Brief Summary of Minutes of Annual Meeting

Date/Location:

April 18-19, 2016, St. Louis, Missouri, The Crowne Plaza St. Louis – Downtown Hotel. Conference began at 1:00 p.m., April 18, 2016.

Meeting Agenda:

The NCCC-134 Regional Research Committee sponsored its 35th annual conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management on April 18-19, 2016 in St. Louis, Missouri. Twenty-six papers were presented by the authors and discussed among meeting participants. The conference meeting holds two concurrent sessions where research papers with similar methods, commodities, and/or issues are organized. The papers were selected by seven members of the NCCC-134 Executive Committee from 45 two-page prospectuses submitted prior to the conference. The resulting collection of papers ranged over futures and options market analysis, market information, effects and management of market risk, price forecasting evaluations, and several other price analysis topics. The format of the meeting allows for extensive discussion of the paper, results, and implications. Preliminary works and findings are encouraged.

Industry participants and well-established academic professionals are invited to speak during the business lunch. The goal of the luncheon speaking session is to discuss industry and research issues and discuss perspectives of successful economists. Presenting during the lunch allows discussion with the entire body of conference participants. This year, Mr. Bill Lapp – President of Advanced Academic Solutions – was the featured luncheon speaker. The title of his talk was “How the Private Sector Incorporates Information into Market Analysis.” In his presentation, Mr. Lapp discussed how economic advisers in private industry utilize economic models along with available information on market conditions and prices to help their customers in their decision-making processes for input purchases and price risk management. Following the luncheon speaker, the last paper session is held in the luncheon room such that such that all lunch attendees could participate in this session.

Program:

Monday, April 18, 2016

Session 1 - Moderator: Sjur Westgaard, Norwegian University of Life Sciences

“The Information Content in the Term Structure of Commodity Prices.” Xiaoli Etienne, West Virginia University, and Fabio Mattos, University of Nebraska.

“The Information Content of the Limit Order Book.” Mehdi Arzandeh and Julieta Frank, University of Manitoba.

“The Components of the Bid-Ask-Spread: Evidence from the Corn Futures Market.” Quanbiao Shang, Mindy Mallory, and Philip Garcia, University of Illinois.

Session 1 (cont.) - Moderator: Julieta Frank, University of Manitoba

“Identifying Financialization Impacts in Commodity Futures Markets.” Lei Yan, Scott H. Irwin, University of Illinois, and Dwight R. Sanders, Southern Illinois University.

“Commodities and their Relation to Stock Market Returns.” Marie Steen and Sjur Westgaard, Norwegian University of Life Sciences.

“Linkages between U.S. and Chinese Agricultural Commodity Futures Markets: Evidence from the Soybean Complex.” Zhepeng Hu and Philip Garcia, University of Illinois.

Session 2 - Moderator: John Newton, National Milk Producer’s Federation

“The Theory of Optimal Hedging Horizons and Application to Dairy Risk Management in the United States.” Marin Bozic, University of Minnesota, Ekaterina Vorotnikova, University of Idaho, and Robert Johansson, USDA.

“Hedging Crack Spread during Periods of High Volatility of Oil Prices.” Pan Liu and Dmitry V. Vedenov, Texas A&M University.

“Risk Management: Hedging Potential for U.S. Breweries.” Alejandro Prera, Randy Fortenbery, and Thomas March, Washington State University.

Session 2 (cont.) - Moderator: Xiaoli Etienne, West Virginia University

“Market Concentration in the Grain Handling Industry.” Anton Bekkerman, Montana State University, and Mykel Taylor, Kansas State University.

“The Reference Price Effect on Crop Producer’s Hedging Behavior.” Ziran Li, Dermot Hayes, and Keri Jacobs, Iowa State University.

“Relationship of Grain Stocks and Marketing Behavior.” Tyler Holmquist, Matthew Diersen, and Nicole Klein, South Dakota State University.

Tuesday, April 19, 2016

Session 3 - Moderator: Olga Isengildina-Massa, Virginia Tech University

“Commodity Price Co-movements: Back to Normal.” Marie Steen and Ole Gjolberg, Norwegian University of Life Sciences.

“Volatility Risk Premium in Selected Agricultural Commodity Options.” Lei Yan and Philip Garcia, University of Illinois.

“What Drives Uncertainty and Volatility Expectations in Agricultural Markets?” Michael Adjemian, USDA, Valentina Bruno, and Michel A. Robe, American University.

Session 3 (cont.) - Moderator: Marin Bozic, University of Minnesota

“The Value of USDA Situation and Outlook Information in the Big Data Era.” Olga Isengildina-Massa, Virginia Tech University, Berna Karali, The University of Georgia, Scott H. Irwin, University of Illinois, and Michael Adjemian, USDA.

“Valuing Public Information in Agricultural Commodity Markets: WASDE Corn Reports.” Philip Abbott, David Boussios, and Jess Lowenberg-DeBoer, Purdue University.

“The Economic Impact of the 2015 Avian Influenza Outbreak on U.S. Egg Prices.” Agnieszka Dobrowolska and D. Scott Brown, University of Missouri.

