Basis Expectations and Soybean Hedging Effectiveness

Forecasting the nearby basis of live cattle

“…Hauser et al (1990) found that a measure similar to the spread used here provided a useful forecast of basis. Also, the spread variable may be preferred over lagged basis because the spread is unaffected by spatial price differences.…”

“…Two futures market variables, the spread between the nearby and deferred futures contracts and open interest, are used in this study as an alternative to the cattle supply and demand variables and lagged basis used by Naik and Leuthold (1988a). Hauser et al (1990) found that a measure similar to the spread used here provided a useful forecast of basis. Also, the spread variable may be preferred over lagged basis because the spread is unaffected by spatial price differences.…”

The design and pricing of fixed‐ and moving‐window contracts: An application of Asian‐Basket option pricing methods to the hog‐finishing sector

“…These methods include using current basis, last year's basis, historical average basis, the futures spread method, predictions from an economic structural model, predictions from a seasonal ARIMA (Autoregressive Integrated Moving Average) model, predictions from a neural network model and so on. Hauser et al (1990) use the Theil coefficient as a comparison criteria for…”

Export/Import risks at alternative stages of U.S. grain export trade

“…Second, the expectation can be easily observed and used by the hedger. Third, Hauser, Garcia, and Tumblin (1990) find that this market-signal model often performs as well as or better than regression models in predicting Illinois soybean bases.…”