FUTURES PRICES LINKAGES IN THE US SOYBEAN COMPLEX
This work investigates the linkages among the futures prices of soybeans, soybean meal, and soybean oil in the US. This has been pursued using a flexible methodology that allows modelling price relationships at different parts of their joint distribution. According to the empirical results, the markets are strongly connected in the vertical direction regardless of the sign and the size of shocks. The meal and oil prices maintain a negative relationship at the median and the upper quantiles but they are not connected under large negative shocks. The soybean market is a net transmitter of price risk to the other two markets while price shocks around the median tend to be transmitted with higher intensity relative to those at the extremes.
Copyright (c) 2023 Panos Fousekis
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
Authors submitting articles for publication warrant that the work is not an infringement of any existing copyright and will indemnify the publisher against any breach of such warranty. By publishing in Applied Finance Letters, the author(s) retain copyright but agree to the dissemination of their work through Applied Finance Letters.
By publishing in Applied Finance Letters, the authors grant the Journal a Creative Commons nonexclusive worldwide license (CC-BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License) for electronic dissemination of the article via the Internet, and, a nonexclusive right to license others to reproduce, republish, transmit, and distribute the content of the journal. The authors grant the Journal the right to transfer content (without changing it), to any medium or format necessary for the purpose of preservation.
Authors agree that the Journal will not be liable for any damages, costs, or losses whatsoever arising in any circumstances from its services, including damages arising from the breakdown of technology and difficulties with access.