Brief Summary of Minutes of Annual Meeting

Date/Location:

April 15-16, 2019, Minneapolis, MN, The Crowne Plaza Northstar Minneapolis. Conference began at 1:00 p.m., April 15, 2019.

Meeting Agenda:

The NCCC-134 Regional Research Committee sponsored its 38th annual conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management on April 15-16, 2019 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 ten members of the NCCC-134 Executive Committee from 32 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 was held at the conclusion of the first day of presentations. On the second day, industry participants and well-established academic professionals were invited to speak during the luncheon. 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. Kent Horsager – CEO of CSC Arbitrage Group LLC – was the featured luncheon speaker. Mr. Horsager has had a long and highly successful career in agricultural commodity markets, most notably being the CEO and President of the Minneapolis Grain Exchange in 2005–2008. 

The title of his talk was “Commodity Markets: A Practitioner's Perspective.” In his presentation, Mr. Horsager discussed the historical evolution of commodity exchanges and where the landscape stands today. He focused on the transition of exchanges from pit to electronic trading, and the challenges and opportunities that this transition has brought to the agricultural industry. He also posed questions and encouraged discussion about how the academic world could better communicate their work to the industry. 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 15, 2019

Session 1 - Moderator: Nicolas Legrand, INRA

“Lifting the Veil on the Iceberg: An Analysis of Hidden Liquidity in the U.S. Agricultural Futures Markets.” Quanbiao Shang, Maria Teresa Serra Devesa, Philip Garcia, and Mindy Mallory, University of Illinois at Urbana-Champaign.

“Double Edged Sword: Liquidity Implications of Futures Hedging in Corn and Soybean Markets.” Ruoding Shi and Olga Isengildina- Massa, Virginia Tech University.

“Basis Convergence and Forward Contracting for Kansas Wheat.” Mykel Taylor, Kansas State University, Randy Fortenbery, Washington State University, and Glynn Tonsor, Kansas State University.

Session 1 (cont.) - Moderator: Mykel Taylor, Kansas State University

“Informed Trading and the O/F Ratio.” Xue Han, Mindy Mallory, and Michel Robe, University of Illinois at Urbana-Champaign.

“Can Satellite Images Forecast Unanticipated Information from USDA Reports? Evidence on Corn Yield Estimates.” Pierrick Piette, University Lyon.

“Fundamentals and Grain Futures Markets.” Berna Karali, University of Georgia, Olga Isengildina Massa, Virginia Tech University, and Scott Irwin, University of Illinois at Urbana-Champaign.

Session 2 - Moderator: David Bullock, North Dakota State University

“An Update and Re-estimation of the ERS Livestock Baseline Model.” William Maples, Wade Brorsen, Oklahoma State University, Leknath Chalise, and William Hahn, USDA Economic Research Service.

“Managing Risk in Ethanol Processing Using Formula Pricing Contracts.” David Bullock and William Wilson, North Dakota State University.

“Using Hybrid Short/Long-Term Forecast Models to Evaluate Cost Estimates of Proposed Reforms to Margin Protection Program for Dairy Producers.” Marin Bozic, Jore Kyle, Tommy Keller, University of Minnesota, John Newton, American Farm Bureau Federation, Mark Stephenson, University of Wisconsin, and Anne Effland, USDA, Office of the Chief Economist.

Session 2 (cont.) - Moderator: Marin Bozic, University of Minnesota

“Sources of Errors in USDA’s Net Cash Income Forecasts.” Olga Isengildina-Massa, Virginia Tech University, Berna Karali, University of Georgia, Todd Kuethe, University of Illinois at Urbana-Champaign, and Ani Katchova, The Ohio State University.

“Wheat Futures Trading Volume Forecasting and the Value of Extended Trading Hours.” Joseph Janzen, Kansas State University, and Nicolas Legrand, INRA.

“Intraday Trading Invariance in the Grain Futures Markets.” Zhiguang Wang, South Dakota State University.

Tuesday, April 16, 2019

Session 3 - Moderator: Joseph Janzen, Kansas State University

“The Change in Price Elasticities in the U.S. Beef Cattle Industry and the Impact of Futures Prices in Estimating the Price Elasticities.” Sei Jeong, University of Georgia.

“Evaluation of Ambiguity in Commodity Futures Markets: Analysis of Corn and Coffee Futures Prices.” Waldemar Souza, Federal University of Alagoas – UFAL, Rafael Palazzi, Catholic University of Rio de Janeiro - PUC RJ, Carlos Heitor Campani, Federal University of Rio de Janeiro – UFRJ, and Martin Bohl, University of Muenster.

“Algorithmic Trading in Agricultural Commodity Futures Markets.” Zhepeng Hu, Maria Teresa Serra Devesa, and Philip Garcia, University of Illinois at Urbana-Champaign.

Session 3 (cont.) - Moderator: Gerald Wang, South Dakota State University

“Corn-Crush Hedging – Does Location Matter?” Roger Dahlgran and Rajat Gupta, University of Arizona.

“Factors Influencing the Gulf and PNW Export Soybean Basis: An Exploratory Statistical Analysis.” David Bullock and William Wilson, North Dakota State University.

“Basis Forecasting Performance of Composite Models: An Application to Corn and Soybean Markets.” Kexin Ding and Berna Karali, University of Georgia.

Session 4 - Moderator: Roger Dahlgran, University of Arizona

“Where to Hedge? Optimal Hedge in Cointegrated Markets: The Case of Corn in Brazil and the U.S.” Felipe Grimaldi Avileis and Mindy Mallory, University of Illinois at Urbana-Champaign.

