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Basis convergence in the soybean futures complex

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Title: Basis convergence in the soybean futures complex
Author(s): Koziara, Peter
Advisor(s): Irwin, Scott H.
Department / Program: Agr & Consumer Economics
Discipline: Agricultural & Applied Econ
Degree Granting Institution: University of Illinois at Urbana-Champaign
Degree: M.S.
Genre: Thesis
Subject(s): convergence soybean futures soybean oil soybean meal variable storage rates theory of storage Chicago Board of Trade (CBOT) commodities agricultural futures basis carry
Abstract: This thesis examined basis convergence in the soybean futures complex. Soybeans, soybean oil, and soybean meal were surveyed for convergence during the sample period of January 2000 to September 2011. Explanations of non-convergence were hypothesized to be due to a wedge between the actual physical rate of storage and the maximum storage rate embedded in futures contracts that trade on the Chicago Board of Trade. Testing for explanations of this wedge, it was found that inventory at deliverable locations was significant in explaining the wedge at two deliverable locations for soybeans and soybean oil. Credit also played a role in explaining the wedge for two locations for soybeans. Further graphical evidence is presented linking the wedge to the deliverable instrument market, the cash-futures basis, and deliverable stocks (inventory) at locations listed for delivery on Chicago Board of Trade futures contracts.
Issue Date: 2012-09-18
URI: http://hdl.handle.net/2142/34259
Rights Information: Copyright 2012 Peter Koziara
Date Available in IDEALS: 2012-09-18
Date Deposited: 2012-08
 

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