Paper Archive

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2024
  • June 1, 2024 - The Information Content of The WASDE Report and Intra-Day Price Reactions
    Andrew E. Anderson, Andrew McKenzie, and Emmie Noyes - An important role of the futures market is to synthesis information into price signals. The efficient market hypothesis predicts that information will be incorporated into the futures price instantly and there will be no opportunity for arbitrage. This st
  • June 1, 2024 - Improved Value-at-Risk (VaR) Forward Curve Projection Using the Full Option Premium Profile
    David W. Bullock and Edna M. Okoto - The predictive ability of two alternative forward price distribution forecasting methods based upon the full range of option premiums was developed and tested using 10 years of price and premium history for five traded commodities. The two models were a b
  • June 1, 2024 - An Evaluation of how Forecasting Efficiency Leads to Reduced Firm Risks
    Karen L. DeLong, Carlos O. Trejo-Pech, and Robert Johansson - The United States (US) Department of Agriculture (USDA) World Agricultural Supply and Demand Estimates (WASDE) provides forecasts of domestic sugar production and consumption as well as Mexican sugar production. These forecasts are used to assist the USDA
  • June 1, 2024 - Welfare Effects of the 2022 U.S. HPAI Outbreak
    Peyton Ferrier, Monica Saavoss, and Samuel Williamson - Shocks to agricultural markets due to animal disease outbreaks are especially disruptive. We use an Equilibrium Displacement Model (EDM) to estimate the price and welfare effects of the U.S. outbreak of High Path Avian Influenza (HPAI) that reduced turkey
  • June 1, 2024 - Measuring Agricultural Price Shocks in a Small Open Economy: Imported Crop in South Korea
    Minseong Kang and Seungki Lee - This paper presents a novel approach to estimating the cost pass-through between imported crop prices and domestic food prices in a small open economy through firm markups. Our approach differentiates from the existing studies by enabling the estimation o
  • June 1, 2024 - Demand and Supply Functions for Nitrogen Fertilizers in the United States
    Wonseok Lee, B. Wade Brorsen, Jeffrey Gillespie, Amy Boline, and Monte K. Vandeveer - The recent high fluctuations in fertilizer prices raise the desirability of better understanding fertilizer markets and estimating elasticities to include in large structural models for policy analysis. This paper aims to estimate demand and supply functi
  • June 1, 2024 - Do Agricultural Commodity Price Spikes Always Stem from News?
    Zhouxin Li, Zhiguang Wang and Matthew Diersen - This study delves into the occurrence and differentiation of significant price jumps in agricultural commodity markets, challenging the conventional belief that such movements are solely driven by exogenous factors. Existing literature has primarily focus
  • June 1, 2024 - Determinants of Beef Market Price Dynamics
    Joe Parcell and Jason Franken - Price dynamics are evaluated to assess evidence of alleged price fixing collusion by the four largest U.S. beef packers starting in 2015. Initial variance screens find that during the period in question retail and boxed beef cutout prices increase and sta
  • June 1, 2024 - Where’s the Beef (Going to Be)? How Changing Risk Perceptions Could Affect the Number and Location of Beef Processing Plants
    Julian Worley and Jeffrey Dorfman - This paper provides a framework to examine the potential impact of enhanced managerial focus upon the risk of plant shutdowns (and general production interruptions) on firms'spatial capital investment decisions, illustrated with an empirical application
  • June 1, 2024 - The Economic Value of Intraday Data in Hedging Commodity Spot Prices
    Shujie Wu, Joshua Huang, Teresa Serra - This article shows how high-frequency market data relates to low frequency events by examining the economic value of using intraday data to hedge commodity spot prices in the futures market. We use the realized minimum-variance hedging ratio (RMVHR) frame
  • June 1, 2024 - Was Allen Paul Right? Liquidation Bias in Commodity Futures Markets
    Lei Yan, Scott H. Irwin, Dwight R. Sanders, and Aaron Smith - This paper finds that during the last few days of trading in most commodity futures contracts the nearby futures price increases significantly relative to the prices for deferred contracts. The change in the price spread between nearby and first deferred
  • June 1, 2024 - The Impacts of USDA Reports on Pre-Harvest Volatility Expectations: the Case of Corn New Crop Futures
    Yao Yang and Andrew McKenzie - This paper investigates the information value of USDA crop reports in terms of their impacts on rational agents' expectations of future realized price volatility. While it is well known that uncertainty - proxied by options market implied volatility - is
20232022
  • June 1, 2022 - Weekly Options on Grain Futures
    Matthew Diersen and Zhiguang Wang - Shorter-dated options have become more popular in the grain and oilseeds markets. While they remain tied to (or derivatives on) the common underlying futures contracts, they have shorter tenor or maturity dates than the regular options that are typically
  • June 1, 2022 - Managing Rail Logistics Risks Faced by Shippers: A Value-at-Risk Approach
    David W. Bullock, William W. Wilson, and Isaac Wilson - In addition to the traditional market price risks, origin shippers of grains and oilseeds face risks related to the costs associated with the handling, storage, and transport of crops to their destination markets. To more closely examine the nature of the
  • June 1, 2022 - Do USDA Reports Contribute to Extreme Price Volatility? The Case of the Soybean Complex
    Yao Yang and Berna Karali - USDA reports are publicly available and provide important fundamental information on agricultural commodities. An extensive literature finds evidence of price or volatility spikes following USDA report releases, especially for major crops. These crops are
  • June 1, 2022 - Herding in the USDA International Baseline Projections
    Rabail Chandio and Ani Katchova - USDA's annual Agricultural Baseline Projections contribute significantly to agricultural policy in the United States, and hence their accuracy is vital. The baseline projections present a neutral policy scenario assuming a specific macroeconomic situation
  • June 1, 2022 - An Examination of the USDA Net Cash Farm Income Forecast Reliability using a New Archival Farm Income Dataset: A Case Study of the 2020 Forecasts and Estimates
    Tatiana Borisova, Carrie Litkowski, and Okkar Mandalay - USDA Economic Research Service (ERS) releases short-term forecasts and estimates of farm sector income three times a year, informing the public on the financial health of the U.S. agriculture sector. This paper presents the new data archive of ERS's farm
  • June 1, 2022 - Agricultural Baselines Using Deep Learning
    Siddhartha Bora and Ani Katchova - Long-term forecasts about commodity market indicators play an important role in informing policy and investment decisions by governments and market participants. The USDA's baseline reports are the primary source of long-term information for the US farm s
  • June 1, 2022 - On the Dependence Structure of European Vegetable Oil Markets
    Romain Menier, Guillaume Bagnarosa, and Alexandre Gohin - Motivated by the current context of high and volatile energy and food prices, we examine the conditional variance-covariance matrix dynamics and price discovery process characterising European vegetable oils. In addition to outcomes differences using dail
  • June 1, 2022 - Microstructure and High-Frequency Price Discovery in the Soybean Complex
    X. Zhou, G. Bagnarosa, A. Gohin, J. Pennings, and P. Debie - We develop a theoretical framework and propose a relevant empirical analysis of the soybean complex prices cointegration relationship in a highfrequency setting. We allow for heterogeneous expectations among traders on the multi-asset price dynamics and c
  • June 1, 2022 - Overseas Impact of USDA Reports: Evidence from Chinese Soybean Complex Futures
    Zhepeng Hu and Mindy Mallory - The value of USDA reports in the U.S. agricultural commodity futures markets has been intensively researched, but few studies have examined market responses to USDA reports in overseas markets. This paper investigates announcement effects of major USDA re
2021202020192018
  • June 1, 2018 - The Value of Public Information in Storable Commodity Markets: Application to the Soybean Market
    Christophe Gouel - This study provides a framework to estimate the potential effects and benefits of the provision of market information in storable commodity markets. This framework is applied to the case of production forecasts for the soybean market. A rational expectati
  • June 1, 2018 - Do Livestock Markets Still Value USDA Information?
    Berna Karali, Olga Isengildina-Massa, and Scott H. Irwin - The informational value of U.S. Department of Agriculture (USDA) livestock reports for cattle and hogs futures markets is analyzed to determine potential impact of increased market concentration seen in the livestock industry over the last three decades.
  • June 1, 2018 - Forecasting Crop Prices using Leading Economic Indicators and Bayesian Model Selection
    Yu Wang and Jeffrey H. Dorfman - Corn, wheat and soybeans are very important to the US agricultural sector as the main sources of many farmers’ income. Thus, forecasting the prices of these three crops is important. When considering model specification of crop price forecasting models, t
  • June 1, 2018 - How Well Do Commodity ETFs Track Underlying Assets?
    Tyler Neff and Olga Isengildina-Massa - Exchange Traded Funds are growing in popularity and volume, however academic literature related to their performance is limited. This study analyzes how well the CORN, WEAT, SOYB, USO, and UGA commodity ETFs track their respective futures assets during th
  • June 1, 2018 - Wholesale Beef Futures Contract
    Robert S. Thompson, Ardian Harri, Joshua G. Maples, and Eunchun Park - In this research, we develop methods to derive a price series that is theoretically sound for a hypothetical futures contract. We extend a futures valuation model to provide a valuation for a hypothetical futures contract. One such hypothetical contract t
  • June 1, 2018 - The Value of Public Information: Market Microstructure Noise and Price Volatility Spillovers in Agricultural Commodity Markets
    Siyu Bian, Teresa Serra, and Philip Garcia - After 2013, major grain-related USDA announcements have been rescheduled to be released at 11:00 am CDT. Such a change granted researchers a great chance to study market volatilities and spillovers react to significant USDA information on real time. Also,
  • June 1, 2018 - Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role?
    Tatiana Drugova, Veronica F. Pozo, Kynda R. Curtis and T. Randall Fortenbery - Growers considering organic conversion or maintaining current organic wheat production face uncertainties due to large variations in organic wheat prices over time. In this study, the risk associated with organic premiums is evaluated using 5% VaR, and th
  • June 1, 2018 - Dynamic Price Discovery of U.S. Fed Cattle Markets: Identifying Short Run Shock Effects through rolling ECM
    Hernan A. Tejeda, Man-Keun Kim and Jeffrey Wright - This study re-examines the price discovery process of fed cattle markets by taking into account the dynamic effects from unexpected shocks to fed cattle markets. That is, we investigate whether ensuing shocks to the industry, specifically from BSE outbrea
  • June 1, 2018 - Cost of Immediacy during Large Price Movements: Evidence from Corn Futures Market
    Xinyue He, Teresa Serra and Philip Garcia - Recent years have witnessed growing presence of intra-day large price movements in corn futures market. This paper focuses on the behavior of bid-ask spread, a gauge for the cost of immediacy, during various large price movements featuring dramatic price
  • June 1, 2018 - Quantifying the Announcement Effects in the U.S. Lumber Market
    Zarina Ismailova, Shishir Shakya, Xiaoli L. Etienne, and Fabio Mattos - The impact of new information from public reports has been widely investigated in many commodity markets, but little attention has been paid to the lumber market. In this paper, we examine the impact of two housing market reports, namely the New Residenti
  • June 1, 2018 - Are Corn Futures Prices Getting “Jumpy”?
    Anabelle Couleau, Teresa Serra, and Philip Garcia - Corn futures markets have experienced increased intraday price jumps which have been blamed on public information shocks and the reduced trading latency brought by electronic trading. This paper contributes to shed light on this issue by assessing intrada
  • June 1, 2018 - Impacts of Railroad Costs on Kansas Wheat Basis
    Anton Bekkerman and Mykel Taylor - Numerous studies and their results have maintained a general consensus that variation in transportation costs between a central futures market and a local delivery market is a main determinant of basis. However, surprisingly few empirical estimates exist
  • June 1, 2018 - Market Power and Farm-Retail Price Transmission: The Case of U.S. Fluid Milk Markets
    Charng-Jiun Yu and Brian W. Gould - In this paper we seek to understand the impact of market competitiveness on the degree of asym-metric price transmission and associated welfare implications. We estimate a kinked Almost Ideal Demand System for fluid milk products in 18 U.S. metropolitan a
2017
  • June 1, 2017 - The Long-term Effects of Meat Recalls on Futures Markets
    Matt Houser and Jeffrey H. Dorfman - Over the past twenty years, there has been an increasing trend in the number of recalls. Despite increased safety control standards, foodborne disease outbreaks continue to impact the food supply. A common source of foodborne illness and fatal infection i
  • June 1, 2017 - Assessing the Accuracy of USDA’s Farm Income Forecasts: The Impact of ARMS
    Todd H. Kuethe, Todd Hubbs, and Dwight R. Sanders - The USDA’s forecasts for net farm income are important inputs for businesses, legislators, economists, and other policy-makers. While the USDA has been providing forecasts for net farm income for over 50 years, they have not been rigorously analyzed in re
  • June 1, 2017 - Hedging Effectiveness of Fertilizer Swaps
    William E. Maples, B. Wade Brorsen, and Xiaoli L. Etienne - One potential tool fertilizer dealers and producers have to protect themselves against fertilizer price risk is the fertilizer swaps market. Swaps usually settle using a floating variable price that is determined by an index of cash prices. This paper cal
  • June 1, 2017 - Time Series Modeling of Cash and Futures Commodity Prices
    Joshua G. Maples and B. Wade Brorsen - Commodity prices exhibit differing levels of mean reversion and unit root tests are a standard part of the analysis of commodity price series. Changing underlying means are inherent in commodity prices and can create biased estimates if not correctly spec
  • June 1, 2017 - Examining Dynamically Changing Cattle Market Linkages with Inventory as Controlled Transitions
    Yunhan Li, Wenying Li, and Jeffrey H. Dorfman - This article reports tests of price cointegration of cattle markets in the U.S. and proposes a simple procedure for incorporating a flexible transition function into the ECON smooth transition autoregressive (ECON－STAR) model to evaluate market dynamics o
  • June 1, 2017 - The Effects of Microstructure Noise on Realized Volatility in the Live Cattle Futures Market
    Anabelle Couleau, Teresa Serra, and Philip Garcia - Recently, U.S. live cattle futures prices have experienced high levels volatility which has raised concerns about the impact of high frequency trading. This paper identifies the market microstructure noise present in high frequency data and its implicatio
  • June 1, 2017 - The Cost of Forward Contracting in CIF NOLA Export Bid Market
    Bradley Isbell, Andy M. McKenzie and B. Wade Brorsen - Price risk management in the grain industry is typically done by hedging with forward contracts and futures contracts. An additional important price discovery and risk management “paper market” also exists in the form of CIF NOLA basis bids, traded throug
  • June 1, 2017 - Is the Value of USDA Announcement Effects Declining over Time?
