|
|
|
| Registros recuperados: 18 | |
|
| |
|
|
| Bekkerman, Anton; Pelletier, Denis. |
| The 2006 spike in corn-based ethanol demand has contributed to the increase in basis volatility in corn and soybean markets across the United States, which has, to a significant degree, led to the observed large jumps in the prices of the two commodities. Despite the overall rise in basis volatility, there remain differences in the degree of volatility that exists across spatially separated markets, which might be caused by factors such as transportation costs, seasonality, and time-to-delivery. The focus of this study is threefold first, this work models basis data for six corn and soybean markets by using a multivariate GARCH model that incorporates the spatial linkages of these markets; next, the model is used to investigate whether the increase in... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Basis; Spatially separated markets; Multivariate GARCH; Volatility; Agricultural Finance; Demand and Price Analysis; Q11; Q14; G13. |
| Ano: 2009 |
URL: http://purl.umn.edu/49281 |
| |
|
|
| Tonsor, Glynn T.; Khuyvetter, Kevin C.; Mintert, James R.. |
| The ability to accurately forecast basis is crucial to risk management strategies employed by many agribusiness firms. Previous research has examined how to effectively use basis forecasts and what factors affect basis, but literature focusing on forecasting basis is sparse. This research evaluates the impact of adopting a time-to-expiration approach, as compared to the more common calendar approach, when forecasting feeder cattle, live cattle, and hog basis. Furthermore, the optimal number of past year's basis levels to include in making basis predictions is evaluated in an out-of-sample framework. Absolute basis forecasts errors are generated for all three commodities and evaluated to determine the signifcance of the two issues mentioned above.... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Livestock prices; Basis; Hedging; Basis forecasts; Livestock Production/Industries; Marketing. |
| Ano: 2003 |
URL: http://purl.umn.edu/18978 |
| |
|
|
| Du, Xiaodong; Hennessy, David A.; Edwards, William M.. |
| Based on the Ricardian rent theory, this study employs the variable profit function to analyze the determinants of Iowa cropland cash rental rates using county-level panel data from 1987 to 2005. Accounting for spatial and temporal autocorrelations, responses of local cash rental rates to changes in output prices and other exogenous variables are estimated. We find that Iowa cash rental rates are largely determined by output/input prices, soil quality, relative location, and other county-specific factors. Cash rents go up by $79 for a $1 increase in corn price in the short run. The marginal value of cropland quality, as represented by row-crop corn suitability rating index, is about $1.05. Ethanol plants are not found to have a significant local effect on... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Bargaining; Basis; Ethanol; Land quality shadow price; Rate of adjustment; Spatial autocorrelation; Land Economics/Use. |
| Ano: 2007 |
URL: http://purl.umn.edu/7700 |
| |
|
|
| Parcell, Joseph L.; Schroeder, Ted C.; Dhuyvetter, Kevin C.. |
| Cattle producers and beef packers need to understand basis determinants as they develop price expectations and make pricing, hedging, and forward contracting decisions. This study empirically estimated factors explaining variability in monthly fed cattle basis. The five main results regarding live cattle basis are 1) corn price is an important determinant, 2) a change in the value of the Choice-to-Select spread positively affects basis, 3) changes in the levels of captive supplies have no significant statistical or economic impact on basis 4) the June 1995 live cattle futures contract did not impact basis, and 5) both market fundamentals and seasonal components are important basis determinants. |
| Tipo: Journal Article |
Palavras-chave: Basis; Fed cattle; Cattle prices; Livestock Production/Industries; Marketing. |
| Ano: 2000 |
URL: http://purl.umn.edu/15319 |
| |
|
|
| Riley, John Michael. |
| Basis for grains and other crops has widened in recent years. Many factors are attributable to basis changes. However, in the Mississippi Delta region basis levels rose sharply in 2007 and 2008. Comparatively, although basis levels for corn and soybeans did widen in the Midwestern region it was to a lesser extent. Much the same is true with regard to wheat when comparing the Delta region with that of Western Kansas. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Basis; Spatial prices; Marketing; Q13. |
| Ano: 2010 |
URL: http://purl.umn.edu/56540 |
| |
|
| |
|
|
| Mastel, Mike; Buschena, David E.. |
| The performance of the grain transportation industry, historically low real grain prices, and decreasing government support for grain prices have renewed interest in local grain prices and shipping costs. An understanding of the relationship between local cash prices and futures prices is an important part of minimizing the price risk associated with growing and merchandising grain. The ability to recognize the seasonal patterns between these prices offers improved profit potential for marketing grain. A Montana producer's decision of when and how to market his/her crop can have a great impact on net profit. Farm managers can use cash sales at or after harvest, forward contracting with a local grain elevator, or hedging with the use of futures and options... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Grain marketing; Futures; Basis; Freight rates; Marketing strategies; Marketing; Q1. |
