Brief Summary of Minutes of Annual Meeting

Date/Location:

April 16-17, 2018, Minneapolis, MN, The Crowne Plaza Northstar Minneapolis. Conference began at 1:00 p.m., April 16, 2018.

Meeting Agenda:

The NCCC-134 Regional Research Committee sponsored its 37th annual conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management on April 16-17, 2018 in Minneapolis, MN. Twenty-six papers were presented by the authors and discussed among meeting participants. The conference meeting held two concurrent sessions where research papers with similar methods, commodities, and/or issues are organized. The papers were selected by nine members of the NCCC-134 Executive Committee from 35 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, microstructure assessment, 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.

There are also numerous opportunities to increase and build professional networks between researchers, graduate students, and industry participants. A reception is held at the conclusion of the first day of presentations. On the second day, 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. Eric Jackson – CEO of Pipeline Foods – was the featured luncheon speaker. The title of his talk was “Supply Begets Demand: The Tortured Tale of Organic Grains.” In his presentation, Mr. Jackson discussed the current status of organic grain markets in the United States and the challenges and opportunities faced by supply chain participants. He focused on aspects such as price discovery, risk management, data assessment, and methods for accurately assessing demand and supply factors for organic grains. This year's luncheon discussion resulted in an extensive participation and interaction by conference participants. Following the luncheon speaker, the last paper session was held in the luncheon room such that all lunch attendees could participate in this session.

Program:

Monday, April 16, 2018

Session 1 - Moderator: Eleni Gousgounis, Stevens Institute of Technology

“How Well Do Commodity Based ETFs Track Underlying Assets?” Tyler Neff and Olga Isengildina-Massa, Virginia Tech University.

“Can Agricultural Commodity Price Changes Be Harvested by Investing in Commodity-Linked Equities?” Tom Erik Henriksen, NMBU School of Economics and Business.

“Trading Activity, Concentration, and Commodity Bubbles.” Xue Han, Philip Garcia and Scott Irwin, University of Illinois at Urbana-Champaign.

Session 1 (cont.) - Moderator: Jeffrey Dorfman, University of Georgia

“Can Private Analysts Beat USDA? Analysis of Relative Accuracy of Crop Acreage and Production Forecasts.” Olga Isengildina-Massa, Virginia Tech University, Berna Karali, University of Georgia, and Scott Irwin, University of Illinois at Urbana-Champaign.

“The Value of Public Information in Storable Commodity Markets: Application to the Soybean Market.” Christophe Gouel, INRA.

“The Value of USDA Information: Price Volatility Spillovers and Microstructure Noise in Corn and Soybean Futures Market Prices.” Siyu Bian, Teresa Serra, and Philip Garcia, University of Illinois at Urbana-Champaign.

Session 2 - Moderator:Mykel Taylor, Kansas State University

“Wholesale Beef Futures Contract.” Robert Thompson, Ardian Harri, Josh Maples, and Eunchun Park, Mississippi State University.

“Dynamic Price Discovery among Regional U.S. Fed Cattle Markets.” Hernan Tejeda, University of Idaho, and Man-Keun Kim, Utah State University.

 “Fed Cattle Price Forecasting: Error Explanation and Forecast Improvement.” Stephen Koontz and Patrick Linnell, Colorado State University.

Session 2 (cont.) - Moderator: Stephen Koontz, Colorado State University

“Market Power and Farm-Retail Price Transmission: The Case of U.S. Fluid Milk Markets.” Charng-Jiun Yu and Brian Gould, University of Wisconsin-Madison.

“Economic Analysis of Proposed Class I Milk Pricing Policy Reforms.” Marin Bozic and Jordan Clark, University of Minnesota.

“Impacts of Railroad Costs on Kansas Wheat Basis.” Anton Bekkerman, Montana State University, and Mykel Taylor, Kansas State University.

Tuesday, April 17, 2018

Session 3 - Moderator: Anton Bekkerman, Montana State University

“The Importance of Intraday Jumps and Speed Trading in the U.S. Futures Corn Prices.” Anabelle Couleau, Philip Garcia, and Teresa Serra, University of Illinois at Urbana-Champaign.

“High Frequency Trading and Market Quality.” Neda Arzandeh and Julieta Frank, University of Manitoba.

“Block Trades in Options Markets.” Eleni Gousgounis, Stevens Institute of Technology, and Sayee Srinivasan, Commodity Futures Trading Commission.

Session 3 (cont.) - Moderator: Julieta Frank, University of Manitoba

“An Evaluation of Liquidity Measures in Market Microstructure: The Roll of Full Order Book Information.” Andres Trujillo-Barrera, Wageningen University, and Joost Pennings, Maastricht University.

“Cost of Immediacy during Large Price Movements: Evidence of Corn Futures Markets.” Xinyue He, UIUC-ACE, Philip Garcia, and Teresa Serra, University of Illinois at Urbana-Champaign.

