Brief Summary of Minutes of Annual Meeting

Date/Location:

April 24-25, 2017, St. Louis, Missouri, The Crowne Plaza St. Louis – Downtown Hotel. Conference began at 1:00 p.m., April 24, 2017.

Meeting Agenda:

The NCCC-134 Regional Research Committee sponsored its 36th annual conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management on April 24-25, 2017 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 eight members of the NCCC-134 Executive Committee from 41 two-page prospectuses submitted prior to the conference. The resulting collection of papers ranged across topics of 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. Darin Newsom – Senior Analyst at DTN – was the featured luncheon speaker. The title of his talk was “Demand in a Surplus World.” In his presentation, Mr. Newsom discussed the underlying factors that have driven corn, soybean, and wheat prices to historical lows in the past year, and the extent to which agricultural markets have responded. He focused on presenting information about how the demand side of those markets has responded and what can be expected in the near future. Following the luncheon speaker, the last paper session is held in the luncheon room such that all lunch attendees could participate in this session.

Program:

Monday, April 24, 2017

Session 1 - Moderator: Andrew McKenzie, University of Arkansas

“Improving USDA Price Forecasts.” Michael Adjemian, USDA Economic Research Service, Valentina Bruno, and Michel Robe, American University.

“Evaluating Crop Forecast Accuracy for Corn and Soybeans in the US, Brazil, and Argentina.” Katie Cumming, Fabio Mattos, University of Nebraska, Xiaoli Etienne, West Virginia University.

“Are USDA Announcement Effects Declining over Time?” Jiahui Ying and Jeffrey Dorfman, The University of Georgia.

Session 1 (cont.) - Moderator: Paul Peterson, University of Illinois at Urbana-Champaign

“Time Series Modeling of Cash and Futures Commodity Prices.” Joshua Maples and Wade Brorsen, Oklahoma State University.

“Are Futures Prices Good Price Forecasts? – Nonlinearities in Efficiency and Risk Premiums in the Soybean Futures Complex.” Joshua Huang, Teresa Serra, and Philip Garcia, University of Illinois at Urbana-Champaign.

“Futures-Based Forecasts of U.S. Crop Prices.” Jiafeng Zhu, Olga Isengildina-Massa, and Jason Grant, Virginia Tech University.

Session 2 - Moderator: Mindy Mallory, University of Illinois at Urbana-Champaign

“Margin Protection Program for Dairy Producers at Half-Time: Do We Need an Overhaul?” Aaron Richins, Fanda Yang, and Marin Bozic, University of Minnesota.

“Volatility Measures for Crop Insurance: Are We Sure We Have It Right?” Randall Fortenbery, Washington State University.

“Assessing the Accuracy of USDA’s Farm Income Forecasts: The Impact of ARMS.” Todd Kuethe, Todd Hubbs, University of Illinois at Urbana-Champaign, and Dwight Sanders, Southern Illinois University.

Session 2 (cont.) - Moderator: Fabio Mattos, University of Nebraska

“Dynamic Integration in the Regional U.S. Natural Gas Markets.” Alexandre Scarcioffolo and Xiaoli Etienne, West Virginia University.

“Testing Spatial Price Linkages in US Southern Cattle Market: An Application of STAR Model with Future Market Hedging Behavior-Controlled Transitions.” Yunhan Li, Wenying Li, and Jeffrey Dorfman, The University of Georgia.

“Corporate Hedging in Incomplete Markets: A Solution under Price Transmission.” Rui Luo and Randall Fortenbery, Washington State University

Tuesday, April 25, 2017

Session 3 - Moderator: Michel Robe, American University

“Assessing the Effects of Microstructure Noise on Realized Volatility in the Live Cattle Futures Market.” Anabelle Couleau, Teresa Serra, and Philip Garcia, University of Illinois at Urbana-Champaign.

“The Effect of the Futures Pit Closure on Customer Orders: Evidence from the Livestock Futures Market.” Eleni Gousgounis, Stevens Institute of Technology, and Esen Onur, Commodity Futures Trading Commission.

“The Long-Term Effects of Meat Recalls on Futures Markets.” Matt Houser and Jeffrey Dorfman, The University of Georgia.

Session 3 (cont.) - Moderator: Eleni Gousgounis, Stevens Institute of Technology

“Market Microstructure Dynamics in Agricultural Futures Markets.” Julieta Frank and Mehdi Arzandeh, University of Manitoba.

“Trade Impact in the Electronic Grain Futures Markets.” Zhiguang Wang, South Dakota State University, Suchismita Mishra, Florida International University, and Lisa Elliott, South Dakota State University.

“Measuring Price Discovery Between Nearby and Deferred Contracts in Storable and Non Storable Commodities.” Mindy Mallory, Teresa Serra, Philip Garcia, and Zhepeng Hu, University of Illinois at Urbana-Champaign.

Session 4 - Moderator: Fabio Mattos, University of Nebraska

“US Yield Forecasting Using Crop Condition Rankings.” Fernanda de Barros Dias, Scott Irwin, and Darrel Good, University of Illinois at Urbana-Champaign.

“Forecasting Soft White and Hard Red Winter Wheat Basis in Washington State.” Randall Fortenbery and Wenxing Song, Washington State University.

“Automation in the Hedge-Ratio Estimation Cottage Industry.” Roger Dahlgran, University of Arizona.

Session 4 (cont.) - Moderator: : Roger Dahlgran, University of Arizona

“Metallgesellschaft Revisited.” Paul Peterson, University of Illinois at Urbana-Champaign, and Jin Choi, DePaul University.

“Hedging Effectiveness of Fertilizer Swaps.” William Maples,  Wade Brorsen, Oklahoma State University, and Xiaoli Etienne, West Virginia University.

