Effects of Price Volatility and Surging South American Soybean Production on Short-run Soybean Basis Dynamics

Zhang, Rui (Carolyn) and Jack E. Houston

No 19038, 2005 Conference, April 18-19, 2005, St. Louis, Missouri from NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: This study investigates the effects of South American production (SAP) and futures volatility on the soybean price dynamics in terms of their effects on the basis. The results of the econometric model showed that both South American production and futures volatility of the nearby contract have negative effects on the basis though in the forecast model, lagged values of these two factors failed to predict basis change in the future. If information about the change of the expected SAP or futures volatility is available, then the model can predict the changes in basis. This information would be helpful for hedgers to decide the time to lift their hedge.

Keywords: Crop Production/Industries; Marketing (search for similar items in EconPapers)
Pages: 12
Date: 2005
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:ncrfiv:19038

DOI: 10.22004/ag.econ.19038

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