In this paper, we revisit price and volatility transmission among natural gas, fertilizer, and corn markets; an important issue was explored in previous work. An update of the results is urgently needed due to the recent enormous price volatility in the commodities, fertilizer, and energy markets. We followed the same methodology as previous work and used the vector error correction model and the multivariate generalized autoregressive heteroskedasticity model, but we adopted a new methodology to gather higher frequency data for fertilizer to estimate the interactions and examine the mechanisms between these market prices. Our results are consistent with previous research showing that natural gas price returns in the short-term are significantly affected by its lagged returns from itself and corn markets, and it will be affected by its lagged return sand fertilizer markets. However, we did not find a significant relationship among fertilizer, corn, and natural gas markets from May to November 2021. Moreover, the lagged conditional volatility of corn prices will affect the conditional volatility in the natural gas market but not vice versa.
The Chicago Mercantile Exchange introduced a futures contract for distillers' dried grains (DDGs) in early 2010, but the market became inactive only four months after its inception. While many new futures contracts do not develop into high-volume traders, interest from DDG cash market participants indicated that this contract could be successful. Prompted by the unexpected lack of trading activity in this new futures market, we empirically revisit the question of what factors contribute to a futures contract's success and extend the literature by investigating the roles of market participants and the significance of supporting futures markets. Estimation results indicate that the market participant type-hedger or speculator-affects futures contract trade volume. More importantly, we find that the viability of new futures contracts for commodities that are jointly produced with other commodities is impacted by hedgers' trade volume of the related futures contract. These results provide important additions into the portfolio of indicators used by commodity exchanges to more cost-effectively evaluate new futures contract products.JEL classifications: G13, Q13, Q14
Abstract. This study reports the findings for an analysis using the computer program NAADSM (North American Animal Disease Spread Model) and a supply-driven social accounting matrix to examine the impact of a hypothetical foot-and-mouth disease (FMD) outbreak in a relatively isolated part of the United States, Utah, under various levels of livestock traceability. The analysis demonstrates that a significant regional economic impact in Utah would result from an FMD outbreak but that improved levels of traceability would be very important in helping to reduce the negative economic consequences of the outbreak.
Revisiting the Determinants of Futures Contracts: The Curious Case of Distillers' Dried Grains A futures market for distillers' dried grains (DDGs) was introduced on the Chicago Mercantile Exchange in early 2010, but became inactive only four months after its inception. While many new futures contracts do not develop into high-volume traders, significant interest from DDG cash market participants seemed to indicate that this contract could be successful. This study determines whether factors found in the literature to affect the success of futures contracts may have predicted the ineffectiveness of the DDG contract. We also test the impacts of market participants and the activeness of supporting futures markets, and use the empirical to determine whether the lack of activity in the ethanol futures market may have contributed to the ineffectiveness of the DDG contract. Estimation results indicate that while the existing literature would have predicted a high likelihood of success for a DDG futures contract, accounting for the inactiveness of the ethanol futures market led to the opposite conclusion.
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