University of Illinois Urbana-Champaign

Understanding the price of DDGS

Silvestri, Jake R.

Content Files
SILVESTRI-THESIS-2015.pdf

Permalink

https://hdl.handle.net/2142/87970

Description

Title
Understanding the price of DDGS
Author(s)
Silvestri, Jake R.
Issue Date
2015-06-18
Director of Research (if dissertation) or Advisor (if thesis)
Irwin, Scott H.
Department of Study
Agricultural & Consumer Economics
Discipline
Agricultural & Applied Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
M.S.
Degree Level
Thesis
Date of Ingest
2015-09-29T20:37:46Z
Keyword(s)
  • Vector Error Correction model (VECM)
  • Forecasting
  • Dried Distiller's Grains with Solubles (DDGS)
  • Corn
  • Soybean Meal
  • Cointegration
Abstract
This thesis explores the factors that affect the price of dried distillers’ grain with solubles (DDGS) in Iowa. Past studies focused on providing a descriptive analysis of DDGS prices, risk management practices or analyzing regional DDGS price differences. Time series methods are used to investigate the presence of a cointegrating relationship between weekly DDGS prices, soybean meal prices and corn prices in Iowa. The corn and soybean meal prices used in the analysis are spot prices rather than futures prices. When seasonality in the data is controlled for, a cointegrating relationship between the three price series is found and a Vector Error Correction model (VECM). Additionally, weak exogeneity testing shows that corn is weakly exogenous. The cause of this finding may be differences in the ease of storing the three commodities. Granger causality gives insight into the direction of causality between the three price series. Impulse response functions are also included in the analysis. The VECM that is fit to the data also demonstrates value as a forecasting tool at up to four time horizons.
Graduation Semester
2015-8
Type of Resource
text
Permalink
http://hdl.handle.net/2142/87970
Copyright and License Information
Copyright 2015 Jake Silvestri

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Graduate Dissertations and Theses at Illinois PRIMARY
Graduate Theses and Dissertations at Illinois
Dissertations - Agricultural and Consumer Economics