“Performance of the Producer Accumulator in Corn and Soybean Markets.” Chad Te Slaa, Lisa Elliott, Matthew Elliott, and Zhiguang Wang, South Dakota State University.

Luncheon Speaker: Mr. Darin Newsom, Senior Analyst, DTN

Topic: “Demand in a Surplus World”

Session 5 - Moderator: Anton Bekkerman, Montana State University

“Algorithmic Trading and Livestock Market Quality.” Richard Haynes, Commodity Futures Trading Commission, Vikas Raman, Warwick University, Michel Robe, American University, and Pradeep Yadav, University of Oklahoma.

“The Cost of Forward Contracting in CIF NOLA Export Bid Market.” Bradley Isbell, Andrew McKenzie, University of Arkansas, and Wade Brorsen, Oklahoma State University.

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 64 participants. This was significantly higher than the average attendance, which has ranged between 45 and 55 participants, and was higher than the previous year's already substantial attendance (57 participants). This indicates the continued success and growth of the group's importance.  

Bekkerman announced that the 2018 NCCC-134 meeting will be held on April 16-17, 2018 at the Crowne Plaza Hotel Downtown Minneapolis, Minneapolis, MN. While this represents a departure from the long-standing downtown St. Louis, MO location, it also represents an opportunity to attract additional participants and expand the network of industry professionals with whom the group interacts.

Next, Bekkerman discussed a proposal to amend the prospectus assessment process. Currently, participants are invited to submit a prospectus, which is then sent for evaluation to the NCCC-134 executive council. To become more in-line with other groups' and organizations' paper selection procedures, Bekkerman proposed that the committee implement a blind online submission and evaluation process. After an opportunity to comment and discuss, and with no additional comments, Mindy Mallory moved to implement the blind online review process and Randy Fortenbery seconded the movement. The proposal passed unanimously. The new process will be implemented for the upcoming 2018 committee meeting.

Bekkerman next discussed that one of the committee's executive committee members has become inactive. Numerous attempts were made in the last two years to contact the inactive member to inquire about the member's interest in continuing to serve in the role, but this was without success. The member has not attended the previous two annual meetings, has not participated in the prospectus evaluation process, and has not at all communicated with the co-chairs or the other members of the executive committee. Bekkerman suggested that this member be replaced by an active member. After a brief discussion, Olga Isengildina-Massa was nominated, seconded, and unanimously approved by the group. Isengildina-Massa has been an active member of the NCCC-134 group for over 10 years and has shown interest in being in a leadership position for the group.

Next, Bekkerman asked the group to weigh in on interest in submitting a nomination for the NCCC-134 committee for the 2018 Experiment Station Section Awards for Excellence in Multistate Research. The NCCC-134 committee has been a highly active and successful group for 36 years, and certainly fits the award's purpose to "recognize those station scientists who are conducting exemplary multistate activities and enhance the visibility of the multistate program." The group was in agreement that submitting the nomination would be appropriate. Bekkerman then asked the group whether several of the more long-standing members would be willing to contribute 2-3 paragraph descriptions of what they believe to be the group's most notable accomplishments, which would then be compiled by the co-chairs into a nomination package. There was general enthusiasm to assist in this manner, and the co-chairs will send a follow-up to the group's members to solicit these descriptions.

Two additional discussions followed. Based on the responses from post-meeting survey last year,  Berna Karali brought up the discussion point to post participants' presentations on the committee’s website immediately following the conference in order to allow other participants to view informational content faster and in a more visual format. Business meeting participants noted that in many cases, presentations may not reflect information that the authors want to convey, especially when useful feedback is provided from the audience. Randy Fortenbery suggested that the authors can be asked to send their presentations along with their proceedings papers. However, there was some discussion that having presentations publicly available on the committee’s website might not be desirable for some researchers and therefore should be send out only to the meeting participants via email. The group decided not to post presentations and continue to publish only proceedings papers.

Second, Randy Fortenbery suggested that because there will be a change in location and venue for the 2018 annual meeting, a notification email announcing this change may be helpful several weeks before the call for proposals is issued in July 2017. The rationale is that some potential participants who may not have submitted proposals due to the meeting's location in St. Louis may be more likely to prepare a submission after being notified of the location change. The co-chairs will coordinate sending this notification in early-June 2017.

No additional discussions were initiated.

Meeting Adjourned:

3:15 p.m. April 25, 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 64 participants. This was significantly higher than the average attendance, which has ranged between 45 and 55 participants, and was higher than the previous year's already substantial attendance (57 participants). This indicates the continued success and growth of the group's importance.  

Nine of the 26 papers, or 35%, are 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. The committee represents an important opportunity for academics to interact with industry leaders and government stakeholders. At this year's conference, 13 participants (20% of total attendees) were from outside of academia.

Furthermore, this meeting remains an important venue for graduate students to present their work. This year, 21 graduate students attended the conference (32% of total attendees), many of them presenting papers co-authored with faculty members. Many of them presented papers co-authored with faculty members and interacted with members of the group who regularly attend the meeting. 

Lastly, Dr. Philip Garcia (University of Illinois)—a long-standing member and contributor to the NCCC-134 group—was selected as one of the 2017 Fellows of the Agricultural and Applied Economics Association (AAEA). Becoming an AAEA Fellow represents the highest honor in the agricultural profession, and Dr. Garcia joins three other long-standing and still active members of the NCCC-134 committee: Dr. Wade Brorsen, Dr. Jeffrey Dorfman, and Dr. Scott Irwin. This represents the continuing recognition by the agricultural economics profession of the importance of price analysis research to the field and the significant contributions that members of the NCCC-134 committee consistently make to that advancing that field.

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, 2017. 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