“The Term Structure of Liquidity Provision in Agricultural Futures Markets.” Quanbiao Shang, Teresa Serra, Philip Garcia, and Mindy Mallory, University of Illinois at Urbana-Champaign.

Session 4 - Moderator: Marin Bozic, University of Minnesota

“Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role?” Tatiana Drugova, Veronica Pozo, Kynda Curtis, Utah State University, and Randall Fortenbery, Washington State University.

“Hedging Commodity Price Risk under Square Loss.” Daumantas Bloznelis, Katholieke Universiteit Leuven.

“Forecasting Crop Future Prices using Leading Economic Indicators and Bayesian Model Selection.” Yu Wang and Jeffrey Dorfman, University of Georgia.

Session 4 (cont.) - Moderator: Christophe Gouel, INRA

“Do Livestock Markets Still Value USDA Information?” Berna Karali, University of Georgia, Olga Isengildina-Massa, Virginia Tech University, and Scott Irwin, University of Illinois at Urbana-Champaign.

“Quantifying the Announcement Effect in the U.S. Lumber Market.” Zarina Ismailova, Shishir Shakya, and Xiaoli Etienne, West Virginia University.

“The Value of USDA Announcements: Evidence from Intraday Trading.” Joshua Huang, Teresa Serra, and Philip Garcia, University of Illinois at Urbana-Champaign.

Luncheon Speaker: Mr. Eric Jackson, CEO, Pipeline Foods

Topic: “Supply Begets Demand: The Tortured Tale of Organic Grains”

Session 5 - Moderator: Anton Bekkerman, Montana State University

“Going to Kansas City? Examining Working’s Wheat Price Discovery Puzzle.” Joseph Janzen, Montana State University, and Mindy Mallory, University of Illinois at Urbana-Champaign.

“Who Holds Positions in Agricultural Futures Markets? Evidence from Regulatory Data.” Michel Robe, University of Illinois at Urbana-Champaign, and John Roberts, 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 52 participants. This was on par with the average attendance, which has ranged between 45 and 55 participants. The slight decrease from the attendance in previous years was likely due to the change in location of the conference from St. Louis to Minneapolis. While the change may have decreased overall attendance numbers, it did result in the attendance of more participants from international locations and a different subset of industry participants. Bekkerman announced that a follow-up suvey will be sent to conference participants to evaluate their opinions about the new location.

Bekkerman also announced that the special issue of the Journal of Agribusiness, which featured papers that were presented at the 2016 NCCC-134 annual meetings, was published. 

Next, Bekkerman discussed the implementation of a new double-blind electronic submission and evaluation system for conference papers. Attendees and members of the NCCC-134 executive committee indicated that the system seemed to work well and that continuing to use the new submission/evaluation approach should be continued. 

No additional discussions were initiated.

Meeting Adjourned:

3:15 p.m. April 17, 2018. 

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 52 participants. This was on par with average attendance, which has ranged between 45 and 55 participants. The slight decrease in attendance is likely due to switching the meeting location away from St. Louis to Minneapolis.

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, and government agencies. 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, 7 participants (13% of total attendees) were from outside of academia.

Furthermore, this meeting remains an important venue for graduate students to present their work. This year, 17 graduate students attended the conference (33% 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.

In December 2017, the Journal of Agribusiness published a special issue of its journal. The special issue (volume 35, issue 2) featured papers that were presented during the 2016 NCCC-134 meetings, showcasing the research the NCCC-134 participants engage in. The introduction—written by Anton Bekkerman and Berna Karali—provided a history, overview, and context of the group. The special issue represents the high-quality research conducted by NCCC-134 participants and will enable other researchers and industry participants to learn about and engage with the group in the future.

The group also implemented a new abstract submission and evaluation system. In the past, papers were submitted via email to one of the conference organizers. Then, the papers were distributed to members of the NCCC-134 executive committee, and these reviewers would submit individual Excel sheets with their rankings back to the conference organizer. The organizer would then assemble all of the scores. This was a time-consuming effort that was not efficient. For the 2018 meeting, the conference organizers, Bekkerman and Karali, set up and implemented a new, electronic submission system that significantly streamlined the process. Authors submitted all of their materials through the system, members of the executive committee reviewed each anonymous paper and assigned rankings, and the system provided summaries of the scores to the organizers. The conference organizers then sent automated emails accepting and declining papers through the system. The electronic system represented a significant efficiency improvement and will continue to be used. 

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, 2018. 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

Additionally, the special issue of the Journal of Agribusiness features works by NCCC-134 participants and highlights research that was presented at the 2016 NCCC-134 meeting. The special issue also provides an introduction and overview of the research by NCCC-134 participants. The citation for this issue is: Journal of Agribusiness 35(2): 99-182