    Jiahui Ying, Yu Chen and Jeffrey H. Dorfman - The value of USDA reports in commodity futures markets has been intensively researched, while whether such an effect is increasing or decreasing over time has rarely been answered. Given the fact that much more diverse information is available in today’s
  • June 1, 2017 - Evaluating Crop Forecast Accuracy for Corn and Soybeans in the United States, China, Brazil, and Argentina
    Katie Cumming, Fabio Mattos and Xiaoli L. Etienne - Commodity prices are determined by the dynamics of supply and demand and they oscillate over time according to market participants’ price expectations, which are in return formed and updated based on new information available on the market. Previous studi
  • June 1, 2017 - Performance of the Producer Accumulator in Corn and Soybean Commodity Markets
    Chad Te Slaa, Lisa Elliott, Matthew Elliott, and Zhiguang Wang - This research quantifies risk reduction and performance of the producer accumulator contract in corn and soybean markets. To quantify performance, we use three alternative theoretical pricing models to estimate historical producer accumulator contract spe
  • June 1, 2017 - Forecasting Hard Red Winter and Soft White Wheat Basis in Washington State
    Wenxing Song and T. Randall Fortenbery - The objective of the study is rst to identify economic factors that in uence two speci c classes of wheat: hard red winter (HRW) and soft white (SWW) wheat, and develop models to improve the forecast performance of basis in Washington State. Earlier work
  • June 1, 2017 - Automation in the Hedge-Ratio Estimation Cottage Industry
    Roger A. Dahlgran - Futures markets can be used to minimize a firm’s financial exposure to cash price fluctuations, but it’s costly to determine the futures position size that minimizes this risk. We present survey results that indicate that finding the risk-minimizing futur
  • June 1, 2017 - Is Pit Closure Costly for Customers? A Case of Livestock Futures
    Eleni Gousgounis and Esen Onur - Motivated by CME’s decision to close down most of the futures pits in July of 2015, we analyze the changes in the livestock futures market between 2014 and 2016. The livestock futures market, which had an active presence at the pit prior to the closure, h
  • June 1, 2017 - Trade Impact in the Electronic Grain Futures Markets
    Zhiguang Wang, Suchismita Mishra and Lisa Elliott - The rise of large/institutional traders in agricultural commodities calls for research on the analysis of market impact of trading. We aim to uncover the pattern and duration of market impact of trading in corn, soybeans and wheat during the period of 200
  • June 1, 2017 - Futures-Based Forecasts of U.S. Crop Prices
    Jiafeng Zhu and Olga Isengildina-Massa - This study proposed two futures-based models for forecasting cash prices of corn, soybeans, wheat and cotton over the period 2000-2016. The difference model predicts changes in cash prices as a function of changes in futures prices. The regime model speci
  • June 1, 2017 - Corporate Hedging In Incomplete Markets: A Solution Under Price Transmission
    Rui Luo and T. Randall Fortenbery - This paper provides dynamic minimum-variance hedges for firms in incomplete markets. Our hedges accounts for price transmission between the input and output prices, and thereby enable firms to minimize both input and output price fluctuations through trad
  • June 1, 2017 - Are Futures Prices Good Price Forecasts? Nonlinearities in Efficiency and Risk Premiums in the Soybean Futures Market
    Joshua Huang, Teresa Serra, Philip Garcia - Recent research has pointed to a reduction in predictive content in several agricultural futures markets. We investigate short-run forecast in the soybean futures market complex to identify predictive content and the sources of forecast errors. A non-para
  • June 1, 2017 - Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets
    Zhepeng Hu, Mindy Mallory, Teresa Serra, and Philip Garcia - Futures market contracts with varying maturities are traded concurrently and the speed at which they process information is of value in understanding the pricing discovery process. Using price discovery measures, including Putniņš’ (2013) information l
2016
  • June 1, 2016 - From Auckland to Eau Claire: Price Transmission from International Dairy Markets to Local U.S. Milksheds
    John Newton - The price relationships governing dairy commodity price transmission among the U.S., Oceania, and EU markets are considered using Vector Autoregressive and Vector Error Correction models. Results demonstrate a one-way price relationship for U.S. dry milk
  • June 1, 2016 - Relationship of Grain Stocks and Marketing Behavior
    Tyler Holmquist, Matthew A. Diersen and Nicole Klein - Farmers, merchandisers and end-users are faced with the challenge of allocating stocks of grains and oilseeds throughout the marketing year. Farmers want to obtain the best price subject to storage costs and storage constraints. Merchandisers want to asse
  • June 1, 2016 - Hedging the Crack Spread during Periods of High Volatility in Oil Prices
    Pan Liu, Dmitry Vedenov, Gabriel J. Power - Traditional approach to hedging crude oil refining margin (crack spread) adopts a fixed 3:2:1 ratio between the futures positions of crude oil, gasoline, and heating oil. However, hedging the latter in arbitrary proportions might be more effective under s
  • June 1, 2016 - Determining the Effectiveness of Exchange Traded Funds as a Risk Management Tool for Southeastern Producers
    Will Maples, Ardian Harri, John Michael Riley, Jesse Tack, and Brian Williams - This research investigates the use of commodity exchange traded funds (ETFs) as a price risk management tool for agriculture producers. The effectiveness of using ETFs to hedge price risk will be determined by calculating optimal hedge ratios. This paper
  • June 1, 2016 - The Effect of Pit Closure on Futures Trading
    Eleni Gousgounis and Esen Onur - Motivated by CME’s decision to close down most of the futures pits in July of 2015, we analyze the changes in a number of important CME futures markets between 2012 and 2016. We find that although futures pit trading has been diminished to very low levels
  • June 1, 2016 - Commodity Price Co-Movements: Back to Normal
    Marie Steen and Ole Gjolberg - We present evidence overruling the claim that commodity prices over the recent ten years have been moving increasingly and permanently more in sync in the short term. True, correlations across physically unrelated commodities increased during the commodit
  • June 1, 2016 - Risk Management: Hedging Potential for U.S. Breweries
    Alejandro Prera, T. Randall Fortenbery, and Thomas L. Marsh - In this paper we investigate the potential to develop hedging strategies for firms in the U.S. brewing sector. The primary ingredients for beer are hops (grown in many different varieties), grain malt (mostly malted barley but also other grains), wheat, y
  • June 1, 2016 - The Economic Impact of the 2015 Avian Influenza outbreak on U.S. Egg Prices
    Agnieszka Dobrowolska and Scott Brown - This study provides a partial equilibrium approach to quantifying the effect of the Highly Pathogenic Avian Influenza (HPAI) outbreak that occurred in the United States in late 2014 and early 2015. The quarterly model provides an estimate of egg prices th
  • June 1, 2016 - What Drives Volatility Expectations in Grain Markets?
    Michael K. Adjemian, Valentina G. Bruno, Michel A. Robe, and Jonathan Wallen - We analyze empirically the drivers of grain option-implied volatilities (IVs). Forward-looking uncertainty and risk aversion in equity market (jointly captured by the VIX) and the state of commodity inventories (proxied by the net cost of carry for eac
  • June 1, 2016 - The Information Content in the Term Structure of Commodity Prices
    Xiaoli L. Etienne and Fabio Mattos - In this paper, we investigate the term structure of agricultural commodity prices. Using corn as an example, we demonstrate that commodity futures price curve can be wellapproximated by three latent factors: level, slope, and curvature obtained from a
  • June 1, 2016 - Valuing Public Information in Agricultural Commodity Markets:WASDE Corn Reports
    Philip Abbott, David Boussios and Jess Lowenberg-DeBoer - Monthly WASDE reports by USDA estimate current and future global supply-utilization balances for various commodities, including corn. Existing literature has shown that markets respond to WASDE releases (news effects) but has not quantified the value or
  • June 1, 2016 - Forecasting Quality Grade and Certified Angus Beef Premiums
    Jason Franken and Joe Parcell - We evaluate the mean squared error and mean absolute percentage error of alternative forecasts of quality grade and Certified Angus Beef (CAB) premiums, which may be of interest to cow-calf producers, feeders, and packers. A supply and demand model and
  • June 1, 2016 - The Value of USDA Information in a Big Data Era
    Olga Isengildina-Massa, Berna Karali, Scott H. Irwin, Michael K. Adjemian, and Xiang Cao - The goal of this study is to determine how big data and access to information affects the role and impact of USDA’s situation and outlook programs. Changes in market reaction to various USDA reports including WASDE, Crop Production, Grain Stocks, Prospe
  • June 1, 2016 - Market Concentration in the Wheat Merchandizing Industry
    Anton Bekkerman and Mykel Taylor - Prices offered to farmers by grain handling facilities have been shown to be affected by the spatial competition structure of the market within which these facilities operate. However, little information exists about how elevators' technological and own
  • June 1, 2016 - Exploring Commodity Trading Activity: An Integrated Analysis of Swaps and Futures
    Scott Mixon, Esen Onur, and Lynn Riggs - This paper provides the first public analysis of a cross-section of physical commodity swap markets using proprietary position data collected by the Commodity Futures Trading Commission. We find that futures markets are generally larger than swaps marke
  • June 1, 2016 - The Reference Price Effect on Crop Producer’s Hedging Behavior
    Ziran Li, Keri Jacobs, Nathan Kauffman and Dermot Hayes - Crop producers’ hedging behavior is at odds with the optimal hedging under expect utility theory. However, there is little consensus on how producers hedge otherwise. In this paper we present an intriguing empirical observation using the Commitment of Tra
  • June 1, 2016 - The Components of the Bid-Ask Spread: Evidence from the Corn Futures Market
    Quanbiao Shang, Mindy Mallory, and Philip Garcia - This paper examines whether USDA announcements and commodity index fund rolling activity has an impact of liquidity costs, measured by the Bid-Ask-Spread. Using Huang and Stoll’s (1997) model of liquidity costs, we estimate whether changes to liquidity co
  • June 1, 2016 - Identifying the Impact of Financialization on Commodity Futures Prices from Index Rebalancing
    Lei Yan, Scott H. Irwin, and Dwight R. Sanders - Attempts to detect the impact of financialization on commodity futures prices are often subject to the criticism of weak identification. This paper addresses the issue by investigating the rebalancing of the S&P Goldman Sachs Commodity Index. Investment
20152014201320122011
  • June 1, 2011 - Futures Market Failure
    Philip Garcia, Scott H. Irwin, and Aaron D. Smith - In a well-functioning futures market, the futures price on the expiration date equals the price of the underlying asset on that date. An unprecedented episode of non-convergence in Chicago Board of Trade (CBOT) corn, soybeans, and wheat began in late 20
  • June 1, 2011 - The Feasibility of Rail Track Delivery as an Alternative Settlement Option for KCBT Wheat Futures Contracts
    Daniel M. O’Brien and Jay O’Neil - Railcar or “track” delivery is an alternative delivery mechanism considered by the Kansas City Board of Trade in 2010 to help bring about cash-futures convergence. Track delivery would provide an alternative way to physically deliver wheat via railroad ca
  • June 1, 2011 - Grain Marketing Tools: A Survey of Illinois Grain Elevators
    Ryan Stone, Colin Warner and Rick Whitacre - The basic services offered by country elevators are very similar (purchasing, conditioning and storing grain), country elevators attempt to differentiate themselves from their competition by offering customers a variety of cash grain marketing tools. Thes
  • June 1, 2011 - Hedging and Cash Flow Risk in Ethanol Refining
    Roger A. Dahlgran, and Jingyu Liu - Interviews with ethanol refinery risk managers reveal that, at least for the firms represented, (a) working capital to fund margin accounts is limited so the optimal deployment of this capital is a major concern, and (b) these firms hedge with smaller p
  • June 1, 2011 - Price Discovery in U.S. and Foreign Commodity Futures Markets: The Brazilian Soybean Example
    Gerald Plato and Linwood Hoffman - Trader direct access to the order matching systems on United States and foreign commodity futures markets reduces or eliminates the cost of changing trading venues. The Dodd-Frank Act recognizes that price discovery could now more readily shift to forei
  • June 1, 2011 - The Informational Content of Distant-Delivery Futures Contracts
    Kristin N. Schnake, Berna Karali, and Jeffrey H. Dorfman - The futures markets have two main goals: price discovery and risk management. Because management decisions often have to be made on a time horizon longer than the time until expiration of the nearby futures contract, the question of distant-delivery fut
  • June 1, 2011 - Evaluation of Market Thinness for Hogs and Pork
    Jason Franken and Joe Parcell - We investigate thinness of hog and pork markets in terms of quantity and representativeness of negotiated transactions. Transactional volume imparts marginally greater confidence in pricing precision for Iowa-Southern Minnesota negotiated hogs than for
  • June 1, 2011 - Marketing Strategies in the Canadian Beef Sector
    Julieta Frank, Derek Brewin, and María José Patiño - The Canadian beef sector has undergone a structural change since the outbreak of BSE in 2003 and a higher U.S./Canadian dollar exchange rate variability. Hedging beef prices and the U.S. dollar using the futures market may help producers and other beef
  • June 1, 2011 - Changes in Liquidity,Cash Market Activity, and Futures Market Performance:Evidence from Live Cattle Market in Brazil
    Fabio Mattos and Philip Garcia - This paper describes developments in the Brazilian live cattle market in the last decade, which resulted in an almost tenfold increase in futures trading, and investigates their effects on futures market’s price discovery and risk transfer functions. Hi
  • June 1, 2011 - Elimination of the Coffee Export Quota System Revisited: Evaluating International-to- Retail Price Transmission
    Jun Lee and Miguel I. Gómez - We revisit the impact of the International Coffee Agreement (ICA) on international-to-retail price transmission. We account for two distinct dimensions (e.g. symmetry vs. asymmetry and linearity vs. nonlinearity) of price transmission from international
  • June 1, 2011 - A Comprehensive Evaluation of USDA Cotton Forecasts
    Olga Isengildina-Massa, Stephen MacDonald and Ran Xie - This study provides a comprehensive examination of accuracy and efficiency of all USDA cotton supply and demand estimates for the U.S. (including unpublished price forecasts), China and rest of the world (ROW) over1985/86 through 2009/10. Our findings s
  • June 1, 2011 - The Impact of Ethanol Production on Local Corn Basis
    Kathleen Behnke and T. Randall Fortenbery - The focus of this study is on the impact local ethanol plants have on corn basis. Basis is the difference between the local cash price and the nearby futures contract price, and accounts for variation in the supply and demand in the local market relativ
  • June 1, 2011 - Examining the Relationship Between Physical Stocks of Commodities and Open Interest in Related Futures Markets
    Daniel Sanders, Corinne Alexander and Matthew Roberts - The price volatility observed in futures markets, beginning in 2006 and continuing through to the present, has posed challenges to commercial traders attempting to use these markets to hedge their price risk. Additionally, speculative activity in these
  • June 1, 2011 - Identifying Jumps and Systematic Risk in Futures
    Sijesh C. Aravindhakshan and B. Wade Brorsen - A variety of multivariate jump-diffusion models have been suggested as models of asset prices. This paper extends the literature on (joint) mixed jump-diffusion processes in futures markets by using the CRB index futures to represent systematic risk in
  • June 1, 2011 - Volatility Spillovers in the U.S. Crude Oil, Corn, and Ethanol Markets
    Andres Trujillo-Barrera, Mindy Mallory, and Philip Garcia - This paper analyzes volatility spillovers from energy to agricultural markets in the U.S. which have increased due to strong crude oil price volatility and the large growth in ethanol production in the period 2006-2011. Results suggest that spillovers f
  • June 1, 2011 - Highly variable prices or excessive volatility? Is a supply management program warranted? An Extension Dairy Economist’s Perspective
    Cameron S. Thraen - During the past decade the U.S. dairy market has been subject to periodic swings in dairy commodity and milk prices. The U.S. All Milk price reached an historic high of $21.90 (nominal dollars) per hundredweight in November, 2007 before retreating to a
  • June 1, 2011 - ‘Investing’ in Commodity Futures Markets: Are the Lambs Being Led to Slaughter?
