Basis convergence in the soybean futures complex

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.

Name thesis:degree_name

M.S.

Level thesis:degree_level

Thesis

Discipline thesis:degree_discipline

Agricultural & Applied Econ

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2012

Author dc:creator

• Koziara, Peter

Contributors dc:contributor

• Irwin, Scott H.

• convergence
• soybean futures
• soybean oil
• soybean meal
• variable storage rates
• theory of storage
• Chicago Board of Trade (CBOT)
• commodities
• agricultural futures
• basis
• carry

Statement dc:rights

• Copyright 2012 Peter Koziara

Language dc:language

en

Handle dc:identifier

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

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/34259