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Abstract

This paper analyzes changes in the expected demand for corn in the U.S., and it explores whether anticipatory signals of price jumps can be obtained from simple models. Two main objectives are considered. One is to estimate the relationship between the expected supply of corn and corresponding prices of futures contracts. We argue that such results can provide estimates of demand relationships and their shifts with the passage of time. Moreover, such analysis should allow us to test for possible changes in the structure of demand. A second, related objective is to demonstrate how such historical estimates can allow an analyst to appraise the futures markets’ quotes relative to forecasts from the historical model. We argue that the difference in the two prices may contain useful information.

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