Basis convergence in the soybean futures complex

Koziara, Peter

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https://hdl.handle.net/2142/34259 Copy

Description

Title

Basis convergence in the soybean futures complex

Author(s)

Koziara, Peter

Issue Date

2012-09-18T21:08:21Z

Director of Research (if dissertation) or Advisor (if thesis)

Irwin, Scott H.

Department of Study

Agr & Consumer Economics

Discipline

Agricultural & Applied Econ

Degree Granting Institution

University of Illinois at Urbana-Champaign

Degree Name

M.S.

Degree Level

Thesis

Keyword(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.

Graduation Semester

2012-08

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http://hdl.handle.net/2142/34259

Copyright and License Information

Copyright 2012 Peter Koziara

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