The lack of consistently acceptable convergence performance for Chicago Board of Trade (CBOT) corn, soybean, and wheat contracts since late 2005 has been widely discussed (e.g., Henriques, 2008).1 Convergence performance is summarized in Figure 1, depicting delivery location basis levels on the...

In 1997 the Chicago Mercantile Exchange replaced its live hog futures contract with a cash settlement mechanism based on a Lean Hog Index. Although cash settlement was expected to increase the use of the contract as a hedging tool, producers and packers are concerned that convergence between...

This paper evaluates the role that index funds have played in recent convergence problems of Chicago Board of Trade corn, soybean, and wheat futures contracts. These new market participants are widely considered to have inflated futures prices and/or expanded spreads between futures prices....

Cash and futures prices should reach equality, or converge, upon contract maturity. Traders can impose convergence during the delivery month through arbitrage behavior: either making or taking delivery on futures contracts. If convergence is not predictable, a futures market fails to provide a...

Spatial price integration among five major Bangladesh rice markets is examined in the presence of threshold effects to account for the impact of transaction costs in the price adjustment process. Hansen and Seo (2002) threshold cointegration tests and threshold vector error correction models...

This paper investigates nonlinear dynamics in monthly rice prices of 16 regions in the Philippines at three levels: farm gate, wholesale and retail, over the period of January 1990 to December 2012. We used a series of tests to investigate whether the regional prices are characterized by linear...