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An Empirical Analysis of Cash and Futures Grain Price Relationships in the North Central Region
Author(s) -
Thompson S.R.,
Eales J.S.,
Hauser R.J.
Publication year - 1990
Publication title -
applied economic perspectives and policy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.4
H-Index - 49
eISSN - 2040-5804
pISSN - 2040-5790
DOI - 10.1093/aepp/12.2.241
Subject(s) - futures contract , cash , economics , financial economics , futures market , monetary economics , econometrics , business , finance
Abstract This paper investigates grain price relationships in the north central region by analyzing weekly prices for corn and soybeans at cash and futures markets. First differences in cash prices are compared statistically to first differences in futures prices. Next, the relationship of spatial basis changes between cash market locations is analyzed. The results indicate that cash and futures markets are not a constellation of one united grain market. Identifiable differences in price relationships exist across markets and time periods. The results have implications for hedging strategies as well as for consideration of the performance of Chicago as a delivery location for futures contracts.