NCCC-134
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The Value of Public Information in Storable Commodity Markets: Application to the Soybean Market
Christophe Gouel
Year: 2018
 

Abstract

This study provides a framework to estimate the potential effects and benefits of the provision of market information in storable commodity markets. This framework is applied to the case of production forecasts for the soybean market. A rational expectati

 
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Do Livestock Markets Still Value USDA Information?
Berna Karali, Olga Isengildina-Massa, and Scott H. Irwin
Year: 2018
 

Abstract

The informational value of U.S. Department of Agriculture (USDA) livestock reports for cattle and hogs futures markets is analyzed to determine potential impact of increased market concentration seen in the livestock industry over the last three decades.

 
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Forecasting Crop Prices using Leading Economic Indicators and Bayesian Model Selection
Yu Wang and Jeffrey H. Dorfman
Year: 2018
 

Abstract

Corn, wheat and soybeans are very important to the US agricultural sector as the main sources of many farmers’ income. Thus, forecasting the prices of these three crops is important. When considering model specification of crop price forecasting models, t

 
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How Well Do Commodity ETFs Track Underlying Assets?
Tyler Neff and Olga Isengildina-Massa
Year: 2018
 

Abstract

Exchange Traded Funds are growing in popularity and volume, however academic literature related to their performance is limited. This study analyzes how well the CORN, WEAT, SOYB, USO, and UGA commodity ETFs track their respective futures assets during th

 
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Wholesale Beef Futures Contract
Robert S. Thompson, Ardian Harri, Joshua G. Maples, and Eunchun Park
Year: 2018
 

Abstract

In this research, we develop methods to derive a price series that is theoretically sound for a hypothetical futures contract. We extend a futures valuation model to provide a valuation for a hypothetical futures contract. One such hypothetical contract t

 
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The Value of Public Information: Market Microstructure Noise and Price Volatility Spillovers in Agricultural Commodity Markets
Siyu Bian, Teresa Serra, and Philip Garcia
Year: 2018
 

Abstract

After 2013, major grain-related USDA announcements have been rescheduled to be released at 11:00 am CDT. Such a change granted researchers a great chance to study market volatilities and spillovers react to significant USDA information on real time. Also,

 
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Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role?
Tatiana Drugova, Veronica F. Pozo, Kynda R. Curtis and T. Randall Fortenbery
Year: 2018
 

Abstract

Growers considering organic conversion or maintaining current organic wheat production face uncertainties due to large variations in organic wheat prices over time. In this study, the risk associated with organic premiums is evaluated using 5% VaR, and th

 
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Dynamic Price Discovery of U.S. Fed Cattle Markets: Identifying Short Run Shock Effects through rolling ECM
Hernan A. Tejeda, Man-Keun Kim and Jeffrey Wright
Year: 2018
 

Abstract

This study re-examines the price discovery process of fed cattle markets by taking into account the dynamic effects from unexpected shocks to fed cattle markets. That is, we investigate whether ensuing shocks to the industry, specifically from BSE outbrea

 
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Cost of Immediacy during Large Price Movements: Evidence from Corn Futures Market
Xinyue He, Teresa Serra and Philip Garcia
Year: 2018
 

Abstract

Recent years have witnessed growing presence of intra-day large price movements in corn futures market. This paper focuses on the behavior of bid-ask spread, a gauge for the cost of immediacy, during various large price movements featuring dramatic price

 
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Quantifying the Announcement Effects in the U.S. Lumber Market
Zarina Ismailova, Shishir Shakya, Xiaoli L. Etienne, and Fabio Mattos
Year: 2018
 

Abstract

The impact of new information from public reports has been widely investigated in many commodity markets, but little attention has been paid to the lumber market. In this paper, we examine the impact of two housing market reports, namely the New Residenti

 
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Are Corn Futures Prices Getting “Jumpy”?
Anabelle Couleau, Teresa Serra, and Philip Garcia
Year: 2018
 

Abstract

Corn futures markets have experienced increased intraday price jumps which have been blamed on public information shocks and the reduced trading latency brought by electronic trading. This paper contributes to shed light on this issue by assessing intrada

 
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Impacts of Railroad Costs on Kansas Wheat Basis
Anton Bekkerman and Mykel Taylor
Year: 2018
 

Abstract

Numerous studies and their results have maintained a general consensus that variation in transportation costs between a central futures market and a local delivery market is a main determinant of basis. However, surprisingly few empirical estimates exist

 
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Market Power and Farm-Retail Price Transmission: The Case of U.S. Fluid Milk Markets
Charng-Jiun Yu and Brian W. Gould
Year: 2018
 

Abstract

In this paper we seek to understand the impact of market competitiveness on the degree of asym-metric price transmission and associated welfare implications. We estimate a kinked Almost Ideal Demand System for fluid milk products in 18 U.S. metropolitan a

 
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