Globally Distributed Production and the Pricing of CME Commodity Futures

摘要

I investigate how local supply shocks in the globally distributed production of commodities are incorporated into Chicago Mercantile Exchange (CME) futures prices. I exploit that the soybean market share of the United States (Argentina) decreased (increased) between 1996 and 2010, and use rain, which tends to increase output, as a source of exogenous supply shocks. I find a significantly negative response of CME soybean prices to daily rain across regions and time. Moreover, the impact of local rain on the CME price is approximately linear in the time-varying local share of global output. Therefore, traders of CME contracts seem to aggregate supply in a globally integrated manner and are exposed to globally distributed shocks.