    Dwight R. Sanders and Scott H. Irwin - Investments into commodity-linked investments have grown considerably over the last five years as individuals and institutions have embraced alternative investments. However, unlike investments in equities or real estate, commodity futures markets produ
  • June 1, 2011 - Dynamic Inter-relationships in Hard Wheat Basis Markets
    William W. Wilson and Dragan Miljkovic - The basis values for hard red spring wheat (HRS) have escalated radically, experienced extraordinary levels of volatility (risk), have been subject to a squeeze during 2008, and all these have important implications for market participants. These observ
  • June 1, 2011 - How Do Canadian Wheat Producers’ Make Marketing Decisions?
    Stefanie Fryza and Fabio Mattos - The purpose of this paper is to investigate how Western Canadian wheat producers’ make their marketing decisions. In Canada wheat must be marketed through the Canadian Wheat Board (CWB), which offers several marketing contracts providing distinct combin
  • June 1, 2011 - Testing the Performance of Multiproduct Optimal Hedging with Time-Varying Correlations in Storable and Non-storable Commodities
    Hernan A. Tejeda and Barry K. Goodwin - Recent steady growth in the volatility of commodity markets, and the increasing need for proper risk management tools in production settings that make use of inputs and outputs in futures markets, may be addressed via multiproduct hedging. This study de
  • June 1, 2011 - A Quantile Regression Approach to Analyzing Quality-Differentiated Agricultural Markets
    Anton Bekkerman, Gary W. Brester, and Tyrel McDonald - Hedonic models are commonly used to quantify the value of characteristics implicit in a product’s price. However, when products are heterogenous across quality levels, using traditional parametric methods for estimating characteristic values may provide
  • June 1, 2011 - A Spatial Approach to Estimating Factors that Influence the Corn Basis
    Michael K. Adjemian, Todd Kuethe, Vince Breneman, Ryan Williams, Mark Manfredo, and Dwight Sanders - It is well known that supply and demand fundamentals at any location affect the local basis. Because grain markets are tied together by spatial arbitrage, the local basis may also be affected by the supply and demand factors at neighboring locations. W
  • June 1, 2011 - Returns to Individual Traders in Agricultural Futures Markets: Skill or Luck?
    Nicole M. Aulerich, Scott H. Irwin, and Philip Garcia - Using individual trader data from the CFTC reporting system for the period January 2000 to September 2009, the paper investigates whether non-commercial traders in the corn, live cattle, and coffee futures markets persist in making profits. Two out-of-s
  • June 1, 2011 - The Role of Long Memory in Hedging Strategies for Canadian Commodity Futures
    Janelle Mann - This research paper investigates whether ICE futures contracts are an effective and affordable strategy to manage price risk for Canadian commodity producers in recent periods of high price volatility. Long memory in volatility is found to be present in
  • June 1, 2011 - Oligopsony Fed Cattle Pricing: Did Mandatory Price Reporting Increase Meatpacker Market Power?
    Xiaowei Cai, Kyle W. Stiegert,and Stephen R. Koontz - The Livestock Mandatory Price Reporting Act became law in April 2001 with the intent to provide more transparent market information to cattle producers. A criticism of mandatory price reporting (MPR) is that the increased price transparency may actually
201020092008
  • June 1, 2008 - Hay Price Forecasts at the State Level
    Matthew A. Diersen - Higher prices for major crops (e.g., corn, soybeans and wheat) have received considerable attention by analysts, researchers, and producers. A common perception is that acres can be readily bid away from other crops to quickly return to equilibrium pric
  • June 1, 2008 - Hedge Effectiveness Forecasting
    Roger A. Dahlgran and Xudong Ma - This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally over
  • June 1, 2008 - Hedging in Presence of Market Access Risk
    Glynn T. Tonsor - Existing literature predominantly assumes perfect knowledge of production methods when deriving optimal futures position hedging rules. This paper relaxes this assumption and recognizes situations where producers interested in hedging may not know the exa
  • June 1, 2008 - Implications of Growing Biofuels Demands on Northeast Livestock Feed Costs
    Todd M. Schmit, Leslie Verteramo,and William G. Tomek - The relationship between complete-feed prices and commodity feedstock prices are estimated to analyze the effect of higher commodity prices on feed costs, with particular attention towards the price effects and substitutability of corn distillers dried
  • June 1, 2008 - Do Farmers Hedge Optimally or by Habit? A Bayesian Partial-Adjustment Model of Farmer Hedging
    Jeffrey H. Dorfman and Berna Karali - Hedging is one of the most important risk management decisions that farmers make and has a potentially large role in the level of profit eventually earned from farming. Using panel data from a survey of Georgia farmers that recorded their hedging decision
  • June 1, 2008 - Wheat Variety Selection: An Application of Portfolio Theory to Improve Returns
    Andrew Barkley and Hikaru Hanawa Peterson - This presentation will report results of research that shows that a portfolio of wheat varieties can enhance profitability and reduce risk over the selection of a single variety. Many Kansas wheat farmers select varieties based on average yield. This stud
  • June 1, 2008 - Do Transaction Costs and Risk Preferences Influence Marketing Arrangements in the Illinois Hog Industry?
    Jason R.V. Franken, Joost M.E. Pennings and Philip Garcia - Studies of hog industry structure often invoke risk reduction and transaction costs explanations for empirical observations but fail to directly examine the core concepts of risk behavior and transaction costs theories. Using a more unified conceptual f
  • June 1, 2008 - Can Real Option Value Explain Why Producers Appear to Store Too Long?
    Hyun Seok Kim and B. Wade Brorsen - Previous studies suggest that producers tend to store crops longer than makes economic sense. Since decisions to sell are irreversible, there can be a real option value from waiting to sell grain. This real option value may explain why producers appear
  • June 1, 2008 - A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis
    Rico Ihle and Stephan von Cramon-Taubadel - We compare two regime-dependent econometric models for price transmission analysis, namely the threshold vector error correction model and Markov-switching vector error correction model. We first provide a detailed characterization of each of the models
  • June 1, 2008 - Dynamic Decision Making in Agricultural Futures and Options Markets
    Fabio Mattos, Philip Garcia and Joost M. E. Pennings - This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets. Analysis of trading records of 12 traders identified considerable heterogeneity in individual dynamic trading behavior. Using risk measures d
  • June 1, 2008 - On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis
    Gabriel J. Power and Calum G. Turvey - Both prices and the volatility of storable agricultural commodity futures contracts have been rising since 2005 and particularly since 2007. This paper aims to answer two principal questions: (i) How has the behavior of these futures prices over time a
  • June 1, 2008 - The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model
    Gabriel J. Power and Dmitry V. Vedenov - Commodity cash and futures prices have been rising steadily since 2006. As evidenced by the April 2008 Commodity Futures Trading Commission Agricultural Forum, there is much concern among traditional futures and options market participants that the use
  • June 1, 2008 - Impacts of government risk management policies on hedging in futures and options:LPM2 hedge model vs. EU hedge model
    Rui (Carolyn) Zhang, Jack E. Houston, Dmitry V. Vedenov, and Barry J. Barnett - The main objective of this study is to compare the impacts of government payments and crop insurance policies on the use of futures and options measured from a downside risk hedge model with the impacts analyzed by the expected utility (EU) hedge model. U
  • June 1, 2008 - Cash Settlement of Lean Hog Futures Contracts Reexamined
    Julieta Frank, Miguel I. Gómez, Eugene Kunda and Philip Garcia - In 1997 the Chicago Mercantile Exchange replaced its live hog futures contract with a cash settlement mechanism based on a Lean Hog Index. Although cash settlement was expected to increase the use of the contract as a hedging tool, producers and packers a
  • June 1, 2008 - Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects
    Berna Karali and Walter N. Thurman - Most financial asset returns exhibit volatility persistence. We investigate this phenomenon in the context of daily returns in commodity futures markets. We show that the time gap between the arrival of news to the markets and the delivery time of futures
  • June 1, 2008 - Market Depth in Lean Hog and Live Cattle Futures Markets
    Julieta Frank and Philip Garcia - Liquidity costs in futures markets are not observed directly because bids and offers occur in an open outcry pit and are not recorded. Traditional estimation of these costs has focused on bidask spreads using transaction prices. However, the bid-ask sprea
  • June 1, 2008 - The Adequacy of Speculation in Agricultural Futures Markets:Too Much of a Good Thing?
    Dwight R. Sanders, Scott H. Irwin, and Robert P. Merrin - Long-only commodity index funds have been blamed by other futures market participants for inflating commodity prices, increasing market volatility, and distorting historical price relationships. Much of this criticism is leveled without any formal empiric
  • June 1, 2008 - Hedging Effectiveness around USDA Crop Reports
    Andrew McKenzie and Navinderpal Singh - It is well documented that “unanticipated” information contained in USDA crop reports induces large price reactions in corn and soybean markets. Thus, a natural question that arises from this literature is: To what extent are futures hedges able to remove
  • June 1, 2008 - Assessing the Value of Coordinated Sire Genetics in a Synchronized AI Program
    Joe Parcell, Daniel Schaefer, Dave Patterson, Mike John, Monty Kerley, and Kent Haden - Synchronized artificial insemination was used to inseminate cows using different types of sire genetics, including low-accuracy, calving-ease, and high-accuracy. These three calf sire groups were compared to calves born to cows bred using natural service.
  • June 1, 2008 - How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market
    Evelyn V. Colino, Scott H. Irwin and Philip Garcia - This study investigates the predictability of outlook hog price forecasts released by Iowa State University relative to alternative market and time-series forecasts. The findings suggest that predictive performance of the outlook hog price forecasts can b
  • June 1, 2008 - The Marketing Performance of Illinois and Kansas Wheat Farmers
    Sarah N. Dietz, Nicole M. Aulerich, Scott H. Irwin, and Darrel L. Good. - The purpose of this paper is to investigate the marketing performance of wheat farmers in Illinois and Kansas over 1982-2004. The results show that farmer benchmark prices for wheat in Illinois and Kansas fall in the middle-third of the price range about
  • June 1, 2008 - Implication of Cotton Price Behavior on Market Integration
    Yuanlong Ge, Holly H. Wang, and Sung K. Ahn - The cotton market in China is highly interactive with international markets, especially, the US market. The prices in these two markets can reveal important market relations. Investigating the data of futures prices from the New York Board of Trade (NYB
  • June 1, 2008 - Organic Premiums of U.S. Fresh Produce
    Travis A. Smith, Biing-Hwan Lin, and Chung L. Huang - The study uses the 2005 Nielsen Homescan panel data to estimate price premiums and discounts associated with product attributes, market factors, and consumer characteristics, focusing on the organic attribute for 5 major fresh fruits and 5 major fresh v
2007
  • June 1, 2007 - Profit Margin Hedging
    Hyun Seok Kim, B. Wade Brorsen, and Kim B. Anderson - Some extension economists and others often recommend profit margin hedging in choosing the timing of crop sales. This paper determines producer’s utility function and price processes where profit margin hedging is optimal. Profit margin hedging is shown t
  • June 1, 2007 - Smart Money? The Forecasting Ability of CFTC Large Traders
    Dwight R. Sanders, Scott H. Irwin, and Robert Merrin - The forecasting ability of the Commodity Futures Trading Commission’s Commitment’s of Traders data set is investigated. Bivariate Granger causality tests show very little evidence that traders’ positions are useful in forecasting (leading) market returns.