Session 4 - Moderator: Matthew Diersen, South Dakota State University

“Forecasting Quality Grade and Certified Angus Beef Premiums.” Jason Franken, Western Illinois University, and Joe Parcell, University of Missouri.

“Deep Learning: A Potential Forecasting Tool.” Jasdeep S. Banga and Wade B. Brorsen, Oklahoma State University.

“From Auckland to Eau Claire: Price Transmission from International Dairy Markets to Local U.S. Milksheds.” John Newton, National Milk Producer’s Federation.

Session 4 (cont.) - Moderator: Jason Franken, Western Illinois University

“Price Discovery in Regional Fed Cattle Markets: What is the Impact of the Thinning Cash Trade?” Stephen R. Koontz, Colorado State University.

“Price Reporting in a Thin Market.” Kayode Ajewole, Ted C. Schroeder, Kansas State University, Joe Parcell, University of Missouri.

“Determining the Effectiveness of Exchange Traded Funds as a Risk Management Tool.” Will Maples, Ardian Harri, Mississippi State University, John Michael Riley, Oklahoma State University, Jesse Tack, and Brian Williams, Mississippi State University.

Luncheon Speaker: Mr. Bill Lapp, President, Advanced Economic Solutions

Topic: “How the Private Sector Incorporates Information into Market Analysis”

Session 5 - Moderator: Anton Bekkerman, Montana State University

“Exploring OTC Commodity Swaps with Regulatory Data.” Scott Mixon, Esen Onur, and Lynn Riggs, Commodity Futures Trading Commission.

“The Effect of Pit Closure on Futures Trading.” Eleni Gousgounis, Stevens Institute of Technology, and Esen Onur, Commodity Futures Trading Commission. 

Business Meeting Minutes:

Following the research paper presentations program, a short business meeting of the NCCC-134 executive committee and other interested participants was held. NCCC-134 Committee co-chair, Anton Bekkerman, led the meeting. Anton Bekkerman indicated an attendance at this year’s conference of 57 participants. This was higher than the average attendance, which has ranged between 45 and 55 participants.

Bekkerman announced that the renewal process of the NCCC-134 Committee was successful and the regional project was approved until 2020. Anton Bekkerman also thanked the previous co-chairs Matthew Diersen and Matthew Roberts for their help with the renewal process and for their service as outgoing co-chairs.

Bekkerman also noted that the third week of April in 2017 falls on the week following the Easter holiday. To avoid possible low attendance following the holiday as has been experienced in the past, next year’s meeting dates are proposed as April 10-11, 2016 or April 24-25, 2016. A vote was taken and the later date was accepted.

Bekkerman announced that there has been an increase in the hotel expenses this year to reserve conference rooms. The hotel now strictly enforces the minimum food/beverage expense to reserve conference rooms. Due to this increase in cost, Bekkerman proposed an increase in the registration fees. Faculty/professional rates will be increased from $170 to $200, while student fees will be kept at $50, or increased to $55.

A discussion is held on a possible change to meeting location. Some alternatives are considered: a) Kansas City; b) Minneapolis; c) Chicago. After some discussion, it is decided that the committee co-chairs, Anton Bekkerman and Berna Karali, will explore these possibilities and especially seek for an opportunity to use each city’s Federal Reserve’s building to host the conference. Co-chairs will also explore other hotels/venues in St. Louis. 

Meeting Adjourned:

3:30 p.m. April 19, 2016. 

As in the past, the NCCC-134 Committee continues to be a leader in bringing together leaders in the research and application of applied commodity price analysis, forecasting, and market risk management. The annual meeting creates valuable research dissemination opportunities and the ability to bridge the gap between researchers across states, regions, and countries and stakeholders who will be applying that research. Overall, the attendance at this year’s conference was 57 participants. This was higher than the average attendance, which has ranged between 45 and 55 participants. 

This year, ten of the 26 papers, or 38%, were collaborative works by researchers at different institutions. These institutions include land grant universities, other public and private universities, government agencies, and private industry. This regional project is one of the main catalysts for the works. All participants attend this meeting to hear about works from researchers at other institutions that are in the area of expertise addressed by the project. Of the attendees, seven (approximately 14%) were from the private industry, three (6%) were from government agencies, and six (12%) were from international institutions. 

The meeting also remains an important venue for graduate students to present their work. This year, 18 graduate students attended the conference (32% of total attendees). Many of them presented papers co-authored with faculty members and interacted with members of the group who regularly attend the meeting. 

As the case in previous years, all research papers presented at this year's meeting will be published to the group's official website after June 1, 2016. These papers, as well as archived papers from the Committee's previous years, can be accessed at the following web address: http://www.farmdoc.illinois.edu/nccc134/paperarchive.html

In addition to these publications, the co-chairs are working with the peer-reviewed Journal of Agribusiness to publish a special issue that features research presented at the NCCC-134 meeting. This represents an additional avenue for this research to be disseminated to other academic researchers and industry stakeholders.