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Cointegration and price discovery in US corn cash and futures markets

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  • Xiaojie Xu

    (North Carolina State University)

Abstract

Using prices from 182 cash markets from seven states and the Chicago Board of Trade futures, we investigate cointegration and price discovery for corn. Analysis based on cash–futures pairs reveals that cointegration holds for 52 cash markets and failures tend to happen farther away from futures delivery locations. Cash generally are as important as futures prices as information sources in the long run and cash to futures information flow is most likely in the short run. Contributions to price discovery also are measured quantitatively for cointegrated cases. Analysis based on state-level cash prices indicates bidirectional information flow between cash and futures prices under a bivariate model, and futures to cash information flow under the octavariate model with all cash and the futures series. Comparisons of the two models show that including local cash markets in a price relationship model highlights cointegration and the futures’ price discovery role and could benefit cash price forecasting. Finally, evidence of nonlinear causality is found.

Suggested Citation

  • Xiaojie Xu, 2018. "Cointegration and price discovery in US corn cash and futures markets," Empirical Economics, Springer, vol. 55(4), pages 1889-1923, December.
  • Handle: RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1322-6
    DOI: 10.1007/s00181-017-1322-6
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    More about this item

    Keywords

    Corn; Cash; Futures; Cointegration; Price discovery; Forecasting;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance

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