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

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Listed:
  • Zhang, Rui (Carolyn)
  • Houston, Jack E.

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.

Suggested Citation

  • Zhang, Rui (Carolyn) & Houston, Jack E., 2005. "Effects of Price Volatility and Surging South American Soybean Production on Short-run Soybean Basis Dynamics," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19038, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:ncrfiv:19038
    DOI: 10.22004/ag.econ.19038
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    References listed on IDEAS

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    2. Taylor, Mykel R. & Dhuyvetter, Kevin C. & Kastens, Terry L., 2004. "Incorporating Current Information Into Historical-Average-Based Forecasts To Improve Crop Price Basis Forecasts," 2004 Conference, April 19-20, 2004, St. Louis, Missouri 19022, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
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    Cited by:

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    4. Kamrud, Gwen & Wilson, William W. & Bullock, David W., 2023. "Logistics competition between the U.S. and Brazil for soybean shipments to China: An optimized Monte Carlo simulation approach," Journal of Commodity Markets, Elsevier, vol. 31(C).

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    Crop Production/Industries; Marketing;

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