  • June 1, 2007 - Inventory and Transformation Hedging Effectiveness in Corn Crushing
    Roger A. Dahlgran - In response to the development of the U.S. ethanol industry, the Chicago Board of Trade (CBOT) launched the ethanol futures contract in March 2005. This contract is promoted by the CBOT as allowing ethanol producers to hedge corn crushing using strategies
  • June 1, 2007 - Economics of Increased Beef Grader Accuracy
    Maro A. Ibarburu, John D. Lawrence, and Darrell Busby - Carcass data from more than 38,000 cattle was used to compare the called and measured yield grade in two different periods: before and after the slaughter plant incorporated another grader in the line to improve grading accuracy. The study shows that the
  • June 1, 2007 - Impacts of Alternative Marketing Agreement Cattle Procurement Volumes on Packer Costs: Evidence from Plant-Level P&L Data
    Stephen R. Koontz, Mary K. Muth, and John D. Lawrence - It has been argued that access to captive supply cattle improve the economic efficiency of beef packing facilities. However, this argument has not been subject to hypothesis testing. This work models the cost efficiencies associated with captive supplies
  • June 1, 2007 - Economic Analysis of Pharmaceutical Technologies in Modern Beef Production
    John D. Lawrence and Maro A. Ibarburu - Cattle production is the largest single agricultural sector in the U.S. with cash receipts of $49.2 billion in 2005. Like the rest of agriculture cattle producers have adopted efficiency and quality improving technology to meet consumer demands for a safe
  • June 1, 2007 - Meat Processors Purchasing and Sale Practices: Lessons Learned from the GIPSA Livestock and Meat Marketing Study
    John D. Lawrence, Mary K. Muth, Justin Taylor, and Stephen R. Koontz - The meat value chain is a complex organization with multiple participants performing numerous value added functions. Perhaps the most complex and least well understood segment is that downstream from the packer, e.g., the processor, wholesaler, exporter,
  • June 1, 2007 - Information Content in Deferred Futures Prices: Live Cattle and Hogs
    Dwight R. Sanders, Philip Garcia, and Mark R. Manfredo - The marginal forecast information contained in deferred futures prices is evaluated using the direct test of Vuchelen and Gutierrez. In particular, the informational role of deferred futures contracts in live cattle and hogs is assessed from the two- to t
  • June 1, 2007 - Do Big Crops Get Bigger and Small Crops Get Smaller? Further Evidence on Smoothing in USDA Crop Production Forecasts
    Olga Isengildina-Massa, Scott H. Irwin, and Darrel L. Good - The purpose of this paper is to determine whether smoothing in USDA corn and soybean production forecasts is concentrated in years with relatively small and large crops. The sample consists of all USDA corn and soybean production forecasts released over t
  • June 1, 2007 - The Cattle Price Cycle: An Exploration in Simulation
    Matthew C. Stockton and Larry W. Van Tassell - The simulation of commodity prices has been undertaken using a myriad of techniques, with some omitting the cyclical component and others ignoring the presence of inter-temporal relationships expressed as autoregressive errors. This study examines the per
  • June 1, 2007 - The Effect of Ethanol Production on the U.S. National Corn Price
    Hwanil Park and T. Randall Fortenbery - A system of equations representing corn supply, feed demand, export demand, food, alcohol and industrial (FAI) demand, and corn price is estimated by three-stage least squares. A price dependent reduced form equation is then formed to investigate the effe
  • June 1, 2007 - Cross-Hedging Distillers Dried Grains: Exploring Corn and Soybean Meal Futures Contracts
    Adam Brinker, Joe Parcell, and Kevin Dhuyvetter - Ethanol mandates and high fuel prices have led to an increase in the number of ethanol plants in the U.S. in recent years. In turn, this has led to an increase in the production of distillers dried grains (DDGs) as a co-product of ethanol production. DDG
  • June 1, 2007 - Measuring the Influence of Commodity Fund Trading on Soybean Price Discovery
    Gerald Plato and Linwood Hoffman - The increase in commodity fund trading in the agricultural commodity futures markets has raised concern that this trading is degrading the price discovery performance of these markets. We used the Beveridge-Nelson Decomposition procedure to estimate the p
  • June 1, 2007 - Insights into Trader Behavior: Risk Aversion and Probability Weighting
    Fabio Mattos, Philip Garcia, and Joost M.E. Pennings - The objective of this study is to investigate how professional traders in futures and options markets behave under risk and uncertainty. Our preliminary findings suggest that most traders exhibit concave utility functions for gains and convex utility fu
  • June 1, 2007 - Implicit Value of Retail Beef Brands and Retail Meat Product Attributes
    Jennifer M. Dutton, Clement E. Ward, and Jayson L. Lusk - Consumers reveal preferences for fresh beef attributes through their retail beef purchases. Hedonic pricing methods were used to estimate the value consumers place on observable characteristics of fresh beef products, especially on retail beef brands. Pri
  • June 1, 2007 - Measuring Liquidity Costs in Agricultural Futures Markets
    Julieta Frank and Philip Garcia - Estimation of liquidity costs in agricultural futures markets is challenging because bid-ask spreads are usually not observed. Spread estimators that use transaction data are available, but little agreement exists on their relative accuracy and performanc
  • June 1, 2007 - To What Surprises Do Hog Futures Markets Respond?
    Julieta Frank, Philip Garcia, and Scott Irwin - We re-assess the effect of new information contained in the Hogs and Pigs Reports (HPR) focusing on the rationality of the announcements. We find that HPR preliminary numbers are irrational estimates of the final numbers and market expectations before the
  • June 1, 2007 - Economically Optimal Distiller Grain Inclusion in Beef Feedlot Rations: Recognition of Omitted Factors
    Crystal Jones, Glynn Tonsor, Roy Black, and Steven Rust - With the rapid expansion of the ethanol industry, the feeding landscape familiar to the feedlot industry is changing. While concerns regarding rising corn prices persist, many within the industry are looking at distiller’s grains, a by-product of ethanol
  • June 1, 2007 - Using Basis and Futures Prices as a Barometer in Deciding Whether to Store Grain or Not
    Mounir Siaplay , Kim B. Anderson, and B.Wade Brorsen - The purpose of this paper is to determine the importance of the strength and weakness of basis and futures prices as barometers for producers to use in deciding whether to store or not. Basis is the single most important market signal for wheat producer
  • June 1, 2007 - Meat Slaughter and Processing Plants’ Traceability Levels Evidence From Iowa
    Harun Bulut and John D. Lawrence - In the United States (U.S.), there is no uniform traceability regulation across food sector. Food and Drug Administration (FDA) implemented one-step back and one-step forward traceability over the industries under its jurisdiction. U.S. Department of Agri
  • June 1, 2007 - Outlook vs. Futures: Three Decades of Evidence in Hog and Cattle Markets
    Evelyn V. Colino and Scott H. Irwin - The purpose of this paper is to provide a comprehensive evaluation of the accuracy of outlook forecasts relative to futures prices in hog and cattle markets. Published forecasts from four prominent livestock outlook programs are available for analysis.
  • June 1, 2007 - Differences in Prices and Price Risk across Alternative Marketing Arrangements Used in the Fed Cattle Industry
    Mary K. Muth, Yanyan Liu, Stephen R. Koontz, and John D. Lawrence - Information on typical differences in prices and price risk (as measured by the variances of prices) across marketing arrangements aids fed cattle producers in making choices about methods to use for selling fed cattle to beef packers. This information
  • June 1, 2007 - The Impact of Measurement Error on Estimates of the Price Reaction to USDA Crop Reports
    Nicole M. Aulerich, Scott H. Irwin, and Carl H. Nelson - This paper investigates the impact of USDA crop production reports in corn and soybean futures markets. The analysis is based on all corn and soybean production reports released over 1970-2006. The empirical analysis compares the typical OLS event study a
2006
  • June 1, 2006 - Soybean Acreage Response in Brazil
    Mauricio Moraes - This paper advances Williams and Thompson (1984) by updating their work and by explicitly accounting for price and yield risk in the analysis of acreage response in Brazil for soybeans and by assessing model specification. Empirical equations were estimat
  • June 1, 2006 - Is the Local Basis Really Local?
    Mark R. Manfredo and Dwight R. Sanders - Conventional wisdom suggests the local cash – futures basis is determined from local supply and demand conditions. However, it may be the case that local elevators look to other locations, such as terminal locations, and adjust for transportation differen
  • June 1, 2006 - The Impact of Foot-and-Mouth Disease (FMD) on Hog, Pork, and Beef Prices: The Experience in Korea
    Jae Sun Roh, Sang Soo Lim, and Brian D. Adam - Korea experienced two outbreaks of foot-and-mouth disease (FMD), one in the year 2000 and one in 2002. After the first outbreak, prices for hogs, pork, and beef dropped 15-20% before the government began an intervention program. The effects of these two o
  • June 1, 2006 - U. S. and Canadian Livestock Prices: Market Integration and Trade Dependence
    Dragan Miljkovic - Cointegration of Canadian and U.S. livestock prices points to the existence of market integration in the period 1996:1 to 2004:12 even though the trade flows of livestock and beef products were non-existent for many months in 2003 and 2004 (suggesting mar
  • June 1, 2006 - An Assessment of the Livestock Mandatory Reporting Act
    Clement E. Ward - Federal government funding for public price reporting began in 1914. Since then, most public market reporting for livestock and meat has relied on voluntary participation by market participants. Populist support in 1999 led to passage of the Livestock Man
  • June 1, 2006 - Multiple Horizons and Information in USDA Production Forecasts
    Dwight R. Sanders and Mark R. Manfredo - USDA livestock production forecasts are evaluated for information across multiple horizons using the direct test developed by Vuchelen and Gutierrez. Forecasts are explicitly tested for rationality (unbiased and efficient) as well as for incremental infor
  • June 1, 2006 - Is Storage at a Loss Merely an Illusion of Aggregation?
    Jason R.V. Franken, Philip Garcia, and Scott H. Irwin - The storage at a loss paradox of positive inventories despite inadequate spot-futures price spread coverage of storage costs is an unresolved issue of long-standing interest to economists. Alternative explanations include risk premiums for futures market
  • June 1, 2006 - The Effects of Hurricane Katrina on Corn, Wheat and Soybean Futures Prices and Basis
    Angel Lara-Chavez and Corinne Alexander - Hurricane Katrina caused considerable damage to transportation infrastructure, grain export facilities, and to some crop areas in 2005. Assuming that financial market participants considered the disruption of the grain transportation system by Katrina as
  • June 1, 2006 - A Term Structure Model for Commodity Prices: Does Storability Matter?
