NCCC-134
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Short-Term Factors Influencing Corn Export Basis Values in the Pre- and Post-COVID Periods: A Comparison of Econometric and Machine Learning Approaches
Shaina S. Bullock, David W. Bullock, and William W. Wilson
Year: 2023
 

Abstract

Rapid technological improvements in data digitization and computing power have paved the way for more advanced quantitative techniques in market analysis, particularly in the area of machine learning. This study utilized two traditional econometric and fo

 
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Market Integration and Price Transmission among Major Cotton Trading Countries
Susmitha Kalli, Munisamy Gopinath, Yangxuan Liu and Berna Karali
Year: 2023
 

Abstract

This research evaluates the extent of market integration and direction of price transmission among major cotton trading countries before and after the COVID-19 pandemic. We hypothesize that supply and demand linkages among major production and consumption

 
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Implied Volatility Patterns Around Crop Reports
Matthew Diersen and Zhiguang Wang
Year: 2023
 

Abstract

CME Group lists weekly and short-dated new crop options for corn, wheat, and soybeans to complement standard and serial options. Weekly and short-dated new crop options on futures provide market participants with a way to trade more precisely around event

 
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Fundamentals of Sharpe Ratios in Storable Commodity Markets
Sami Attaoui and Pierre Six
Year: 2023
 

Abstract

 
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The Effects of Temporal Data Aggregation on Price Transmission Analysis
Clemens H. Hoffmann and Stephan von Cramon-Taubadel
Year: 2023
 

Abstract

Agricultural economists often use temporally aggregated data for price transmission analyses due to data availability but the used vector error correction models (VECM) indirectly assume that all price information is included in the analysis. In consequen

 
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The Rationality of USDA's Retail Food Price Inflation Forecasts
Ethan Buck, Morgan Hinz, Yuxi Jiang, Xiuyun Wen, and Todd H. Kuethe
Year: 2023
 

Abstract

The USDA-Economic Research Service's "Food Price Outlook" forecast is an important source of information on U.S. retail food prices and widely used by researchers, policymakers, food industry professionals, and the media. Despite their widespread use, the

 
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Do Large Export Sales to China Move Commodity Prices?
Andrew M. McKenzie and William Johnson
Year: 2023
 

Abstract

 
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Physical and Economic Distance in US Soybean Markets
Ivan Flores and Joseph Janzen
Year: 2023
 

Abstract

We analyze the shock to US soybean prices in the fall of 2022 caused by drought-induced low water levels on the Mississippi River. We consider how the effects of this shock varied by location relative to observed year-to-year changes in soybean production

 
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The Incidence of Increased Ocean Freight Rates during the Post-COVID Era
Jungkeon Jo and William Secor
Year: 2023
 

Abstract

The lingering effects of COVID-19, including increased freight demand and supply shortages, have led to a historic rise in ocean freight rates spanning from mid-2020 to 2021. The rise in ocean freight rates has raised concerns about its implications for t

 
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A Nonlinear Asymmetric Model of Lumber Price Transmission
James Davis, Michael K. Adjemian
Year: 2023
 

Abstract

The housing supply chain requires a constant supply of lumber products. Yet, even as housing and lumber prices have grown throughout the past decade, the underlying value of timberland remains low. We use monthly and quarterly price and inventory data to

 
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Does Complexity Pay? Forecasting Corn and Soybean Yields Using Crop Condition Ratings
Jiarui Li, Scott H. Irwin, Todd Hubbs
Year: 2023
 

Abstract

 
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Improving Existing Methods of IFSA Supply Forecasting
Walter Ac-Pangan, Nathan P. Hendricks, Yacob Zereyesus, Jennifer Kee, Jeremy Jelliffe, Stephen Morgan, Lila Cardell, and Noe J. Nava
Year: 2023
 

Abstract

The International Food Security Assessment (IFSA) report provides forecasts for grain demand, production, and the implied additional grain supply requirement for 77 low- and middle-income countries. In this study, we attempt to enhance the IFSA model by i

 
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Formation of Industrial Metal Markets: Fundamental Theory, Co-movement and Time-varying Dependencies
Amelie Schischke and Andreas Rathgeber
Year: 2023
 

Abstract

 
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Deconstructing Fertilizer Price Spikes: Evidence from Chinese Urea Fertilizer Market
Zhepeng Hu, Lei Yan, Jinghong Yuan, and Xiaoli Etienne
Year: 2023
 

Abstract

Recent spikes in fertilizer prices, coupled with government interventions by major exporters, have raised global concerns about food security. This study employs a structural vector autoregression model to examine urea price movements in China, the world'

 
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