concerns about the impact of high frequency trading. This paper identifies the market microstructure noise present in high frequency data and its implicatio

 
Click here for a copy of the paper in Adobe's PDF format.



The Cost of Forward Contracting in CIF NOLA Export Bid Market
Bradley Isbell, Andy M. McKenzie and B. Wade Brorsen
Year: 2017
 

Abstract

Price risk management in the grain industry is typically done by hedging with forward contracts and futures contracts. An additional important price discovery and risk management “paper market” also exists in the form of CIF NOLA basis bids, traded throug

 
Click here for a copy of the paper in Adobe's PDF format.



Is the Value of USDA Announcement Effects Declining over Time?
Jiahui Ying, Yu Chen and Jeffrey H. Dorfman
Year: 2017
 

Abstract

The value of USDA reports in commodity futures markets has been intensively researched, while whether such an effect is increasing or decreasing over time has rarely been answered. Given the fact that much more diverse information is available in today’s

 
Click here for a copy of the paper in Adobe's PDF format.



Evaluating Crop Forecast Accuracy for Corn and Soybeans in the United States, China, Brazil, and Argentina
Katie Cumming, Fabio Mattos and Xiaoli L. Etienne
Year: 2017
 

Abstract

Commodity prices are determined by the dynamics of supply and demand and they oscillate over time according to market participants’ price expectations, which are in return formed and updated based on new information available on the market. Previous studi

 
Click here for a copy of the paper in Adobe's PDF format.



Performance of the Producer Accumulator in Corn and Soybean Commodity Markets
Chad Te Slaa, Lisa Elliott, Matthew Elliott, and Zhiguang Wang
Year: 2017
 

Abstract

This research quantifies risk reduction and performance of the producer accumulator contract in corn and soybean markets. To quantify performance, we use three alternative theoretical pricing models to estimate historical producer accumulator contract spe

 
Click here for a copy of the paper in Adobe's PDF format.



Forecasting Hard Red Winter and Soft White Wheat Basis in Washington State
Wenxing Song and T. Randall Fortenbery
Year: 2017
 

Abstract

The objective of the study is rst to identify economic factors that in uence two speci c classes of wheat: hard red winter (HRW) and soft white (SWW) wheat, and develop models to improve the forecast performance of basis in Washington State. Earlier work

 
Click here for a copy of the paper in Adobe's PDF format.



Automation in the Hedge-Ratio Estimation Cottage Industry
Roger A. Dahlgran
Year: 2017
 

Abstract

Futures markets can be used to minimize a firm’s financial exposure to cash price fluctuations, but it’s costly to determine the futures position size that minimizes this risk. We present survey results that indicate that finding the risk-minimizing futur

 
Click here for a copy of the paper in Adobe's PDF format.



Is Pit Closure Costly for Customers? A Case of Livestock Futures
Eleni Gousgounis and Esen Onur
Year: 2017
 

Abstract

Motivated by CME’s decision to close down most of the futures pits in July of 2015, we analyze the changes in the livestock futures market between 2014 and 2016. The livestock futures market, which had an active presence at the pit prior to the closure, h

 
Click here for a copy of the paper in Adobe's PDF format.



Trade Impact in the Electronic Grain Futures Markets
Zhiguang Wang, Suchismita Mishra and Lisa Elliott
Year: 2017
 

Abstract

The rise of large/institutional traders in agricultural commodities calls for research on the analysis of market impact of trading. We aim to uncover the pattern and duration of market impact of trading in corn, soybeans and wheat during the period of 200

 
Click here for a copy of the paper in Adobe's PDF format.



Futures-Based Forecasts of U.S. Crop Prices
Jiafeng Zhu and Olga Isengildina-Massa
Year: 2017
 

Abstract

This study proposed two futures-based models for forecasting cash prices of corn, soybeans, wheat and cotton over the period 2000-2016. The difference model predicts changes in cash prices as a function of changes in futures prices. The regime model speci

 
Click here for a copy of the paper in Adobe's PDF format.



Corporate Hedging In Incomplete Markets: A Solution Under Price Transmission
Rui Luo and T. Randall Fortenbery
Year: 2017
 

Abstract

This paper provides dynamic minimum-variance hedges for firms in incomplete markets. Our hedges accounts for price transmission between the input and output prices, and thereby enable firms to minimize both input and output price fluctuations through trad

 
Click here for a copy of the paper in Adobe's PDF format.



Are Futures Prices Good Price Forecasts? Nonlinearities in Efficiency and Risk Premiums in the Soybean Futures Market
Joshua Huang, Teresa Serra, Philip Garcia
Year: 2017
 

Abstract

Recent research has pointed to a reduction in predictive content in several agricultural futures markets. We investigate short-run forecast in the soybean futures market complex to identify predictive content and the sources of forecast errors. A non-para

 
Click here for a copy of the paper in Adobe's PDF format.



Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets
Zhepeng Hu, Mindy Mallory, Teresa Serra, and Philip Garcia
Year: 2017
 

Abstract

Futures market contracts with varying maturities are traded concurrently and the speed at which they process information is of value in understanding the pricing discovery process. Using price discovery measures, including Putninš’ (2013) information l

 
Click here for a copy of the paper in Adobe's PDF format.


Home | Paper Archive | What's New | Submissions | Program | Executive Committee | Contact Us | Subscribe