    Chuanyi Lin and Matthew C. Roberts - Econometric models of commodity prices have been estimated for more than 80 years, but both structural and time series models require ad hoc assumptions to capture all the features of commodity price series. Commodities can be broadly divided into two cat
  • June 1, 2006 - Empirical Confidence Intervals for WASDE Forecasts of Corn, Soybean and Wheat Prices
    Olga Isengildina, Scott H. Irwin, and Darrel L. Good - This study suggests that confidence intervals for WASDE forecasts of corn, soybean, and wheat prices may be improved if they are estimated using an empirical approach. Empirical confidence intervals are calculated following Williams and Goodman’s (1971) m
  • June 1, 2006 - Value of Single Source and Backgrounded Cattle as Measured by Health and Feedlot Profitability
    Babatunde Abidoye and John D. Lawrence - Commingling cattle in the feedlot increases the odds of cattle getting sick. However, backgrounded cattle are less susceptible to diseases which allow the generalizing statements like “backgrounding is just like single source”. Using data from over 15,000
  • June 1, 2006 - Price and Profit: Investigating a Conundrum
    Carl R. Zulauf, Gary Schnitkey, and Carl T. Norden - Although few in number, studies consistently find that price explains little, if any, of the variation in profit across farms. This contrasts with farmers’ opinions regarding the importance of price, as well as the use of price supports as a primary polic
  • June 1, 2006 - The Value of Information Provision at Iowa Feeder Cattle Auctions
    Harun Bulut and John D. Lawrence - Controlling a variety of feeder cattle characteristics, and market and sale conditions, we estimate that certified vaccinations claims along with at least 30 days weaning claims bring in a premium of $6.13/cwt, which is nearly two times of that for simila
  • June 1, 2006 - Farmers’ Subjective Perceptions of Yield and Yield Risk
    Thorsten M. Egelkraut, Bruce J. Sherrick, Philip Garcia, and Joost M. E. Pennings - Using survey responses of Illinois corn farmers to differently framed yield questions, we examine their subjective information by relating stated yields and risk to the corresponding objective county measures. The results show that farm-level yields can b
  • June 1, 2006 - A Comparative Evaluation of Cash Flow and Batch Profit Hedging Effectiveness in Commodity Processing
    Roger A. Dahlgran - Agribusinesses make long-term plant-investment decisions based on discounted cash flow. It is therefore incongruous for an agribusiness firm to use cash flow as a plant-investment criterion and then to completely discard cash flow in favor of batch profit
  • June 1, 2006 - Probability Distortion and Loss Aversion in Futures Hedging
    Fabio Mattos, Philip Garcia, and Joost M.E. Pennings - We analyze how the introduction of probability distortion and loss aversion in the standard hedging problem changes the optimal hedge ratio. Based on simulated cash and futures prices for soybeans, our results indicate that the optimal hedge changes consi
2005
  • June 1, 2005 - Hedging Cash Flows from Commodity Processing
    Roger A. Dahlgran - Agribusinesses make long-term plant-investment decisions based on discounted cash flow. It is therefore incongruous for an agribusiness firm to use cash flow as a plant-investment criterion and then to completely discard cash flow in favor of batch profit
  • June 1, 2005 - A Test of Forecast Consistency Using USDA Livestock Price Forecasts
    Dwight R. Sanders and Mark R. Manfredo - In traditional tests of forecast rationality, price forecasts are usually differenced to obtain stationarity. However, this data transformation may ignore important long-run information contained in forecasted price levels. Here, the concept of forecast c
  • June 1, 2005 - Forecasting Organic Food Prices: Emerging Methods for Testing and Evaluating Conditional Predictive Ability
    Tatiana Gubanova, Luanne Lohr, and Timothy Park - Organic farmers, wholesalers, and retailers need price forecasts to improve their decision-making practices. This paper presents a methodology and protocol to select the best performing method from several time and frequency domain candidates. Weekly farm
  • June 1, 2005 - The Impact of Marketing Strategy Information on the Producer’s Selling Decision
    Joni M. Klumpp, B. Wade Brorsen, and Kim B. Anderson - There is no shortage of studies regarding price forecasting and marketing strategies of producers. However, the majority of these studies take a normative approach, focusing on deriving an optimal strategy for producers to follow based on information rece
  • June 1, 2005 - Time-Varying Risk Premium or Informational Inefficiency? Further Evidence in Agricultural Futures Markets
    Julieta Frank and Philip Garcia - Recent research has provided mixed results regarding the presence of a time-varying risk premium in agricultural futures markets. In this paper we test for the presence of a time-varying risk premium and market efficiency focusing on the properties of the
  • June 1, 2005 - Sorting Cattle with Accumulated Data: What is the Accuracy and Economics
    Maro A. Ibarburu and John D. Lawrence - Increasingly feedlots are managing cattle as individual animals rather than on a pen level basis. As such it is possible to predict an optimal marketing date for each animal. This analysis evaluates the keep-or-sell decision at reimplant time for feedlots
  • June 1, 2005 - Portfolio Diversification with Commodity Futures: Properties of Levered Futures
    Thorsten M. Egelkraut, Joshua D. Woodard, Philip Garcia, and Joost M. E. Penningsa - This study extends previous work on the impact of commodity futures on portfolio performance by explicitly incorporating levered futures into the portfolio optimization problem. Using data on nine individual commodity futures and one aggregate index from
  • June 1, 2005 - Forecasting Livestock Feed Cost Risks Using Futures and Options
    Gang Chen, Matthew C. Roberts, and Brian Roe - The costs of corn- and soybean-based feeds compose a substantial proportion of the variable costs faced by both mainstream and emergent confined livestock producers. This research develops a method to provide a joint distribution of prices of corn and soy
  • June 1, 2005 - Effects of Price Volatility and Surging South American Soybean Production on Short-Run Soybean Basis Dynamics
    Rui Zhang and Jack Houston - This study investigates the effects of South American production (SAP) and futures volatility on the soybean price dynamics in terms of their effects on the basis. The results of the econometric model showed that both South American production and futures
  • June 1, 2005 - A Reality Check on Technical Trading Rule Profits in US Futures Markets
    Cheol-Ho Park and Scott H. Irwin - This paper investigates the profitability of technical trading rules in US futures markets over the 1985-2004 period. To account for data snooping biases, we evaluate statistical significance of performance across technical trading rules using White’s Boo
  • June 1, 2005 - Relaxing Standard Hedging Assumptions in the Presence of Downside Risk
    Fabio Mattos, Philip Garcia, and Carl Nelson - The purpose of this study is to analyze how the introduction of a downside risk measure and less restrictive assumptions can change the optimal hedge ratio in the standard hedging problem. Based on a dataset of futures and cash prices for soybeans in the
  • June 1, 2005 - Factors Influencing the Extent of Grid Pricing of Fed Cattle
    Clement E. Ward - Motives for grid pricing of fed cattle have been identified in previous research. Also, estimates of grid pricing exist from feedlot surveys and data generated via mandatory price reports since 2001. However, no research has attempted to estimate factors
  • June 1, 2005 - The Value of Carcass Characteristic EPDs in Bred Heifer Price
    Joe L. Parcell, Kevin C. Dhuyvetter, David J. Patterson, and Richard Randle - This study used hedonic modeling to assess the marginal implicit value of bred heifer characteristics and of carcass characteristic expected progeny differences of bred heifer calves. Using data for 692 pens of Show-Me Replacement Heifers Inc. heifers mar
  • June 1, 2005 - Supply Effects on Price Discovery and Pricing Choice for Fed Cattle
    Clement E. Ward - Price discovery research related to fed cattle has involved data covering a relatively small portion of the longer cattle cycle. Thus, research has not explicitly addressed the impacts alternative supply conditions have on price discovery. Additionally, l
  • June 1, 2005 - Price Discovery in Private Cash Forward Markets – The Case of Lumber
    Mark R. Manfredo and Dwight R. Sanders - Cash forward contracting is a common, and often preferred, means of managing price risk for agribusinesses. Despite this, little is known about the performance of cash forward markets, in particular the role they play in price discovery. The lumber market
  • June 1, 2005 - Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options
    Thorsten M. Egelkraut and Philip Garcia - Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility domi
  • June 1, 2005 - The Value of USDA Situation and Outlook Information in Hog and Cattle Markets
    Olga Isengildina, Scott H. Irwin, and Darrel L. Good - The economic value of public situation and outlook information has long been a subject of debate. The purpose of this study is to investigate the economic value of USDA reports in hog and cattle markets. The investigation is based on event study analysis,
  • June 1, 2005 - Style and Performance of Agricultural Market Advisory Services
    Silvina M. Cabrini, Scott H. Irwin, and Darrel L. Good - This paper describes the degree of marketing activeness of market advisory programs for corn and soybeans, and analyzes the relationship between activeness degree and pricing performance. The data set employed consists of advisory programs tracked by th
  • June 1, 2005 - Wheat Forward Contract Pricing: Evidence on Forecast Power and Risk Premia
    Wei Shi, Scott H. Irwin, Darrel L. Good, and Sarah N. Dietz - While the risk premium hypothesis in futures markets has been the subject of a long and continuous controversy, the risk premium hypothesis in forward markets is also of interest among economists. The hypothesis is supported by some theoretical argume
2004
  • June 1, 2004 - Contract Market Viability
    Gordon C. Rausser and Henry L. Bryant - Academia and the finance industry generate many proposals for new contract markets. Unfortunately, many proposed markets lack the critical attributes that promote success. We examine these attributes, and evaluate the potential of several announced propos
  • June 1, 2004 - The Marketing Performance of Illinois Corn and Soybean Producers
    Lewis A. Hagedorn, Scott H. Irwin, and Darrel L. Good - Marketing is viewed as an important component of the farm management process, and poor marketing is often cited as a cause of low farm incomes. However, widespread beliefs about poor performance are not based upon a large body of research, and available e
  • June 1, 2004 - Portfolios of Agricultural Market Advisory Services: How Much Diversification is Enough?
    Silvina M. Cabrini, Brian G. Stark, Scott H. Irwin, Darrel L. Good, and Joao Martines-Filho - This study analyzes the potential risk reduction gains from naïve diversification (equal-weighting) among market advisory services for corn and soybeans. The total possible decrease in risk through naïve diversification is small, mainly because advisory p
  • June 1, 2004 - Options-Based Forecasts of Futures Prices in the Presence of Limit Moves
    Thorsten M. Egelkraut and Philip Garcia - This analysis examines a simultaneous estimation option-based approach to forecast futures prices in the presence of daily price limit moves. The procedure explicitly allows for changing implied volatilities by estimating the implied futures price and the
  • June 1, 2004 - Are Revisions to USDA Crop Production Forecasts Smoothed?
    Olga Isengildina, Scott H. Irwin, and Darrel L. Good - This study investigates the nature of the revision process of USDA corn and soybean production forecasts over the 1970/71 through 2002/03 marketing years. Nordhaus’ framework for testing the efficiency of fixed-event forecasts is used. In this framework,
  • June 1, 2004 - Hedging-Effectiveness of Milk Futures Using Value-At-Risk Procedures
    Ibrahim Bamba and Leigh Maynard - The effectiveness of the Class III Milk futures market is analyzed in terms of the reduction in Value-at-Risk (VaR) for milk producers located in four regions: Wisconsin, Northeast, Florida and California. Constant hedge ratios are estimated using Myers a
  • June 1, 2004 - Cash Marketing Styles and Performance Persistence of Wheat Producers
    Lewis T. Cunningham Iii, B. Wade Brorsen, and Kim B. Anderson - Years of research have been dedicated to determining the best time for producers to sell their commodities. Researchers have developed basis models, market efficiency tests, hedging/risk models, price forecasting models, and many other models in an attemp
  • June 1, 2004 - Weather Derivatives in the Presence of Index and Geographical Basis Risk: Hedging Dairy Profit Risk
    Gang Chen and Matthew C. Roberts - Weather conditions pose unique risks to dairy producers. Weather derivatives represent a potentially promising approach to augment dairy producers’ risk management against adverse weather events. This study examines the effect of basis risk in weather der
  • June 1, 2004 - Perceptions of Futures Market Liquidity: An Empirical Study of CBOT & CME Traders
    Julia W. Marsh, Joost M.E. Pennings and Philip Garcia - Traders’ perceptions drive their market behavior, and can influence the dynamics of liquidity. This study surveyed 420 traders on their perceptions of the price path during an order imbalance to better understand the dynamics of liquidity. While most liqu
  • June 1, 2004 - Accuracy of Grid Pricing: An Evaluation Using Wholesale Values of Fed Cattle
    Joseph T. Kovanda, Ted C. Schroeder, and Tommy L. Wheeler - Grid pricing is one of the beef industry’s answers to improving value coordination in fed cattle transactions. This paper constructs individual carcass-level grid and wholesale beef values. These values are used to evaluate the level of value communicat
  • June 1, 2004 - Price Discovery in Thinly Traded Markets: Cash and Futures Relationships in Brazilian Agricultural Futures Markets
    Fabio Mattos and Philip Garcia - This study investigates the relationship between cash and futures prices in the Brazilian agricultural market, focusing on the effects of trading activity on the price discovery mechanism of futures markets. The results are mixed, but several points begin
  • June 1, 2004 - Transaction Frequency, Inventories and Hedging in Commodity Processing
    Roger A. Dahlgran - This study examines hedging strategies for commodity processors generally and soybean crushers specifically. Processors require hedging strategies built around processing multiple batches each year. Each batch requires the purchase of inputs, transformati
  • June 1, 2004 - Using Futures Prices to Forecast the Season-Average U.S. Corn Price
    Linwood Hoffman - A model is developed using basis values (cash prices less futures), marketing weights, and a composite of monthly futures and cash prices to forecast the season-average U.S. corn farm price. Forecast accuracy measures include the absolute percentage error
  • June 1, 2004 - The Performance of Weather Derivatives in Managing Risks of Specialty Crops
    Trevor A. Fleege, Timothy J. Richards, Mark R. Manfredo, and Dwight R. Sanders - California specialty crop growers are exposed to extreme price volatility, as well as considerable yield volatility caused by fluctuations in temperature, precipitation, and other specific weather events. Weather derivatives do provide a promising market-
  • June 1, 2004 - Evaluating Forecasts of Discrete Variables: Predicting Cattle Quality Grades
    Bailey Norwood, Jayson Lusk and Wade Brorsen - Little research has been conducted on evaluating out-of-sample forecasts of limited dependent variables. This study describes the large and small sample properties of two forecast evaluation techniques for limited dependent variables: receiver-operator cu
  • June 1, 2004 - Re-Considering the Necessary Condition for Futures Market Efficiency: An Application to Dairy Futures
    Dwight R. Sanders and Mark R. Manfredo - The traditional necessary condition for futures market inefficiency is the existence of alternative forecasting methods that produce mean squared forecast errors smaller than the futures market. Here, a more exacting requirement for futures market efficie
  • June 1, 2004 - Optimal Hedging with Views: A Bayesian Approach
    Wei Shi and Scott H. Irwin - The optimal hedging model has become the standard theoretical model of normative hedging behavior due to its intuitive tradeo® of expected return with risk, its e±cient use of information and its easy implementation. In practice, the model can be easily i
  • June 1, 2004 - What Is “The Basis,” How Is It Measured, and Why Does It Matter?