“What Drives Black Sea Grain Prices?” Maximilian Heigermoser and Linde Götz, Leibniz Institute of Agricultural Development in Transition Economies–IAMO.

“How Far is too Far for Volatility Transmission?” Yao Yang and Berna Karali, University of Georgia

Session 4 (cont.) - Moderator: Anton Bekkerman, Montana State University

“Does a Nexus Exist between Implied Volatility and Storage Regimes in Agricultural Commodity Markets?” Alankrita Goswami and Berna Karali, University of Georgia.

“The Delaying Effect of Storage on Investment: Evidence from The Crude Oil Sector.” Nicolas Legrand, INRA.

“Commodity Speculation and the Overshooting Theory.” Conner Naughton and Mindy Mallory, University of Illinois at Urbana-Champaign.

Luncheon Speaker: Mr. Kent Horsager, President, CSC Arbitrage Group, LLC

Topic: “Commodity Markets: A Practitioner’s Perspective”

Session 5 - Moderator: Berna Karali, University of Georgia

“Cost and Cooperation: The Effects of Section 199 on the Basis Offered by Grain Marketing Cooperatives.” Anton Bekkerman, Andrew Swanson, Montana State University, and Mykel R Taylor, Kansas State University.

“Spatial Commodity Basis Changes and the Value of Agricultural Land.” Joseph Janzen and Mykel Taylor, Kansas 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. The following information was discussed.

Informational

• Low submission to 2018 Proceedings: 13 out of 26 papers (50%)
• Total proposals submitted: 32 (35 in 2018)
• Participation is down: 42 (54 in 2018 or 64 in 2017)---making us nervous in our ability to meet hotel’s room number for block rate.
• Withdrawals are significantly up (4 papers): most notified us only 2-3 weeks before the conference, making us scramble to ask folks to add papers.
• Worked with AgEconSearch (UMN) to transfer all of the NCCC-134 online archive to their database. This will help create more exposure for papers!
• NCCC-134 Project five-year renewal is in 2020---requires process to be completed in Fall 2019.

Discussion / Action Items

• Should we impose early registration deadline for presenters to help reduce the number of withdrawals and/or allow for sufficient time to ask proposals that were not initially accepted to participate?
• Location of next meeting: Minneapolis, St. Louis, Kansas City, Dallas, Bozeman, Atlanta… others?
• Hotel preference going forward:
  • Are we looking for lowest price (to keep registration fees down)?
  • Are we looking for higher quality (both facility and food)?
  • Are we okay with a hotel that doesn't have public transportation from airport?
  • Are we looking for location that's more "downtown" or is an "airport hotel" okay?
    • We can look for what the group wants…just need your input.
• Timing of next meeting:
• Kansas-State–CFTC conference is typically in April one-week prior to NCCC-134. Our group's participants are likely to also be participants in CFTC conference. May limit number of NCCC-134 participants.
• Do we want to "piggyback" with CFTC meeting location/timing? (Reached out to CFTC conference organizes, and they don't want to do joint. But we could do back-to-back).
• Do we want to move NCCC-134 to another time period (earlier/later in the spring; early fall)?
• Current NCCC-134 co-chair term is ending in 2020 (one more meeting by Karali/Bekkerman).
  • Need to elect new chairs. Nominations / vote.
  • New co-chairs will lead the renewal process in 2019 with assistance of current chairs.
  • Should we make the term be 3 or 4 years rather than 5?

Decisions / Outcomes

1. Idea to implement a February 1 deadline for presenters was deemed as appropriate.

2. Many participants indicated that they would attend the conference regardless of where it is held. Some preference indicated for hotels in downtown areas. Because many of the executive committee members were not at the business meetings, co-chairs announced that they will bring this information to the executive committee and make a decision about next year's location during a conference call in the next several weeks.

3. Nomination for Mindy Mallory (U. Illinois) and Olga Insigeldina-Massa (Virginia Tech) was made for the next co-chair leadership team. Fabio Mattos moved to elect the new team. Matthew Diersen seconded the motion. The new team was approved unanimously.

4. Discussion of a 1+3 year term (1 transition year + 3 full leadership years) was discussed and many participants indicated that this would be appropriate. Co-chairs will discuss this change with the executive committee uring a conference call in the next several weeks.

No additional discussions were initiated.

Meeting Adjourned:

3:15 p.m. April 16, 2019. 

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 42 participants. This was somewhat below average attendance, which has ranged between 45 and 55 participants. 

Eight of the 26 papers, or 31%, 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.

Furthermore, this meeting remains an important venue for graduate students to present their work. This year, 16 graduate students attended the conference (38% of total attendees). This represents a 12% increase since last year. Many of them presented papers co-authored with faculty members and interacted with members of the group who regularly attend the meeting.

In March 2019, AgEcon Search invited the NCCC-134 to copy its archive of papers—hosted on the NCCC-134 website—to the AgEcon Search database. AgEcon Search is one of the largest (if not the largest) public database of agricultural economics works. It is hosted by the University of Minnesota and provides a searchable interface for academic, industry, and government stakeholders. Having NCCC-134 proceedings papers hosted on AgEcon Search will provide greater exposure to the work that the group develops. The invitation for the co-hosting of NCCC-134 proceedings papers by AgEcon Search is also a signal that the group's efforts are highly recognized by the profession.

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, 2019. 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, beginning in March 2019, the full NCCC-134 archive is also available on the AgEcon Search website. This is one of the largest searchable repository for agricultural economics research. The archive can be accessed at the following web address: https://ageconsearch.umn.edu/collection/1249?ln=en