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Forecasting the nearby basis of live cattle

โœ Scribed by Shi-Miin Liu; B. Wade Brorsen; Charles M. Oellermann; Apul L. Farris

Publisher
John Wiley and Sons
Year
1994
Tongue
English
Weight
756 KB
Volume
14
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

โœฆ Synopsis

Numerous articles have provided statistical models of cash-futures basis for live cattle [e.g., Ehrich (1972);; ; ; l and for other commodities [e.g., Trapp and Eilrich ( 199 1 ); Tilley and Campbell ( 1 988)l. Researchers have generally found it more difficult to model basis as the futures contract approaches maturity. A better understanding of basis as the futures nears the delivery period is needed. This seems especially true in view of recent concerns about the delivery mechanism and lack of convergence revealed in studies by Peck and Williams ( 199 1) and CBOT (1988), as well as interest in cash settlement ; Kimle and Hayenga ( 199 I)].

This study seeks to forecast the live cattle basis during the month preceding contract delivery. Futures market variables believed to be associated with changes in the nearby basis are identified, their rela-

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