    Paul Peterson, Jack Cook, and Charles Piszczor - Basis behavior is generally considered to be the major determinant of hedging success or failure. In the course of our work as contract designers for Chicago Mercantile Exchange Inc., we have come to the conclusion that there are many misconceptions and
  • June 1, 2004 - Incorporating Current Information into Historical-Average-Based Forecasts to Improve Crop Price Basis Forecasts
    Mykel Taylor, Kevin C. Dhuyvetter, and Terry L. Kastens - Being able to accurately predict basis is critical for making marketing and management decisions. Basis forecasts can be used along with futures prices to provide cash price projections. Additionally, basis forecasts are needed to evaluate hedging opportu
  • June 1, 2004 - Captive Supply Trends and Impacts since the Advent of Mandatory Price Reporting
    Clement E. Ward and Jonathan T. Hornung - Captive supplies have been a contentious issue in the livestock industry for fifteen years and the subject of both theoretical and empirical research. In 2001, mandatory price reporting was implemented. One objective by its proponents was to increase the
  • June 1, 2004 - Performance of Selected Pre-harvest and Post-harvest Corn and Soybean Marketing Strategies vs. Alternative Market Benchmarks
    E. Neal Blue, Robert N. Wisner, and E. Dean Baldwin - This study was undertaken to update earlier work by the authors that analyzed selected preharvest pricing strategies utilizing options markets to establish a price floor for part of the crop in the spring, with additional pricing done by use of short hedg
  • June 1, 2004 - The Profitability of Technical Trading Rules in US Futures Markets: A Data Snooping Free Test
    Cheol-Ho Park and Scott H. Irwin - Numerous empirical studies have investigated the profitability of technical trading rules in a wide variety of markets, and many of them found positive profits. Despite positive evidence about profitability and improvements in testing procedures, skeptici
  • June 1, 2004 - Generalized Hedge Ratio Estimation With an Unkown Model
    Jeffrey H. Dorfman and Dwight R. Sanders - Myers and Thompson (1989) pioneered the concept of a generalized approach to estimating hedge ratios, pointing out that the model specification could have a large impact on the hedge ratio estimated. While a huge empirical literature exists on estimating
2003
  • June 1, 2003 - Calendar vs. Weeks to Expiration Livestock Basis Forecasts: Which Is Better?
    Glynn T. Tonsor, James R. Mintert, and Kevin C. Dhuyvetter - The ability to accurately forcast basis is crucial to risk management strategies employed by many agribusiness firms. Previous research has examined how to effectively use basis forecasts and what factors affect basis, but literature focusing on forecasti
  • June 1, 2003 - Using Private Risk Management Instruments to Manage Counter-Cyclical Payment Risks Under the New Farm Bill
    John D. Anderson, Keith H. Coble, and J. Corey Miller - This research evaluates whether or not hedging strategies using call options on the New York Board of Trade cotton futures can be effectively used to protect the new counter-cyclical payment on cotton. Results indicate that some level of counter-cyclical
  • June 1, 2003 - The Term Structure of Implied Forward Volatility: Recovery and Informational Content in the Corn Options Market
    Thorsten M. Egelkraut, Philip Garcia, and Bruce J. Sherrick - Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the
  • June 1, 2003 - Market Integration: Case Studies of Structural Change
    Jason R.V. Franken and Joe L. Parcell - The grain/oilseed industry is undergoing considerable structural change in the form of mergers and the addition of new processing facilities to add value beyond commodity grade. The rapid structural changes in this industry call into question the relevanc
  • June 1, 2003 - Managing Dairy Profit Risk Using Weather Derivatives
    Gang Chen, Matthew C. Roberts, and Cameron Thraen - Weather conditions are the primary dairy production risk. Hot and humid weather induces heat stress, which reduces both the quantity and quality of milk production. Traditional heat abatement technologies control the environment through ventilation, misti
  • June 1, 2003 - An ARCH Analysis of The Hedging Performance of Imminently Maturing Future contracts
    Roger A. Dahlgran - Hedge ratio estimation studies avoid estimating hedge ratios for imminently maturing futures contracts because of the maturity effect whereby futures price volatility increases as price uncertainty is resolved at contract expiration. This study first poin
  • June 1, 2003 - USDA Interval Forecasts of Corn and Soybean Prices: Overconfidence or Rational Inaccuracy?
    Olga Isengildina, Scott H. Irwin, and Darrel L. Good - The USDA WASDE (World Agricultural Supply and Demand Estimates) price forecasts are published in the form of an interval, but typically analyzed as point estimates. Thus, all information about uncertainty imbedded in the forecast is ignored. The purpose o
  • June 1, 2003 - The Feasibility of a Boxed Beef Futures Contract: Hedging Wholesale Beef Cuts
    Fabio Mattos, Philip Garcia, Raymond Leuthold, and Tony Hahn - The purpose of this paper is to investigate the feasibility of a new futures contract for hedging wholesale transactions in the beef industry based on the USDA boxed beef cutout index (BBCO). The results suggest the live cattle futures contract is not an
  • June 1, 2003 - Pricing Weather Derivatives for Agricultural Risk Management
    Timothy J. Richards,* Mark R. Manfredo, and Dwight R. Sanders - Existing derivative pricing methods cannot be used to price weather derivatives due to the absence of a hedgeable commodity underlying weather risk and the complexity of weather processes. This study develops a pricing model that considers weather derivat
  • June 1, 2003 - Information Cascades with Financial Market Professionals: An Experimental Study
    Jonathan E. Alevy, Michael S. Haigh, and John A. List - In settings where there is imperfect information about an underlying state of nature, but where inferences are made sequentially and are publicly observable, information cascades can lead to rational herding. Cascade phenomena may be seen in a variety of
  • June 1, 2003 - Technical Analysis in Commodity Markets: Risk, Returns, and Value
    Matthew C. Roberts - Although there is little academic research that supports the usefulness of technical analysis, its use remains widespread in commodity markets. Much prior research into technical analysis suffered from data-snooping biases. Using genetic programming, ex a
  • June 1, 2003 - Spatial Competition and Pricing in the Agricultural Chemical Industry: Empirical Evidence from Georgia
    R. Lee Hall, Jeffrey H. Dorfman, and Lewell F. Gunter - Three models of spatial competition are tested on retail price data for the agricultural chemical industry. Three empirical tests find no evidence of any spatial competition using data from sixty-five retailers and twelve different chemicals. Demand and s
  • June 1, 2003 - Comparing the Performances of the Partial Equilibrium and Time-Series Approaches to Hedging
    Henry L. Bryant and Michael S. Haigh - This research compares partial equilibrium and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effec
  • June 1, 2003 - Market Dynamics Associated with a Beefpacking Plant Closing and a Porkpacking Plant Opening
    Jonathan T. Hornung and Clement E. Ward - Previous research has estimated price effects of meat packing plant closings and openings. However, none have been done for plants opening or closing during the last 20 years ago when concentration in meatpacking increased rapidly. Plant openings and clos
  • June 1, 2003 - Futures Market Depth: Revealed vs. Perceived Price Order Imbalances
    Joost M.E. Pennings, Philip Garcia, and Julia W. Marsh - In this paper we study futures market depth by examining the price path due to order imbalances thereby allowing us to directly gain insight in the execution costs due to a lack of market depth We propose a two dimensional market depth measure in which th
  • June 1, 2003 - Keep up the Good Work? An Evaluation of the USDA’s Livestock Price Forecasts
    Dwight R. Sanders and Mark R. Manfredo - One step-ahead forecasts of quarterly live cattle, live hog, and broiler prices are evaluated under two general approaches: accuracy-based measures and the ability to categorize price movements directionally or within a forecasted range. Results suggest U
  • June 1, 2003 - Risk Management Techniques for Agricultural Cooperatives: An Empirical Evaluation
    Mark Manfredo, Timothy Richards, and Scott Mcdermott - While not ignoring risk, agricultural cooperatives tend to accommodate risk through the holding of internal capital reserves rather than engage in active risk management. A lack of information regarding the risk, returns, and the effect on cooperative fin
  • June 1, 2003 - Evaluation of Market Advisory Service Performance in Hogs
    Rick L. Webber, Scott H. Irwin, Darrel L. Good, and Joao Martines-Filho - The purpose of this paper is to investigate the pricing performance of agricultural market advisory services in hogs. Pricing recommendations are available for all quarters from the beginning of 1995 through the end of 2001. The results show that average
  • June 1, 2003 - Price Premiums from a Certified Feeder Calf Preconditioning Program
    Clement E. Ward and David L. Lalman - Preconditioning calf programs, while not new, are becoming more prevalent. They provide benefits to cow-calf producers while adding value for feeder cattle buyers. However, questions remain regarding the marginal returns from marketing preconditioned calv
  • June 1, 2003 - Determinants of Beef and Pork Brand Equity
    Joe L. Parcell and Ted Schroeder - A set of consumer-level characteristic demand models were estimated to determine the level of brand equity for pork and beef meat cuts. Results indicate that brand premiums and discounts vary by private, national, and store brands; and brand equity varies
2002
  • June 1, 2002 - Assessing the Cost of Beef Quality
    Cody Forristall, Gary J. May, and John D. Lawrence - The number of U.S. fed cattle marketed through a value based or grid marketing system is increasing dramatically. Most grids reward Choice or better quality grades and some pay premiums for red meat yield. The Choice-Select (C-S) price spread increased 55
  • June 1, 2002 - Actual Farmer Market Timing
    B. Wade Brorsen and Kim B. Anderson - One maxim that has been circulating among farmers is that most farmers sell in the lower third of the market. This maxim is soundly rejected using data from Oklahoma elevators. In fact, roughly half of producers sell in the upper third of the market. Thus
  • June 1, 2002 - Contracting, Captive Supplies, and Price Behavior
    Ming-Chin Chin and Robert D. Weaver - Theoretical and simulation results clarify the role of procurement contracting in determining spot price levels and volatility. A generic model determines market share across quality. Actual supply is specified as price dependent and stochastic. Simulatio
  • June 1, 2002 - An Evaluation of Crop Forecast Accuracy for Corn And Soybeans: USDA and Private Information Services
    T. M. Egelkraut, P. Garcia, S. H. Irwin, and D. L. Good - Using 1971-2000 data, we examine the accuracy of corn and soybean production forecasts provided by the USDA and two private services. All agencies improved their forecasts as the harvest progressed, and forecast errors across the agencies were highly corr
  • June 1, 2002 - Inventory and Transformation Risk in Soybean Processing
    Roger A. Dahlgran - This study examines strategies for hedging processing operations generally and uses soybean processing as a specific example. The approach assumes a mean-variance utility function but because of the focus on hedging, the analysis concentrates on risk mini
  • June 1, 2002 - Risk Aversion, Uncertainty Aversion, and Variation Aversion in Applied Commodity Price Analysis
    Darren L. Frechette and Fang-I Wen - Standard models of hedging behavior assume that either hedgers wish to minimize net price variation or they wish to balance variation versus profits. These models treat variation as risk and fail to distinguish between variation that is random and variati
  • June 1, 2002 - Cattle Feeder Perceptions of Livestock Mandatory Price Reporting
    Sarah Grunewald, Ted Schroeder, and Clement E. Ward - Because of the significant investment in the mandatory price reporting program (MPR) by the USDA and by packers, it is important to understand what producers believe about its effectiveness. This study reports results from a survey of feedyards located pr
  • June 1, 2002 - Causality and Price Discovery: An Application of Directed Acyclic Graphs
    Michael S. Haigh and David A. Bessler - Directed Acyclic Graphs (DAG's) and Error Correction Models (ECM's) are employed to analyze questions of price discovery between spatially separated commodity markets and the transportation market linking them together. Results from our analysis suggest t
  • June 1, 2002 - Hedging Price Risk in the Presence of Crop Yield and Revenue Insurance
    Olivier Mahul - The demand for hedging against price uncertainty in the presence of crop yield and revenue insurance contracts is examined for French wheat farms. The rationale for the use of options in addition to futures is first highlighted through the characterizatio
  • June 1, 2002 - Can Structural Change Explain the Decrease in Returns to Technical Analysis?
    Willis V. Kidd and B. Wade Brorsen - Returns to managed futures funds and Commodity Trading Advisors (CTAs) have decreased dramatically during the last several years. Since these funds overwhelmingly use technical analysis, this research examines futures prices to determine if there is evide
  • June 1, 2002 - The Information Content of Implied Volatility from Options on Agricultural Futures Contracts
    Mark R. Manfredo and Dwight R. Sanders - Agricultural risk managers need forecasts of price volatility that are accurate and meaningful. This is especially true given the greater emphasis on firm level risk measurement and management (e.g., Value-at-Risk and Enterprise Risk Management). Implied
  • June 1, 2002 - A Decision Model to Assess Cattle Feeding Price Risk
    Gary J. May and John D. Lawrence - Traditional break-even/fed cattle price projections do not provide adequate risk information to feeders, investors, lenders, and other stakeholders interested in cattle feeding decisions. The objectives of this study were two-fold: 1) develop a spreadshee
  • June 1, 2002 - Dynamic Risk Management Under Credit Constraints
    Gerald G. Nyambane, Steve D. Hanson, Robert J. Myers, and Roy J. Black - The vast majority of previous studies on farmers' optimal risk management behavior have used static models and on the most part ignored use of borrowing and lending as an alternative method of managing risk In this paper we develop a stylized multi-period
  • June 1, 2002 - Weather Derivatives: Managing Risk with Market-Based Instruments
    Timothy J. Richards, Mark R. Manfredo, and Dwight R. Sanders - Accurate pricing of weather derivatives is critically dependent upon correct specification of the underlying weather process. We test among six likely alternative processes using maximum likelihood methods and data from the Fresno, CA weather station. Usi
  • June 1, 2002 - Emerging IP Markets: The Tokyo Grain Exchange Non-GMO Soybean Contract
    Joe L. Parcell - This research provides an overview of the development of the Tokyo Grain Exchange non-GMO soybean contract as an identity preserved futures contract. The development of this contract is unique, relative to the development of other new futures contracts, i
  • June 1, 2002 - Modeling Contract Form: An Examination of Cash Settled Futures
    Dwight R. Sanders and Mark R. Manfredo - This research presents an intuitive interpretation and expression for pricing cash settled futures contracts. In particular, the choice of the averaging period for the underlying cash index is evaluated. For example, the averaging period for the Lean Hog
  • June 1, 2002 - Hedging Spot Corn: An Examination of the Minneapolis Grain Exchange’s Cash Settled Corn Contract
    Dwight R. Sanders and Tracy D. Greer - This research examines the potential basis behavior and hedging effectiveness for the Minneapolis Grain Exchange's (MGE) cash settled corn contract. MGE futures cash settle to the National Corn Index (NCI) calculated by Data Transmission Network (DTN). Fo
  • June 1, 2002 - Pricing and Hedging European Options on Futures Spreads Using the Bachelier Spread Option Model
    Matthew P. Schaefer - The Bachelier model for pricing options on futures spreads (OFS) assumes changes in the underlying .futures prices and spread follow unrestricted arithmetic Brownian motion (UABM). The assumption of UABM allows for a convenient analytic solution for the p
  • June 1, 2002 - A User’s Guide to Understanding Basis and Basis Behavior In Multiple Component Federal Order Milk Markets
    Cameron Thraen - What are the general ideas behind a futures contract price and the concept of the Basis calculation? The Class 3 milk futures contract traded at the Chicago Mercantile present opportunities for you to forward price your milk if your milk is pooled in a mu
  • June 1, 2002 - Non-expected Utility Theories: Weighted Expected, Rank Dependent, and, Cumulative Prospect Theory Utility
    Jonathan Tuthill and Darren Frechette - This paper discusses some of the failings of expected utility including the Allais paradox and expected utility's inadequate one dimensional characterization of risk. Three alternatives to expected utility are discussed at length; weighted expected utilit
  • June 1, 2002 - Can Structural Change Explain the Decrease in Returns to Technical Analysis?
