Director of Research (if dissertation) or Advisor (if thesis)
Irwin, Scott H.
Department of Study
Agr & Consumer Economics
Discipline
Agricultural & Applied Econ
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
M.S.
Degree Level
Thesis
Date of Ingest
2012-09-18T21:08:21Z
Keyword(s)
convergence
soybean futures
soybean oil
soybean meal
variable storage rates
theory of storage
Chicago Board of Trade (CBOT)
commodities
agricultural futures
basis
carry
Abstract
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.
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Koziara_Peter.pdf
