NCCC-134
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Managing Rail Logistics Risks Faced by Shippers: A Value-at-Risk Approach
David W. Bullock, William W. Wilson, and Isaac Wilson
Year: 2022
 

Abstract

In addition to the traditional market price risks, origin shippers of grains and oilseeds face risks related to the costs associated with the handling, storage, and transport of crops to their destination markets. To more closely examine the nature of the

 
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Do USDA Reports Contribute to Extreme Price Volatility? The Case of the Soybean Complex
Yao Yang and Berna Karali
Year: 2022
 

Abstract

USDA reports are publicly available and provide important fundamental information on agricultural commodities. An extensive literature finds evidence of price or volatility spikes following USDA report releases, especially for major crops. These crops are

 
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Herding in the USDA International Baseline Projections
Rabail Chandio and Ani Katchova
Year: 2022
 

Abstract

USDA's annual Agricultural Baseline Projections contribute significantly to agricultural policy in the United States, and hence their accuracy is vital. The baseline projections present a neutral policy scenario assuming a specific macroeconomic situation

 
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An Examination of the USDA Net Cash Farm Income Forecast Reliability using a New Archival Farm Income Dataset: A Case Study of the 2020 Forecasts and Estimates
Tatiana Borisova, Carrie Litkowski, and Okkar Mandalay
Year: 2022
 

Abstract

USDA Economic Research Service (ERS) releases short-term forecasts and estimates of farm sector income three times a year, informing the public on the financial health of the U.S. agriculture sector. This paper presents the new data archive of ERS's farm

 
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Agricultural Baselines Using Deep Learning
Siddhartha Bora and Ani Katchova
Year: 2022
 

Abstract

Long-term forecasts about commodity market indicators play an important role in informing policy and investment decisions by governments and market participants. The USDA's baseline reports are the primary source of long-term information for the US farm s

 
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On the Dependence Structure of European Vegetable Oil Markets
Romain Menier, Guillaume Bagnarosa, and Alexandre Gohin
Year: 2022
 

Abstract

Motivated by the current context of high and volatile energy and food prices, we examine the conditional variance-covariance matrix dynamics and price discovery process characterising European vegetable oils. In addition to outcomes differences using dail

 
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Weekly Options on Grain Futures
Matthew Diersen and Zhiguang Wang
Year: 2022
 

Abstract

Shorter-dated options have become more popular in the grain and oilseeds markets. While they remain tied to (or derivatives on) the common underlying futures contracts, they have shorter tenor or maturity dates than the regular options that are typically

 
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Microstructure and High-Frequency Price Discovery in the Soybean Complex
X. Zhou, G. Bagnarosa, A. Gohin, J. Pennings, and P. Debie
Year: 2022
 

Abstract

We develop a theoretical framework and propose a relevant empirical analysis of the soybean complex prices cointegration relationship in a highfrequency setting. We allow for heterogeneous expectations among traders on the multi-asset price dynamics and c

 
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Overseas Impact of USDA Reports: Evidence from Chinese Soybean Complex Futures
Zhepeng Hu and Mindy Mallory
Year: 2022
 

Abstract

The value of USDA reports in the U.S. agricultural commodity futures markets has been intensively researched, but few studies have examined market responses to USDA reports in overseas markets. This paper investigates announcement effects of major USDA re

 
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