    Willis V. Kidd and B. Wade Brorsen - Returns to managed futures funds and Commodity Trading Advisors (CTAs) have decreased dramatically during the last several years. Since these funds overwhelmingly use technical analysis, this research examines futures prices to determine if there is evide
  • June 1, 2002 - Bovine Spongiform Encephalopathy (BSE): Risks and Implications for the United States
    John A. Fox and Hikaru Hanawa Peterson - Mad cow disease has caused two disruptions in European beef markets--first in the U.K. in 1996 following the announcement of a link to new variant Creutzfeldt-Jacob Disease in humans, and the second in late 2000 following the discovery of "homegrown" case
  • June 1, 2002 - Option Pricing on Renewable Commodity Markets
    Sergio H. Lence and Dermot Hayes - The paper motivates and proposes a closed form option pricing model for markets such as grains or livestock where the price level can be expected to revert to expected production costs. The model suggests that traditional option pricing models will overpr
2001
  • June 1, 2001 - The Value of Deregulating Over-The-Counter Options
    Darren L. Frechette and Jason A. Novak - Hedgers located far from organized commodity exchanges suffer the mismatch between their local prices and exchange prices. Futures and options traded on the exchange may still be valuable to distant hedgers but only to the extent that basis risk is small.
  • June 1, 2001 - USDA Production Forecasts for Pork, Beef, and Broilers: A Further Evaluation
    Dwight R. Sanders and Mark R. Manfredo - This paper examines USDA one-step ahead forecasts of quarterly beef, pork, and poultry production. The forecasts are evaluated based on traditional criteria for optimality—efficiency and unbiasedness—as well as their performance versus an univariate time
  • June 1, 2001 - Underpinnings for Prospective, Net Revenue Forecasting in Hog Finishing: Characterizing the Joint Distribution of Corn, Soybean Meal and Lean Hogs Time Series
    Renyuan Shao and Brian Roe - This research focuses on developing a biannual net revenue forecasting model for hog producers based on Monte Carlo simulation of the joint distribution of hog, corn and soybean meal price series. The relative forecasting power of historical volatility, i
  • June 1, 2001 - Income Enhancing and Risk Management Properties of Marketing Practices
    Hikaru Hanawa Peterson and William G. Tomek - A rational expectations storage model is used to simulate monthly corn prices, which are used to evaluate marketing strategies to manage price risk. The data are generated and analyzed in two formats: for long-run outcomes over 10,000 “years” of monthly
  • June 1, 2001 - Forecasting and Hedging Crop Input Prices
    Kevin C. Dhuyvetter, Martin Albright, and Joseph L. Parcell - Agricultural producers and input suppliers have to make management decisions based on forecasts all the time, however, most available forecasts are for outputs (e.g., grain and livestock). Research has shown that one of the most important determinants of
  • June 1, 2001 - Emerging Issues and Challenges in Applied Commodity Price Analysis
    Marvin L. Hayenga - This organization (NCR-134) began 20 years ago to serve as a meeting ground for applied commodity price analysts in academic, business and government positions. The primary objective was to foster interaction, and discuss recent applied research and exten
  • June 1, 2001 - Factors Affecting Hedging Decisions Using Evidence from the Cotton Industry
    Olga Isengildina and M. Darren Hudson - Few farmers utilize futures and options markets to price their crops despite significant educational efforts. This study seeks to analyze producer hedging behavior within the framework of the overall marketing behavior. Producer marketing behavior is mode
  • June 1, 2001 - Will Mandatory Price Reporting Improve Pricing and Production Efficiency in an Experimental Market for Fed Cattle?
    Chris T. Bastian, Stephen R. Koontz, and Dale J. Menkhaus - Mandatory price reporting legislation will make available to the public on a weekly basis information on terms of trade for forward contracts. The new information will provide marketing intentions details that were previously unavailable to agents in the
  • June 1, 2001 - Why Don’t Country Elevators Pay Less for Low Quality Wheat? Information, Producer Preferences and Prospect Theory
    Brian D. Adam and Seung Jee Hong - Previous research found that country elevators that are the first in their area to grade wheat and pay quality-adjusted prices would receive above-normal profits at the expense of their competitors. Because of spatial monopsony, these early-adopting eleva
  • June 1, 2001 - Unobserved Heterogeneity: Evidence and Implications for SMEs’ Hedging Behavior
    Joost M.E. Pennings and Philip Garcia - Financial research indicates that several firm characteristics are related to the use of derivatives. Less attention has been paid to the role of the characteristics of managers, which are particularly important when studying derivative usage of small and
  • June 1, 2001 - Model Selection Criteria Using Likelihood Functions and Out-of-Sample Performance
    Bailey Norwood, Peyton Ferrier, and Jayson Lusk - Model selection is often conducted by ranking models by their out-of-sample forecast error. Such criteria only incorporate information about the expected value, whereas models usually describe the entire probability distribution. Hence, researchers may
  • June 1, 2001 - Implications of Behavioral Finance for Farmer Marketing Strategy Recommendation
    B. Wade Brorsen and Kim B. Anderson - Behavioral finance is a relatively new field of inquiry that may help better understand farmer marketing. The theory argues that people tend to make certain psychological biases that cause them to not be fully rational in an economic sense. For example, p
  • June 1, 2001 - Local Polynomial Kernel Forecasts and Management of Price Risks using Futures Markets
    MinKyoung Kim, Raymond M. Leuthold and Philip Garcia - This study contributes to understanding price risk management through hedging strategies in a forecasting context. A relatively new forecasting method, nonparametric local polynomial kernel (LPK), is used and applied to the hog sector. The selective multi
  • June 1, 2001 - Estimating Actual Bid-Ask Spreads in Commodity Futures Markets
    Henry L. Bryant and Michael S. Haigh - Various bid-ask spread estimators are applied to transaction data from LIFFE cocoa and coffee futures markets, and the resulting estimates are compared to observed actual bid-ask spreads. Results suggest that actual bid-ask spreads, which are not reported
  • June 1, 2001 - The Role of the Bid-Ask Spread in a Dynamic–Time-Varying Optimal Hedging Model
    Michael S. Haigh - This paper presents a manageable and effective way of nesting two popular, yet distinct approaches to obtain optimal hedging ratios – time-series econometrics (GARCH) and dynamic programming (DP). The nested DP-GARCH model is then compared to a DP-GARCH m
  • June 1, 2001 - Modeling Soybean Prices in a Changing Policy Environment
    Barry K. Goodwin, Randy Schnepf, and Erik Dohlman - The oilseed products complex is an important component of the U.S. agricultural sector. In 2000, almost 75 million acres were planted to soybeans, representing over 29 percent of total planted acreage, making soybeans second only to corn in terms of acrea
  • June 1, 2001 - Modeling Farmers’ Use of Market Advisory Services
    Joost M.E. Pennings, Scott H. Irwin, and Darrel L. Good - In an effort to improve marketing of their products, many farmers use market advisory services (MAS). To date, there is only fragmented anecdotal information about how farmers actually use the recommendations of market advisory services in their marketing
  • June 1, 2001 - Hypothesis Testing Using Numerous Approximating Functional Forms
    Bailey Norwood, Jayson Lusk, and Peyton Ferrier - While the combination of several or more models is often found to improve forecasts (Brandt and Bessler, Min and Zellner, Norwood and Schroeder), hypothesis tests are typically conducted using a single model approach 1 . Hypothesis tests and forecasts hav
  • June 1, 2001 - Consumer Panelist Behavior in Experimental Auctions: What Do We Learn from Their Bids?
    Wendy J. Umberger and Dillon M. Feuz - Experimental economics procedures such as laboratory experimental auctions are increasingly being used to measure consumers’ willingness-to-pay. A sealed-bid, fourth-price Vickrey-style auction was used to measure consumers’ willingness-to-pay for flavor
  • June 1, 2001 - Market Inversion in Commodity Futures Prices
    Byung-Sam Yoon and B. Wade Brorsen - As opposed to a normal market, an inverted market has a negative price of storage or spread. Market inversions in nearby spreads rarely occur during early months of the crop year since stocks are usually abundant after harvest. However, market inversions
  • June 1, 2001 - Evaluation Of Hedging in the Presence of Crop Insurance and Government Loan Programs
    Manuel Zuniga, Keith H. Coble, and Richard Heifner - This research evaluates the interaction of new alternative insurance designs, forward pricing tools and the government revenue protection program while assuming a government loan program is in place. A numerical analysis is conducted using a revenue simul
  • June 1, 2001 - Crop Insurance Valuation under Alternative Yield Distributions
    Fabio C. Zanini, Bruce J. Sherrick, Gary D. Schnitkey, and Scott H. Irwin - Considerable disagreement exists about the most appropriate characterization of farm-level yield distributions. Yet, the economic importance of alternate yield distribution specifications on insurance valuation, product designs and farm-level risk managem
  • June 1, 2001 - Market-making Behavior in Futures Markets
    Holly Liu, Jeffrey Williams, and Oscar Jorda - This paper examines voluntary market-making behavior, namely scalping, in futures markets. Specifically, this paper studies what factors determine scalpers' entry and exit, and how scalping affects market liquidity and price volatility. The data used for
  • June 1, 2001 - Response to an Asymmetric Demand for Attributes: An Application to the Market for Genetically Modified Crops
    Sergio Lence and Dermot Hayes - A framework is developed for examining the price and welfare effects of the introduction of genetically modified (GM) crops. In the short run, non-GM grain generally becomes another niche product. However, more profound market effects are observed under s
  • June 1, 2001 - The Value of USDA Outlook Information: An Investigation Using Event Study Analysis
    Scott H. Irwin, Darrel L. Good, and Jennifer K. Gomez - The economic value of public situation and outlook information has long been a subject of debate. The purpose of this paper is to investigate the economic value of USDA WASDE reports in corn and soybean markets. The investigation is based on event stu
2000
  • June 1, 2000 - Weighted Expected Utility Hedge Ratios
    Darren Frechette and Jonathan W. Tuthill - We derive a new hedge ratio based on weighted expected utility. Weighted expected utility is a generalization of expected utility that permits non-linear probability weights. Generally speaking weighted expected utility hedge ratios are less than minimum
  • June 1, 2000 - Rollover Hedging
    B. Sam Yoon and B. Wade Brorsen - Both market advisors and researchers have often suggested rollover hedging as a way of increasing producer returns. This study tests whether rollover hedging can increase expected returns for producers. For rollover hedging to increase expected returns, f
  • June 1, 2000 - Price Discovery for Stocker Cattle Futures and Options
    Matthew A. Diersen and Nicole L. Klein - Low trading volume in the CME stocker cattle contracts has made hedgers and speculators reluctant to use the contracts. Traders need decision tools to discover prices or to evaluate quoted prices that may not contain all the information in the market. The
  • June 1, 2000 - Hedging with Futures and Options: A Demand Systems Approach
    Darren L. Frenchette - The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is non-zero. Futures and options are treated as substitute goods, and properties of the resulting hedging demand
  • June 1, 2000 - Short-run Demand Relationships in the U.S. Fats and Oils Complex
    Barry K. Goddwin, Daniel Harper, and Randy Schnepf - Fats and oils play a prominent role in U.S. dietary patterns. Recent concerns over the negative health consequences associated with fats and oils have led many to suspect structural change in demand conditions. We consider short run (monthly) demand relat
  • June 1, 2000 - Impact of alternative Grid Pricing Structures on Cattle Marketing Decisions
    Heather C. Greer and James N. Trapp - Quality grade, yield grade, and other feedlot performance factors explain much of the variation in profit under grid pricing. Thus, feedlot owners can change profits by adjusting time on feed to influence these performance factors. This research uses grow
  • June 1, 2000 - Price and Price Risk Dynamics in Barge and Ocean Freight Markets and the Effects on Commodity Trading
    Michael S. Haigh and Henry L. Bryant - The effects of volatility of barge and ocean freight prices on prices throughout the international grain-marketing channel are analyzed using a Multivariate GARCH-M model. The model is used to infer the extent to which transportation price risk affects th
  • June 1, 2000 - Increasing the Accuracy of Option Pricing by Using Implied Parameters Related to Higher Moments
    Dasheng Ji and B. Wade Brorsen - The inaccuracy of the Black-Scholes formula arises from two aspects: the formula is for European options while most real option contracts are American; the formula is based on the assumption that underlying asset prices follow a lognormal distribution whi
  • June 1, 2000 - The Performance of Agricultural market Advisory Services in Marketing Wheat
    Mark A. Jirik, Scott H. Irwin, Darrel L. Good, Thomas E. Jackson, and Joao Martines-Filho - The purpose of this paper is to investigate the performance of agricultural market advisory services in marketing wheat. Two key performance questions are addressed: 1) Do market advisory services, on average, outperform an appropriate wheat market benchm
  • June 1, 2000 - Returns to Market Timing and Sorting of Fed Cattle
    Stephen R. Koontz, Dana L. Hoag, Jodine L. Walker, and John R. Brethour - This research examines the returns to a cattle feeding operation that sorts animals prior to marketing using ultrasound technology. The returns to sorting are between $11 and $25 per head depending on the number of groups the pens in which cattle can be s
  • June 1, 2000 - Effects of Meat Recalls on Futures Market Prices
    Jayson L. Lusk and Ted C. Schroeder - The number of meat recalls has increased markedly in recent years. Meat recalls have the potential to adversely affect short run demand for meat because of the associated decline in consumer confidence. This research examines the impact of beef and pork r
  • June 1, 2000 - U.S. Farm Policy and the Variability of Commodity Prices and Farm Revenues
    Sergio H. Lence and Dermot J. Hayes - A dynamic three-commodity rational-expectations storage model is used to compare the impact of the Federal Agricultural Improvement and Reform (FAIR) Act of 1996 with a free-market policy, and with the agricultural policies that preceded the FAIR Act. Res
  • June 1, 2000 - Using Satellite Imagery in Kansas Crop Yield and Net Farm Income Forecasts
    Heather D. Nivens, Terry L. Kastens, and Kevin C. Dhuyvetter - Remotely sensed data have been used in the past to predict crop yields. This research attempts to incorporate remotely sensed data into a net farm income projection model. Using in-sample regressions, satellite imagery appears to increase prediction accur
  • June 1, 2000 - The Impact of the LDP on Corn and Soybean Basis in Missouri
    Joe L. Parcell - This study analyzed the effect of the Loan Deficiency Payment (LDP) program, established under the Federal Agriculture Improvement Reform (FAIR) act of 199, on corn and soybean basis in Missouri. Using daily corn and soybean basis data between 1993 and 19
  • June 1, 2000 - An Empirical Invertigation of Live Hog Demand
    Joe L. Parcell, James Mintert, and Ron Plain - An inverse live hog demand model was estimated to analyze claims that the live hog own quantity demand flexibility's magnitude has increased in recent years. A second objective of this research was to estimate the impact changes in processing capacity uti
  • June 1, 2000 - Implications of Deflating Commodity Prices for Time-series Analysis
    Hikaru Hanawa Peterson and William G. Tomek - The choice of deflators of commodity prices can change the time-series properties of the original series. This is a specific application of the general phenomenon that various kinds of data transformations can create spurious cycles that did not exist in
  • June 1, 2000 - Does the CFTC Commitments of Traders Report Contain Useful Information?
