We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, we implement a generalized least squares method that allows us to clearly distinguish among time-to-delivery...

In this paper, we examine the role that the Dalian Commodity Exchange (DCE) plays in the global price discovery of soybean futures. We employ Structural Vector Autoregressive (SVAR) and Vector Error Correction (VEC) models on the returns of the DCE and the Chicago Board of Trade (CBOT) soybean...

The CME Globex Corn futures Time and Sales data, during the United States Department of Agriculture, USDA, news, are studied. The price fluctuations of high frequency and magnitude resemble explosions caused by chemical or nuclear branched chain reactions. The structure of the jumps and...

We study information flows across four wheat futures markets on four continents: Zhengzhou Commodity Exchange (ZCE), South African Futures Exchange (SAFEX), Euronext/Liffe, and Kansas City Board of Trade (KCBT). Three main approaches have been applied: cointegration techniques, VAR analysis, and...

This paper analyzes the impact of USDA and IBGE crop forecast announcements in the Brazilian corn and soybean futures market. Futures prices were obtained from BM&FBOVESPA from 2009 to 2014 and announcements days were collected from IBGE and USDA historical reports. Expected value of absolute...

CBOT wheat futures, the third largest agricultural futures market in the world, from 2006 to 2009 failed to converge to cash wheat prices at expiry. The reason is the presence of price controls for storage that are implicit in the contract specifications, which caused the textbook arbitrage...