{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/108518"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/108518","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Do prices drive commercial trader positions in grains and oilseeds markets?","abstract":"We examine the impacts of futures price changes on commercial traders’ aggregate net positioning in grains and oilseeds markets during the pre-harvest period from 2007-2019. We proceed in two steps. First, we modify and extend the analysis of optimal hedging proposed by Jacobs, Li, and Hayes (AJAE 2018) to: (i) confirm its applicability for the two largest agricultural markets (soybeans and corn) over a longer period of time than previously tested (13-year period vs. 5); (ii) provide evidence regarding the relevance of the Chicago Board Options Exchange (CBOE) Volatility Index-VIX in determining commercial hedging decisions; (iii) provide evidence that the Disaggregated Commitment of Traders Reports (DCOT) data can be used as a benchmark for examining hedging behavior. Second, we develop a Structural Vector Auto-Regressive Model (SVAR) to account for endogeneity issues in the analysis of the effects of futures prices and of the VIX on commercial positioning in grains and oilseeds markets. The results from Impulse Response Functions (IRFs) retrieved from the SVAR confirm the role of futures price changes in driving position changes, shedding new light on whether commercial traders hedge or instead speculate.","abstract_html":"We examine the impacts of futures price changes on commercial traders’ aggregate net positioning in grains and oilseeds markets during the pre-harvest period from 2007-2019. We proceed in two steps. First, we modify and extend the analysis of optimal hedging proposed by Jacobs, Li, and Hayes (AJAE 2018) to: (i) confirm its applicability for the two largest agricultural markets (soybeans and corn) over a longer period of time than previously tested (13-year period vs. 5); (ii) provide evidence regarding the relevance of the Chicago Board Options Exchange (CBOE) Volatility Index-VIX in determining commercial hedging decisions; (iii) provide evidence that the Disaggregated Commitment of Traders Reports (DCOT) data can be used as a benchmark for examining hedging behavior. Second, we develop a Structural Vector Auto-Regressive Model (SVAR) to account for endogeneity issues in the analysis of the effects of futures prices and of the VIX on commercial positioning in grains and oilseeds markets. The results from Impulse Response Functions (IRFs) retrieved from the SVAR confirm the role of futures price changes in driving position changes, shedding new light on whether commercial traders hedge or instead speculate.","abstract_has_math":false,"creators":["Le, Han Thi Ngoc"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"M.S.","degree_level":"Thesis","degree_discipline":"Agricultural & Applied Econ","degree_department":null,"school":null,"contributors":["Robe, Michel A"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2020,"date_issued":"2020-10-07T21:00:04Z","date_published":"2020-10-07T21:00:04Z","updated_at":"2026-07-22T22:24:48Z","subjects":["Hedging behavior","speculation","commercial traders positions","optimal hedging model","DCOT data","futures prices","VIX","agricultural market","grains and oilseeds markets","corn","soybeans","SVAR","IFRs","OLS regression"],"languages":["en"],"rights":["Copyright 2020 Han Thi Ngoc Le"],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/2142/108518","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Robe, Michel A"]},{"key":"dc:creator","label":"Author","values":["Le, Han Thi Ngoc"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2020-10-07T21:00:04Z","2020-07-22","2020-08"]},{"key":"dc:type","label":"Dc Type","values":["text","Thesis"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Agricultural & Applied Econ"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Thesis"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M.S."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Hedging behavior","speculation","commercial traders positions","optimal hedging model","DCOT data","futures prices","VIX","agricultural market","grains and oilseeds markets","corn","soybeans","SVAR","IFRs","OLS regression"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["en"]},{"key":"dc:rights","label":"Dc Rights","values":["Copyright 2020 Han Thi Ngoc Le"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/108518"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["We examine the impacts of futures price changes on commercial traders’ aggregate net positioning in grains and oilseeds markets during the pre-harvest period from 2007-2019. We proceed in two steps. First, we modify and extend the analysis of optimal hedging proposed by Jacobs, Li, and Hayes (AJAE 2018) to: (i) confirm its applicability for the two largest agricultural markets (soybeans and corn) over a longer period of time than previously tested (13-year period vs. 5); (ii) provide evidence regarding the relevance of the Chicago Board Options Exchange (CBOE) Volatility Index-VIX in determining commercial hedging decisions; (iii) provide evidence that the Disaggregated Commitment of Traders Reports (DCOT) data can be used as a benchmark for examining hedging behavior. Second, we develop a Structural Vector Auto-Regressive Model (SVAR) to account for endogeneity issues in the analysis of the effects of futures prices and of the VIX on commercial positioning in grains and oilseeds markets. The results from Impulse Response Functions (IRFs) retrieved from the SVAR confirm the role of futures price changes in driving position changes, shedding new light on whether commercial traders hedge or instead speculate.","Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2020-10-02 without embargo terms","The student, Han Le, accepted the attached license on 2020-07-17 at 13:59.","The student, Han Le, submitted this Thesis for approval on 2020-07-17 at 14:21.","This Thesis was approved for publication on 2020-07-22 at 11:02.","DSpace SAF Submission Ingestion Package generated from Vireo submission #15681 on 2020-10-02 at 15:14:54","Made available in DSpace on 2020-10-07T21:00:04Z (GMT). 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First, we modify and extend the analysis of optimal hedging proposed by Jacobs, Li, and Hayes (AJAE 2018) to: (i) confirm its applicability for the two largest agricultural markets (soybeans and corn) over a longer period of time than previously tested (13-year period vs. 5); (ii) provide evidence regarding the relevance of the Chicago Board Options Exchange (CBOE) Volatility Index-VIX in determining commercial hedging decisions; (iii) provide evidence that the Disaggregated Commitment of Traders Reports (DCOT) data can be used as a benchmark for examining hedging behavior. Second, we develop a Structural Vector Auto-Regressive Model (SVAR) to account for endogeneity issues in the analysis of the effects of futures prices and of the VIX on commercial positioning in grains and oilseeds markets. The results from Impulse Response Functions (IRFs) retrieved from the SVAR confirm the role of futures price changes in driving position changes, shedding new light on whether commercial traders hedge or instead speculate.","Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2020-10-02 without embargo terms","The student, Han Le, accepted the attached license on 2020-07-17 at 13:59.","The student, Han Le, submitted this Thesis for approval on 2020-07-17 at 14:21.","This Thesis was approved for publication on 2020-07-22 at 11:02.","DSpace SAF Submission Ingestion Package generated from Vireo submission #15681 on 2020-10-02 at 15:14:54","Made available in DSpace on 2020-10-07T21:00:04Z (GMT). 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