Title: All Politics May Be Local, But What About Professionalism? Legislative Professionalism in Local Legislatures in New York State
Abstract: We study the simultaneous impacts of hedging and speculation shocks on cash-future basis for three different types of wheat produced in the northwest U.S. The three types of wheat are soft white, hard red spring, and hard red winter, and all are produced largely for export to the Asian grain markets. Matching futures contracts are from Chicago, Minneapolis, and Kansas City, respectively, and reflect the typical hedging instruments for these commodities. Using weekly data from the above three markets for wheat, volatility transfers are measured using a Bayesian vector autoregression (VAR) with agnostics sign restriction identification. This allows for out of sample information to be included based on the choice of prior distribution, and improved inference measures for the model parameters based on a data-adjusted posterior distribution for the VAR model. Our results demonstrate a pattern of significant impulse responses to each basis measure from shocks in the hedging and speculation positions for each market. Positive shocks on both hedging and speculation will create contemporaneous positive impacts on the cash-future price basis in the same week. This implies the risk premium nested within the basis is also varying by the shocks on hedging and speculation. This information about the basis behavior of these commodities is valuable to hedgers and liquidity providers, as well as producers, aggregator/distributors, and exporters.
Publication Year: 2017
Publication Date: 2017-01-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot