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Empirical Contributions to Basis Theory: The Case of Citrus Futures

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  • Ronald W. Ward
  • Frank A. Dasse

Abstract

A futures basis should reflect the marginal cost of physical product plus a risk premium less a convenience yield. However, unique market characteristics may lead to basis bias not explained by the storage theory. An estimate of the basis model for frozen orange concentrate is used to test the theory of storage and to illustrate anticipatory aspects of the basis not included in storage theory.

Suggested Citation

  • Ronald W. Ward & Frank A. Dasse, 1977. "Empirical Contributions to Basis Theory: The Case of Citrus Futures," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 59(1), pages 71-80.
    • Handle: RePEc:oup:ajagec:v:59:y:1977:i:1:p:71-80.
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    File URL: http://hdl.handle.net/10.2307/1239610
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    Cited by:

    1. Parcell, Joseph L., 2000. "The Impact Of The Ldp On Corn And Soybean Basis In Missouri," 2000 Conference, April 17-18 2000, Chicago, Illinois 18932, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    2. Parcell, Joseph L., 2002. "Crop Basis Patterns In The Presence Of Spatial Competition And Government Intervention," Working Papers 26043, University of Missouri Columbia, Department of Agricultural Economics.
    3. Kahl, Kandice H., 1989. "Determinants of the Storage Season Corn Basis in South Carolina," Working Papers 116878, Clemson University, Department of Agricultural and Applied Economics.
    4. Pennings, Joost M.E. & Garcia, Philip & Marsh, Julia W., 2003. "Futures Market Depth: Revealed Vs. Perceived Price Order Imbalances," 2003 Conference, April 21-22, 2003, St. Louis, Missouri 18989, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    5. Getu Hailu & Alex Maynard & Alfons Weersink, 2015. "Empirical analysis of corn and soybean basis in Canada," Applied Economics, Taylor & Francis Journals, vol. 47(51), pages 5491-5509, November.
    6. Tomek, William G. & Peterson, Hikaru Hanawa, 2000. "Risk Management In Agricultural Markets: A Survey," 2000 Producer Marketing and Risk Management Conference, January 13-14, Orlando, FL 19580, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    7. Seamon, V. Frederick & Kahl, Kandice H., 2000. "An Analysis Of Factors Affecting The Regional Cotton Basis," 2000 Conference, April 17-18 2000, Chicago, Illinois 18924, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.

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