NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Scott H. Irwin

University of Illinois at Urbana-Champaign
Department of Agricultural and Consumer Economics

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: University of Illinois at Urbana-Champaign

NBER Working Papers and Publications

December 2018The Price of Biodiesel RINs and Economic Fundamentals
with Kristen McCormack, James H. Stock: w25341
The D4 RIN is the tradable compliance certificate for the biomass-based diesel mandate in the Renewable Fuel Standard (RFS). Understanding the price dynamics of the D4 RIN is important for understanding the RFS because its price sets a ceiling on the ethanol RIN (D6) and because some observers have suggested that RIN price fluctuations are too large to be explained by economic theory. We use option pricing theory to develop a model of the D4 RIN in terms of its economic fundamentals: the spread between the prices of biodiesel and petroleum diesel and the status of the biodiesel blenders’ tax credit. The resulting D4 fundamental price closely tracks actual D4 prices. We conclude that RIN price volatility arises because of the design of the RFS and intrinsic features of the US fuel supply sy...
October 2014Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files
with Nicole M. Aulerich, Philip Garcia
in The Economics of Food Price Volatility, Jean-Paul Chavas, David Hummels, and Brian D. Wright, editors
The "Masters Hypothesis" claims that unprecedented buying pressures from new financial index investors created a massive bubble in agricultural futures prices at various times in recent years. This chapter analyzes the market impact of financial index investment in agricultural futures markets using non-public data from the Large Trader Reporting System (LTRS) maintained by the U.S. Commodity Futures Trading Commission (CFTC). The LTRS data is superior to publicly-available data because commodity index trader (CIT) positions are available on a daily basis, positions are disaggregated by contract maturity, and positions before 2006 can be reliably estimated. The null hypothesis of no impact of aggregate CIT positions on daily returns is rejected in only 3 of the 12 markets. Point estimates ...
May 2013Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files
with Nicole M. Aulerich, Philip Garcia: w19065
The "Masters Hypothesis" is the claim that unprecedented buying pressure from new financial index investors created a massive bubble in agricultural futures prices at various times in recent years. This paper analyzes the market impact of financial index investment in agricultural futures markets using non-public data from the Large Trader Reporting System (LTRS) maintained by the U.S. Commodity Futures Trading Commission (CFTC). The LTRS data are superior to publicly-available data because commodity index trader (CIT) positions are available on a daily basis, positions are disaggregated by contract maturity, and positions before 2006 can be reliably estimated. Bivariate Granger causality tests use CIT positions in terms of both the change in aggregate new net flows into index investmen...
 
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