Impacts on Crop Basis Variability: The Value of Spatial Time-Varying Parameter Model and EMD Approaches

• 발행기관: 한국자료분석학회
• 저자명: Sang Young Jei
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.16 No.2, 613~619쪽, 전체 7쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2014.04.30

영문 초록

We specify and estimate spatial time-varying parameter model and empirical mode decomposition to describe significant factors affecting corn and soybean basis variability from January 1996 to December 2006 using the weekly data. The DTN Farm data and the commodity research bureau provide cash prices, futures prices, rolled forward on the first trading week of the contract expiration month, respectively. The futures market liquidity, obtained from bridge, was calculated as trading volume for each commodity during week divided by open interest for each commodity during week. A total of 6864 observations are used. Based on two methods, we find spatial effects strengthen the grain basis, while other factors are statistically insignificant. These findings support the grain basis varies among different market points. Moreover even though estimates of transportation costs are statistically insignificant at any level, long-run trends of theses factors are similar. So we expect two factors have similar impacts on the crop basis.

목차

1. Introduction

2. Data

3. Model and empirical results

4. Conclusions

References

키워드

Crop Basis Spatial Time-Varying Parameter Model Spatial Competition Empirical Mode Decomposition (EMD)