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

Impacts of Non-Grade Quality Factors on North Dakota Origin Soybean Basis Values: A Panel Regression Analysis
David W. Bullock, William W. Wilson, and Ryan Thompson
Year: 2021
 

Abstract

The impact of protein and essential amino acid (cysteine, lysine, methionine, threonine, and tryptophan) content upon North Dakota origin basis values was examined using a panel dataset covering eight Crop Reporting Districts (CRDs) over ten marketing yea

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



A Comprehensive Evaluation of Commodity Tracking Divergence Divergence
Colburn Hassman, Olga Isengildina-Massa, and Shamar Stewart
Year: 2021
 

Abstract

This paper investigates differences in returns between the ETF price, Net Asset Value, and Benchmark Asset Baskets for five popular futures-backed ETFs. We decompose tracking difference to examine the relative size of tracking differences attributable to

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



Buying Time: The Effect of Market Facilitation Program Payments on the Supply of Grain Storage
Bryn Swearingen and Joseph Janzen
Year: 2021
 

Abstract

We estimate the impact that the Market Facilitation Program (MFP) payments had on farmers' willingness to store grain. Using a fixed effects model across multiple dimensions and state-level data on MFP, grain stocks, production, and export dependence, we

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



A Multivariate Quantile Analysis of Price Transmission in the Soybean Complex
Yao Yang and Berna Karali
Year: 2021
 

Abstract

Asymmetric price transmission has been an important question for understanding the price relationship among input and output markets in a supply chain. This study investigates asymmetric price transmission in the U.S. soybean complex by using a vector aut

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



How Do Changes in Market Fundamentals Affect Hedging in US Live Cattle Markets?
Walter Ac-Pangan and Brian K. Coffey
Year: 2021
 

Abstract

An increase in basis variability complicates hedging price risk management and causes hedging effectiveness to decrease. This is one reason that volatility in US live cattle basis has raised concerns over the last decade. The purpose of this analysis is t

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



Identifying the Purpose and Success of Dairy Futures Contracts: Are Class III and Cheese Futures Contracts Serving Distinct Markets?
Hernan A. Tejeda, Andres Trujillo-Barrera and T. Randall Fortenbery
Year: 2021
 

Abstract

Weekly cash cheese prices are highly correlated with weekly average cheese futures prices. In addition, cash cheese prices exhibit a high degree of correlation with weekly average Class III milk futures. Lastly, cheese futures and Class III milk futures a

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



Correlations Go to One in a Crisis: Did the COVID 19 Market Crash Bring Cattle Futures and Equities Together?
Eli Mefford and Mindy Mallory
Year: 2021
 

Abstract

We investigate the impacts of Covid-19 on cattle futures markets during the first half of 2020. This study focuses on cattle futures response to the equities crash in March of 2020 and the Covid-linked production delays at beef packing plants. We observe

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



The Role of Storage in Commodity Markets: Indirect Inference Based on Grains Data
Christophe Gouel and Nicolas Legrand
Year: 2021
 

Abstract

This paper develops and estimates a rational expectations storage model with rich dynamic features. The model incorporates elastic supply, long-run demand and cost trends, and four structural shocks. It is estimated by indirect inference using a linear su

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



Evaluating USDA's Baseline Projections
Siddhartha Bora, Ani L. Katchova and Todd Kuethe
Year: 2021
 

Abstract

Agricultural baselines play an important role in shaping agricultural policy, yet there are few studies evaluating these projections. This study evaluates the accuracy and informativeness of two widely used baselines for the US farm sector published by th

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



The Impact of Futures Contract Storage Rate Policy on Convergence Expectations in Domestic Commodity Markets
Alankrita Goswami, Michael K. Adjemian and Berna Karali
Year: 2021
 

Abstract

Grain futures contracts that permit physical delivery do so through an exchange of delivery instruments. Because delivery instruments can be held indefinitely, extant research shows that futures contracts that assign inflexible and low storage rates relat

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



Decomposing USDA Ending Stocks Forecast Errors
Raghav Goyal, Michael K. Adjemian, Joseph Glauber & Seth Meyer
Year: 2021
 

Abstract

The U.S. Department of Agriculture (USDA) publishes monthly Ending Stocks projections, providing an estimate of the end-of-marketing-year inventory of a particular commodity, which effectively summarizes supply and demand outlook. By comparing USDA's proj

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



Forecasting Winter Wheat Basis with Soil Moisture Measurements
Noah Miller, Mykel Taylor, Ignacio Ciampitti, and Jesse Tack
Year: 2021
 

Abstract

Recent literature on basis forecasting has attempted to improve upon naive forecasts by incorporating current marketing year information (in the form of basis deviation from historical levels). Given that basis is determined at each grain elevator locatio

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



Canary in the Coal Mine: COVID-19 and Soybean Futures Market Liquidity
Kun Peng, Zhepeng Hu, Michel A. Robe, and Michael K. Adjemian
Year: 2021
 

Abstract

We document the impact of the early stages of the COVID-19 pandemic on liquidity in U.S. agricultural markets. Notably, we show that soybean futures-market depth collapses weeks before the U.S. financial markets' crash of March 2020. Soybean futures liqui

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



Maximum Order Size and Agricultural Futures Market Quality: Evidence from a Natural Experiment
Kun Peng, Zhepeng Hu and Michel A. Robe
Year: 2021
 

Abstract

We exploit an exchange-mandated increase of the maximum order size, in the U.S. corn calendar spread market, in order to investigate the connection between exogenous constraints on order placement and execution, volatility, and liquidity. We show that the

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



Do Extreme CIT Position Levels Have Market Impacts in Grain Futures Markets?
Jiarui Li, Scott H. Irwin, and Xiaoli L. Etienne
Year: 2021
 

Abstract

The "Masters Hypothesis" argues that the growing buying pressure from commodity index funds since 2000 drove up food and energy prices. A group of studies use linear Granger causality tests to examine the relationship between the speculative pressure and

 
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