Basis Risk: Measurement and Analysis of Basis Fluctuations for Selected Livestock Markets
研究美国中西部几个牲畜市场的短期基差风险，即基差随时间随机波动的方差，发现基差风险与长期趋势和价格意外变化有关，但除爱荷华州内部生猪市场外，风险随到期临近或市场间差异不大。
Abstract Unanticipated basis changes can reduce the ability of futures markets to transfer risk and can affect income levels of producers and market participants. This study examines short‐term basis risk, defined as the variance of the random component of the basis over time, for several Midwest livestock markets. Basis risk is related to several factors influencing the long‐term pattern in the time series and unexpected changes in price. Little evidence is found that basis risk changed as maturity approached or that risk varied across markets except for the Interior Iowa hog market.