Pork

Soybean

Wheat

WTI

Cornstrach

$C{F}_t$

$C{F}_t$

$C{F}_t$

$C{F}_t$

$C{F}_t$

$C{F}_{t-1}$

0.1993***

(0.0645)

0.1910***

(0.0645)

0.1975***

(0.0649)

0.1907***

(0.0646)

0.1926***

(0.0717)

$C{F}_{t-2}$

−0.0555

(0.0640)

−0.0527

(0.0643)

−0.0382

(0.0654)

−0.0459

(0.0647)

0.0097

(0.0719)

$AT{T}_{t-1}$

−0.0136*

(0.0072)

−0.0153**

(0.0074)

−0.0137*

(0.0072)

−0.0133*

(0.0071)

−0.0133*

(0.0072)

$AT{T}_{t-2}$

−0.0077

(0.0072)

−0.0053

(0.0074)

−0.0079

(0.0072)

−0.0084

(0.0072)

−0.0084

(0.0071)

$C_{t-1}$

−0.0253

(0.0456)

−0.0157

(0.0376)

−0.1259

(0.1319)

−0.0122

(0.0091)

−0.0012

(0.0427)

$C_{t-2}$

0.0323

(0.0445)

−0.0415

(0.0377)

−0.0318

(0.1363)

0.0124

(0.0125)

−0.0786*

(0.0419)

$AT{T}_{t-1}\cdot C_{t-1}$

0.5277*

(0.2743)

0.6529

(0.4687)

0.2588

(1.7099)

−0.1506

(0.1608)

0.2625

(0.3202)

$AT{T}_{t-2}\cdot C_{t-2}$

−0.1552

(0.2731)

−0.3540

(0.4684)

0.4019

(1.6725)

0.1318

(0.1065)

−0.1073

(0.3304)

Intercept

0.0019

(0.0008)

0.0018

(0.0009)

0.0018

(0.0008)

0.0018

(0.0008)

0.0018

(0.0008)

$R^2$

0.0748

0.0778

0.0653

0.0716

0.078