NCCC-134
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Managing Risk in Ethanol Processing Using Formula Pricing Contracts
David W. Bullock and William W. Wilson
Year: 2019
 

Abstract

Manufacturers of ethanol face considerable pricing risk from both an input (corn and natural gas) and output (ethanol, distillers dried grains, and corn oil) in addition to the fluctuating value of the ethanol renewable identification numbers (D6 RINs) at

 
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Factors Influencing the Gulf and Pacific Northwest (PNW) Soybean Export Basis: An Exploratory Statistical Analysis
David W. Bullock and William W. Wilson
Year: 2019
 

Abstract

Growth in the export marketing of soybeans has drawn attention to the basis volatility in these market channels. Indeed, there has been greater growth in soybean exports compared to other commodities and this is due in part to the growth of exports to Chi

 
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Corn-Crush Hedging – Does Location Matter?
Roger A. Dahlgran and Rajat Gupta
Year: 2019
 

Abstract

At the end of 2018, 200 ethanol refineries were operating in the U.S. and processing nearly 40 percent of U.S. corn production. These refineries are widely dispersed and the typical ethanol refining firm operates several plants. Hedging is widely used

 
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Basis Forecasting Performance of Composite Models: An Application to Corn and Soybean Markets
Kexin Ding and Berna Karali
Year: 2019
 

Abstract

Numerous studies have examined the performance of different models on basis forecasting while none of them has compared relative performance of composite models. In order to further improve basis forecasting accuracy, the crux of hedge management strategi

 
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The Delaying Effect of Storage on Investment: Evidence from The Crude Oil Sector
Assia Elgouacem and Nicolas Legrand
Year: 2019
 

Abstract

Our paper provides a theoretical framework able to represent with accuracy a consistent relationship between fixed capital investment, storage and the term structure of prices in a storable commodity market. It aims at understanding the interaction of sto

 
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Does a Nexus Exist between Implied Volatility and Storage Regimes in Agricultural Commodities?
Alankrita Goswami and Berna Karali
Year: 2019
 

Abstract

Considering that Working curve is a well-established stylized fact and that backwardation exists in the grain markets, we build upon the existing literature to explore the nexus between implied volatility (IV) and storage regimes in substitute agricultura

 
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The Impact of Brazil on Global Grain Dynamics: A Study on Cross-market Volatility Spillovers
Felipe Grimaldi Avileis and Mindy Mallory
Year: 2019
 

Abstract

We will investigate the evolution of the relationship between Brazilian and Global grain markets. Through a three step approach, we will test the series for cointegration, proceed with the adequate modeling (VAR or VECM) and use the residuals of these mod

 
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Driving Black Sea Grain Prices:Evidence on CBoT Futures and Exchange Rates
Maximilian Heigermoser, Linde Gotz, and Tinoush Jamali Jaghdani
Year: 2019
 

Abstract

Over the last two decades, the Black Sea region developed to be a key global exporting region for corn and wheat. However, many market participants grapple with insufficient knowledge of factors that drive Black Sea spot prices, while effective futures ma

 
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Sources of Errors In USDA’s Net Cash Income Forecasts
Olga Isengildina Massa, Berna Karali, Todd Kuethe and Ani Katchova
Year: 2019
 

Abstract

This study evaluates the accuracy of net cash income (NCI) forecasts and its components in order to track down the main sources of errors in NCI forecasts over 1986-2017. Specifically, we examine the bias as well as the correlation between errors in net c

 
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Wheat Futures Trading Volume Forecasting and the Value of Extended Trading Hours
Joseph P. Janzen and Nicolas Legrand
Year: 2019
 

Abstract

Electronic trading in modern commodity markets has extended trading hours, lowered barriers to listing new contracts, broadened participation internationally, and encouraged entry of new trader types, particularly algorithmic traders whose order execution

 
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The Change in Price Elasticities in the U.S. Beef Cattle Industry and the Impact of Futures Prices in Estimating the Price Elasticities
Sei Jeong
Year: 2019
 

Abstract

This paper estimates price elasticities in the U.S. beef cattle industry by using the data for the time period during December 1999 and June 2018. In addition to the adaptive model which was used by many previous studies this study also uses rational expe

 
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Fundamentals and Grain Futures Markets
Berna Karali, Olga Isengildina-Massa, and Scott H. Irwin
Year: 2019
 

Abstract

A long-standing puzzle in commodity markets is the low explanatory power of supply and demand fundamentals for explaining the variability of prices in these markets. We apply an instrumental variables correction for measurement errors to investigate how n

 
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An Update and Re-Estimation of the ERS Livestock Baseline Model
William E. Maples, B. Wade Brorsen, William F. Hahn, Matthew MacLachlan, and Lekhnath Chalise
Year: 2019
 

Abstract

This report describes a re-estimation of the Economic Research Service (ERS) domestic livestock baseline model. The model consists of production, demand, and price transmission sections for the beef, pork, broiler, and turkey sectors. The updated model la

 
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Can Satellite Data Forecast Valuable Information from USDA Reports ? Evidences on Corn Yield Estimates
Pierrick Piette
Year: 2019
 

Abstract

On the one hand, recent advances in satellite imagery and remote sensing allow one to easily follow in near-real time the crop conditions all around the world. On the other hand, it has been shown that governmental agricultural reports contain useful news

 
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Evaluation of Ambiguity in Commodity Futures Markets: Analysis of Corn and Coffee Futures Prices
Waldemar Souza, Rafael Palazzi, Carlos Heitor Campani, and Martin Bohl
Year: 2019
 

Abstract

Ambiguity, defined as the uncertainty in probability distribution of asset prices resulting from misinterpretation of lack of information, is a current feature of financial assets. There are few empirical studies of ambiguity in financial and commodity fu

 
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Cost and Cooperation: The Effects of Section 199 on the Basis Offered by Grain Marketing Cooperatives
Andrew Swanson, Anton Bekkerman, and Mykel Taylor
Year: 2019
 

Abstract

The 2004 American Jobs Creation Act created Section 199, a tax provision for producers of domestic goods. During the ensuing decade, Section 199 became especially important for agricultural cooperatives, partly because of a series of favorable Internal Re

 
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Intraday Trading Invariance in the Grain Futures Markets
Zhiguang (Gerald) Wang
Year: 2019
 

Abstract

We test the microstructure invariance proposed by Kyle and Obizhaeva (2016) in the grain markets. Using the CME's intraday best-bid-o er data from 2008 to 2015, we nd support for both trade size invariance and trading cost invariance at 1-minute, 5-minut

 
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