Progress 10/01/09 to 09/30/14
Outputs
Target Audience: During this period, efforts reached agricultural industry leaders, producers, and suppliers to the agricultural industry. During the AEDE Outlook & Policy Conference Series, over 500 farmers, ranchers, and agribusiness leaders were presented results. At the 2014 Winfield Ultimate Field Trip, sponsored by Winfield Solutions, over 600 farmers, representing approximately 7% of the total US planted acres were served. The 2014 OSUE Online Grain Marketing School shared results with producers from 10 states. Dr. Roberts is co-chair of the NCCC-134 multistate project, which in 2014 had attendees from 5 commodity-related firm, as well as representatives from the CFTC. Changes/Problems:
Nothing Reported
What opportunities for training and professional development has the project provided? Over 700 farmers have been trained to use the findings above. How have the results been disseminated to communities of interest? Through meetings around the United States (listed above) What do you plan to do during the next reporting period to accomplish the goals?
Nothing Reported
Impacts
What was accomplished under these goals?
1. Models of the relationship between inventory levels and later price changes were constructed and disseminated. These relationships demonstrate that following periods of low yields, price changes have a negative mean and median, contrary to popular belief and common interpretations of economic theory.
Publications
- Type:
Other
Status:
Published
Year Published:
2014
Citation:
Proceedings of the NCCC-134 Conference on Price Analysis, Forecasting and Risk Management. St. Louis, MO
- Type:
Websites
Status:
Published
Year Published:
2014
Citation:
Zulauf, C., N. Rettig, and M. Roberts. "Do Futures Forecast the Future?" farmdoc daily (4):147, Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign, August 7, 2014.
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Progress 10/01/12 to 09/30/13
Outputs
Target Audience: My efforts reached agricultural industry leaders and producers. --During the 2012/13 AEDE Outlook & Policy Meetings, over 400 Ohio corn, soybean, and wheat farmers, agricultural lenders, and local elected officials were presented results. --At the 2013 Ultimate Field Trip, sponsored by Winfield Solutions, 400 corn, soybean, wheat, cotton, and potato farmers, accounting for over 5% of the row crop acres in the US received related information. --Training was provided to multiple Farm Credit assocations for their agricultural lenders drawn from across the United States. --Dr. Roberts is co-chair of the NCCC-134 multistate project, which in 2013 had attendees from 8 commodity-related firms, including Cornerstone Research, Monsanto, and Brighton Insurance, as well as representatives from the Federal Reserve Bank of Kansas City. Changes/Problems:
Nothing Reported
What opportunities for training and professional development has the project provided? The NCCC-134 has provided many opportunities for development of PhD students and young professionals in both industry and academia. At the 2013 event, almost half of the presentations, and a similar fraction of attendees were graduate students. Six attendees were from the private sector. How have the results been disseminated to communities of interest? Via the NCCC-134 website and the active network of former attendees and presenters--2013 was the 31st meeting of the project. What do you plan to do during the next reporting period to accomplish the goals?
Nothing Reported
Impacts
What was accomplished under these goals?
In the NCCC-134 conference, papers on goals 2 and 4 were presented: 1) “Risk Premiums and Forward Basis: Evidence from the Soybean Oil Market.” Karen Lewis, Mark Manfredo, Ira Altman, and Dwight Sanders, Arizona State University and Southern Illinois University. 4) “How Could We Have Been So Wrong? The Puzzle of Disappointing Returns to Commodity Index Investments.” Scott Irwin, Dwight Sanders, and Aaron Smith, University of Illinois at Urbana-Champaign, Southern Illinois University and University of California-Davis. “Hedging and Speculative Pressures: An Investigation of the Relationships among Trading Positions and Prices in Commodity Futures Markets.” Georg Lehecka, University of Natural Resources and Life Sciences, Vienna.
Publications
- Type:
Websites
Status:
Published
Year Published:
2013
Citation:
http://www.farmdoc.illinois.edu/nccc134/
- Type:
Conference Papers and Presentations
Status:
Other
Year Published:
2013
Citation:
The NCCC-134 Website collates all of the papers presented at the 2013 NCCC-134 Conference on Applied Commodity Price Analysis and Forecasting. At present, this site contains over 500 articles from the present and previous meetings.
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Progress 01/01/12 to 09/30/12
Outputs
Target Audience:
Nothing Reported
Changes/Problems:
Nothing Reported
What opportunities for training and professional development has the project provided? One Ph.D. students Yuanfang Wang is researching liquidity risk in a grain hedging portfolio. She took an industry job this year and has unfortunately made little progress. How have the results been disseminated to communities of interest? Education was provided to agricultural lenders at the Southeast Agricultural Lending School (over 200 Ag Lenders) as well as the Farm Credit Bank of Texas Lender's Updates (over 300 lenders) on avoiding liquidity crises. What do you plan to do during the next reporting period to accomplish the goals? In the next period, I will create work to incorporate this structure into existing agent-based model frameworks using the collaborations that I've developed at the Ohio Supercomputer Center.
Impacts
What was accomplished under these goals?
The margin credit risk model was updated using the price spike of 2011-2013 to further assess its validity and utility in assessing the probability of a margin call for grain handlers. These updates are being incorporated into an existing working paper for submission to a journal in agricultural finance.
Publications
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Progress 01/01/11 to 12/31/11
Outputs
OUTPUTS: Participants at the KC Federal Reserve National Agricultural Credit Committee Meeting in April in Washington, DC were instructed how to calculate financing needs for physical grain hedging, and how to perform such an analysis using only common software. All of the major private and GSE agricultural lenders were represented in the room. PARTICIPANTS: Not relevant to this project. TARGET AUDIENCES: The target audiences for this project are users of, participants in, and beneficiaries of commodity futures markets. These include farmers, grain elevators, agricultural lenders, feed mills, and livestock and dairy producers. PROJECT MODIFICATIONS: Nothing significant to report during this reporting period.
Impacts
The methods presented in the report to the NACC, and contained in the current working paper, allow grain merchandisers to better assess their financing costs to deal with periods of extreme price volatility or tight credit conditions or both. Numerous firms have failed, some spectacularly, for failing to understand the probability of a liquidity crisis, and how that probability can evolve over time. Prior to this research, there was no reliable, theoretically consistent method for estimating the risk of a margin call arising from a commodity hedging transaction. This research provides such a method that is not only accurate, but relatively easy with common spreadsheet software. This method utilizes a modification of a common statistical distribution, that, when combined with implied volatiles recovered from options markets, allow a distribution of maximum margin calls to be estimated. This is useful for a grain elevator, for example, who is hedging $1,000,000 in grain. Using this method, the elevator or its banker could estimate the probability that an additional $500,000 credit line would be exhausted, or, in reverse, could estimate the size of a credit line that would be needed no more than 5% of the time.
Publications
- No publications reported this period
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Progress 01/01/10 to 12/31/10
Outputs
OUTPUTS: Dr. Roberts gave talks on the interrelationships of cash and futures markets approximately 15 times in 2010, explaining what is and is not known about the impact of speculation on commodity cash and futures markets. PARTICIPANTS: Not relevant to this project. TARGET AUDIENCES: The target audiences of this research are policy-makers, and participants in the grain industry. PROJECT MODIFICATIONS: Not relevant to this project.
Impacts
This line of research only began in late 2010, so the impacts remain quite modest. By the end of the year, three manuscripts had been prepared for submission, and some early results had been shared with stakeholder audiences. More impact is likely to show up in 2011.
Publications
- No publications reported this period
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