| Ano: 2000 |
URL: http://purl.umn.edu/29176 |
| |
|
|
| MacDonald, Stephen; Meyer, Leslie A.. |
| A model of commodity futures contract basis was developed based on Working’s theory of the price of storage. An error-correction model was estimated for the basis for the InterContinental Exchange (ICE) #2 cotton contract maturing in December during 2000-08. The model was also extended to incorporate the impact of changes in market activity that evolved as financial markets and commodity price behavior underwent significant changes after 2005. The model captured the inversion of basis following the collapse of China’s crop in 2003, but the shock realized during 2008 may have been in part driven by one-time events not included in the model. Estimates from the error-correction model suggest an extended period for the return of basis to equilibrium,... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Basis; Futures markets; Cotton; Error-correction model; Agribusiness; Demand and Price Analysis; Marketing. |
| Ano: 2009 |
URL: http://purl.umn.edu/49269 |
| |
|
|
| Tonsor, Glynn T.; Dhuyvetter, Kevin C.; Mintert, James R.. |
| Successful risk management strategies for agribusiness firms based on futures and options contracts are contingent on their ability to accurately forecast basis. This research addresses three primary questions as they relate to basis forecasting accuracy: (a) What is the impact of adopting a time-to-expiration approach, as compared to the more common calendar-date approach? (b) What is the optimal number of years to include in calculations when forecasting livestock basis using historical averages? and (c) What is the effect of incorporating current basis information into a historical-average-based forecast? Results indicate that use of the time-to-expiration approach has little impact on forecast accuracy compared to using a simple calendar approach, but... |
| Tipo: Journal Article |
Palavras-chave: Basis; Basis forecasts; Cattle prices; Current information; Hedging; Livestock Production/Industries. |
| Ano: 2004 |
URL: http://purl.umn.edu/31115 |
| |
|
| |
|
| |
|
|
| Welch, J. Mark; Mkrtchyan, Vardan; Power, Gabriel J.. |
| Shifting patterns of corn use as a result of the ethanol boom may be causing basis levels to change across the United States, creating the need for methods to predict basis levels in dynamic conditions. This study develops a new and straightforward economic model of basis forecasting that outperforms the simple three-year average method suggested in much of the literature. We use monthly data of the corn basis in the Texas Triangle Area from February 1997 to July 2008. The results show the new model based on economic fundamentals performs better than basis estimates using a three-year moving average. |
| Tipo: Journal Article |
Palavras-chave: Basis; Corn; Grain marketing; Texas Triangle Area; Agribusiness; Marketing. |
| Ano: 2009 |
URL: http://purl.umn.edu/90657 |
| |
|
|
| Parcell, Joseph L.. |
| This study analyzed the effect of the Loan Deficiency Payment (LDP) program, established under the Federal Agriculture Improvement Reform (FAIR) act of 199, on corn and soybean basis in Missouri. Using daily corn and soybean basis data between 1993 and 1999 for multiple locations in Missouri, and incorporating a variable for when the LDP was in effect during 1998 and 1999, empirical models examining factors affecting corn and soybean basis were estimated. Results indicate that the presence of the LDP program has not had a significant economic impact on corn or soybean basis during the 1998 to 1999 period. Furthermore, factors affecting corn and soybean basis varied by time within the marketing year. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Basis; LDP; Government Programs; Corn; Soybeans; Agricultural Finance; Crop Production/Industries. |
| Ano: 2000 |
URL: http://purl.umn.edu/18932 |
| |
|
| |
|
| |
|
|
| Ramaswami, Bharat; Singh, Jatinder. |
| Abstract The limited presence of futures exchanges in developing countries where commodity markets fall short of the ideal underscore the importance of understanding the relation between spot and futures markets. The paper examines the exceptional success of the soya oil contract at the National Board of Trade (NBOT) in India. The paper asks whether the NBOT contract exhibits the fundamental features of mature futures markets in terms of its use by hedgers. If the market offers arbitrage opportunities to hedgers and if such activity is significant, then the activities of commercial firms should affect the returns to their hedging portfolio i.e., change in basis. This insight is developed into an examination of the impact of soya oil imports on the basis.... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Basis; Hedging; Futures market; Spot markets; Soya oil; Marketing; G13; Q13. |
| Ano: 2007 |
URL: http://purl.umn.edu/7919 |
| |
|
| |
| Registros recuperados: 18 | |
|
|
|
