Futures–spot price transmission in EU corn markets

Abstract

Price transmission between futures and spot prices is a relevant issue, dealing with derivatives exchange for price management practices and efficient price discovery. Indeed, due to the increased market orientation of the Common Agricultural Policy, the development of new market strategies is of utmost importance for European farmers. In this context, this study examines the degree of transmission for the corn commodity between global futures price in either the Chicago Board of Trade or Euronext and the spot prices for a selection of Member States of the European Union. This study provides critical insights into the shape of the futures-spot price transmission, confirming a long-run relationship and a cointegrating behaviour of price sets. [EconLit Citations: Q02, Q14, E3].

Resilience of Grain Storage Markets to Upheaval in Futures Markets

“…Non-convergence makes it difficult for firms to forecast basis. If they are unable to predict the non-convergence then their expected returns to storage will be inaccurate and there will be a loss of social welfare [10,11] . Hatchett and Brorsen [12] as well as Thompson et al [13] suggest using only the most recent information to forecast basis during times of structural change, but even that is only partly successful.…”

When cointegration is interrupted: Price transmission analysis in the Italian dairy‐feed industry

“…The last 20 years marked a tumultuous run for the agrifood sector, with mergers and acquisitions and vertical integration dynamics raising worries about concentration levels (Hirsch et al, 2021; Sexton, 2013; Sexton & Xia, 2018), especially in light of the low bargaining power of primary producers (Bonanno et al, 2018). Moreover, crises and policy reforms narrowed the interest of researchers in understanding how such events influence the functioning of markets and their efficiency (Antonioli & Santeramo, 2021; Penone et al, 2022; Ramsey et al, 2021). Quoting Lloyd (2017), the analysis of price transmission dynamics “[…] gives us a yardstick with which to measure the functioning of markets” (p. 17), and “measuring the degree of vertical price transmission […] helps to identify potential market failures” (European Commission, 2009a, p. 5).…”

“…Moreover, crises and policy reforms narrowed the interest of researchers in understanding how such events influence the functioning of markets and their efficiency (Antonioli & Santeramo, 2021;Penone et al, 2022;Ramsey et al, 2021). Quoting Lloyd (2017), the analysis of price transmission dynamics "[…] gives us a yardstick with which to measure the functioning of markets" (p. 17), and "measuring the degree of vertical price transmission […] helps to identify potential market failures" (European Commission, 2009a, p. 5).…”

Yellow corn wholesale price forecasts via the neural network

“…This could be particularly the case when one considers the fact that agricultural commodities generally carry with them natural importance from a strategic perspective to a country or region . Importance of forecasting corn prices is of no exception when one takes into consideration strategic importance of corn, which could include its close relationship with the energy economic sector (Alola, 2022;Forhad & Alam, 2022;Liu & Wang, 2022;Wu, Weersink, & Maynard, 2022), deep financialization of trading (Abuselidze, Alekseieva, Kovtun, Kostiuk, & Karpenko, 2022;Penone, Giampietri, & Trestini, 2022;Wang, Zhang, Wang, & Meng, 2022;Xu, Li, Wang, & Li, 2022), and the role of serving as an important food source across the globe (Li et al, 2022;Lu et al, 2022;Niu et al, 2022;Yu, Yue, & Wang, 2022). Price forecasts are required by different forecast users in agricultural markets.…”