The Flexi-starter pool also delivered strong results for Australian Premium White (APW) graded wheat, with returns outperforming equivalent cash prices by up to $11.40 per tonne.
The outcome was similar in the Geraldton, Albany and Kwinana zones, where the pool return exceeded the average cash price for ASW over the pool's lifespan by $12.80 - $14.50 per tonne.
Cointegration between cash and futures prices is a necessary condition for market efficiency when the futures and cash prices series are stochastic.
A simple regression model was estimated to understand the equilibrium relationship between futures and cash prices and to test the unbiasedness of futures price series to predict cash prices:(39,40,41)
The report stated that "the resulting unusual, persistent, and large disparities between wheat futures and cash prices impaired the ability of participants in the grain market to use the futures market to price their crops and hedge their price risks over time." It said the result was "an undue burden on interstate commerce."
The report also found that the average gap between wheat futures and cash prices on the day the futures contract expired grew from about 13 cents per bushel in 2005 to $1.53 in 2008.
The data set consists of weekly corn cash prices for the five regions of PA collected by the PA Department of Agriculture (PDA) and the nearby corn futures price in the CBOT.
The expected values of futures and cash prices are calculated through an adaptive expectation model.
Futures prices rose relative to cash prices
. As can be seen from Figure 4, the market shifted from backwardation on January 1, 2003, to contango by July 2006.
This is in contrast to the approach used in the hedging literature, where hedge ratios are based on time-series relations between futures prices and contemporaneous cash prices
(for example, Ghosh & Clayton, 1996).
He said that cash prices
of two million, one million, five lac and three lac would be distributed among 20 top position holders every year to in courage the students.
While wheat and corn growers are experiencing low cash prices
, payments from the federal government have kept them afloat.