    Dwight R. Sanders and Keith Boris - The Commodity Futures Trading Commission’s Commitments of Traders data are examined. Non-commercial positions are thought to contain the least amount of measurement error. Although non-commercials comprise a relatively small percent of the tested markets’
  • June 1, 2000 - An Analysis of Factors Affecting the Regional Cotton Basis
    V. Frederick Seamon and Kandice H. Kahl - Few empirical basis studies have examined the basis in multiple regions and few have concentrated on cotton. This paper addresses this topic, examining consumption market factors that affect the cotton basis in five U.S. cotton production regions. The see
  • June 1, 2000 - The Effects of the Micro-market Structure on Illinois Elevator Spatial Corn Price Differentials
    Benjamin P. Wenzel, Lowell Hill, and Philip Garcia - Corn price differentials among Illinois elevators can often exceed transportation costs. Using primary data, we examine the effects of micro-market structure variables on the differentials in bids prices offered by Illinois elevators. Our findings suggest
  • June 1, 2000 - The Effects of Futures Trading by Large Hedge Funds and CTAS on Market Volatility
    Bryce R. Holt and Scott H. Irwin - This study uses the newly available data from the CFTC to investigate the market impact of futures trading by large hedge funds and CTAs. Regression results show that there is a positive relationship between the trading volume of large hedge funds and CTA
  • June 1, 2000 - Delivery Options in Futures Contracts and Basis Behavior at Contract Maturity
    Jana Hranaiova - This paper estimates values of the delivery options implicit in the CBOT corn futures contract. Joint values of the timing and location options are estimated for the years 1989-97. By interacting the effects of the two delivery options, a potentially more
  • June 1, 2000 - Time-varying Multiproduct Hedge Ratio Estimation in the Soybean Complex: A Simplified Approach
    Mark R. Manfredo, Philip Garcia, and Raymond M. Leuthold - In developing optimal hedge ratios for the soybean processing margin, many authors have illustrated the importance of considering the interactions between the cash and futures prices for soybeans, soybean oil, and soybean meal. Conditional as well as time
  • June 1, 2000 - Impact Of Exports on the U.S. Beef Industry
    Ed Van Eenoo, Everett Peterson, and Wayne Purcell - Policy and programmatic decisions dealing with beef exports require good information as to the impact of exports on the domestic beef industry. This paper utilizes a partial equilibrium model of the world beef market to assess the impacts on the U.S. beef
1999
  • June 1, 1999 - Volatility Models for Commodity Markets
    Paul L. Fackler and Yanjun Tian - The time structure of volatilty in futures prices and implied volatility implicit in option premia is derived from an underlying model of spot price behavior. The model suggests a number of characteristic features that should be present in observed market
  • June 1, 1999 - Bankers’ Forecasts of Farmland Value
    Ted Covey - Bankers exhibit superior information-discrimination skills in contrast to an unbiased constant-forecast model regarding the future quarterly trend in farmland values. However, this skill has to be weighed against bankers' greater forecast bias. Bankers we
  • June 1, 1999 - Do Agricultural Market Advisory Services Beat the Market?
    Scott H. Irwin, Thomas E. Jackson, and Darrel L. Good - The purpose of this paper is to address two basic performance questions for market advisory services: 1) Do market advisory services, on average, outperform an appropriate market benchmark? and 2) Do market advisory services exhibit persistence in their p
  • June 1, 1999 - Corporate Risk Management and the Role of Value-at-Risk
    Dwight R. Sanders and Mark R. Manfredo - Value-at-Risk (VaR) estimates the downside risk of a portfolio of assets, usually derivatives, at a particular confidence level over a specified time horizon. VaR plays an important role in corporate risk management. This discussion piece highlights the r
  • June 1, 1999 - Accuracy of USDA Fed Cattle Price Reporting: Is Mandatory Price Reporting Needed?
    Stephen R. Koontz - Cattle industry members are concerned over the accuracy of prices reported by the USDA Agricultural Marketing Service (AMS) and there is interest in instituting mandatory price reporting. Currently, AMS relies on voluntary cooperation by feedlots and meat
  • June 1, 1999 - Who Will Pay for Guaranteed Tender Steak?
    Jayson Lusk, John Fox, Ted Schroeder, James Mintert, and Mohammad Koohmaraie - Meat tenderness is one of the most important quality characteristics to beef consumers. Current beef quality grading standards are poorly correlated with meat tenderness. Even within the same quality grade, steak tenderness varies considerably. As a resul
  • June 1, 1999 - Short-Term Variability in Grid Prices for Fed Cattle
    Clement E. Ward and Jong-In Lee - This research examined variability in grid prices that can occur within a given day or week for a given set of cattle. Data for one day's slaughter from four plants revealed considerable variation in cattle brought to slaughter by cattle feeders. Several
  • June 1, 1999 - Identifying and Managing Economic Risk in Cattle Feeding
    Darrell R. Mark, Rodney Jones, and Ted C. Schroeder - Closeout data from two western Kansas commercial feedlots are examined to determine how cattle prices, feed costs, and animal performance impact the variability of cattle feeding profits. The relative impacts of these factors are studied across sex, place
  • June 1, 1999 - Feeder Cattle Price Slides
    B. Wade Brorsen, Nouhoun Coulibaly, Francisca G. C. Richter, and DeeVon Bailey - A theoretical model is developed to explain the economics of determining price slides for feeder cattle. The contract is viewed as a dynamic game with continuous strategies where buyer and seller are the players. We determine the value of the slide that a
  • June 1, 1999 - Determinants of Replacement Heifer Price Differentials
    Vern Pierce, Joe Parcell, and Richard Randle - If the cattle industry is to develop a widely accepted value based marketing system, cattle producers need to produce cattle of known quality that will add value to the animal and simultaneously improve production efficiency. This study uses transaction l
  • June 1, 1999 - Evaluating Forecast Accuracy of Cattle on Feed Pre-Release Estimates
    Kevin Dhuyvetter and Ted Schroeder - Forecasts of variables (cattle on feed, placements, and marketings) that are released in the USDA Cattle On Feed (COF) report by 36 private industry analysts and the composite forecast were evaluated along with the forecasts from an autoregressive model.
  • June 1, 1999 - Forecasting Fed Cattle, Feeder Cattle, and Corn Cash Price Volatility: Time Series, Implied Volatility, and Composite Approaches
    Mark R. Manfredo, Raymond M. Leuthold, and Scott H. Irwin - Considerable research effort has focused on the forecasting of asset return volatility. Debate in this area centers around the performance of time series models, in particular GARCH, relative to implied volatility from observed option premiums. Existing l
  • June 1, 1999 - The Term Structure of Uncertainty Implied by Option Premia
    John A. Shaffer and Bruce J. Sherrick - Information describing future asset price distributions is fundamental to nearly all risk management activities. Futures markets are often relied upon to provide information abut the mean of future price distributions, and option markets are often used to
  • June 1, 1999 - Evidence of Farmer Forward Pricing Behavior
    Kevin McNew and Wesley Musser - The current agricultural marketing literature has considerable controversy about the optimal use of hedging for farmers. Much of this literature has very limited data on farmer behavior and an evaluation of the outcome of this behavior. This paper uses da
  • June 1, 1999 - Forecasting Crop Yields and Condition Indices
    Paul L. Fackler and Bailey Norwood - A model relating crop condition indices to average yields is developed. The model is used to motivate a crop yield forecasting model, which in turn yields estimates of the time path of information flows into the commodity market. An empirical assessment o
  • June 1, 1999 - A Calendar Spread Trading Simulation of Seasonal Processing Spreads
    Christine A. Cole, Terry L. Kastens, Frederick A. Hampel, and Laura R. Gow - This study examined the potential reliability of seasonality in intermarket incremental margin calendar crushes, expected margin calendar crushes, and deferred crushes for application in real-time futures trading. Seasonal rolling averages were used to se
  • June 1, 1999 - Why Don’t Country Elevators Pay More for High Quality Wheat? The Effects of Risk Information
    Brian D. Adam and Sueng Jee Hong - Previous research has found that country elevators that re the first in their area to grade wheat and pay quality-adjusted prices would receive above-normal profits at the expense of their competitors. These early-adopting elevators would pass on to produ
  • June 1, 1999 - Price Volatility in Dairy Markets: A Story of Stocks?
    Rob Weaver and William Natcher - The role of private, government and total stocks as determinants of price volatility in the dairy markets is analyzed based on monthly price data (U.S. geographic area average). Results reported here find no strong evidence that changes in beginning stock
  • June 1, 1999 - Commodity Futures Contract Viability: A Multidisciplinary Approach
    Joost M. E. Pennings and Raymond M. Leuthold - We propose a framework in which the decisions and wishes of potential customers are investigated simultaneously with the necessary technical properties that need to be met for trading to take place. Within this framework the relationship between trading v
  • June 1, 1999 - Payoffs to Farm Management: How Important is Grain Marketing?
    Heather Nivens and Terry L. Kastens - Economically, a well managed firm is one that consistently makes greater profits than competing firms in the industry. In terms of production agriculture, good management is demonstrated by profits that are persistently greater than those of similarly str
  • June 1, 1999 - Testing the Possibility of Private Crop Insurance and Reinsurance Markets
    H. Holly Wang, Joseph L. Krogmeier, and Bingfan Ke - Risk theory tells us if an insurer can effectively pool a large number of individuals to reduce the total risk, he then can provide the insurance by charging a premium close to the actuarially fair rate. There is a common belief that only when the random
  • June 1, 1999 - Forecasting performance of Storable and Non-Storable Commodities
    Scott Daniel, Ted Schroeder, and Kevin Dhuyvetter - This study examines the relationship between the futures price at the time of production/placement decision and the price at the time of the harvest/marketing decision for the storable commodities corn, soybeans, and wheat and non-storable commodities, fe
  • June 1, 1999 - Post-Harvest Grain Storing and Hedging with Efficient Futures
    Terry L. Kastens and Kevin Dhuyvetter - This study is a simulation that tests whether Kansas wheat, corn, milo (grain sorghum) and soybean producers could have used deferred futures plus historical basis cash price expectations to profitably guide post-harvest unhedged and hedged grain storage
  • June 1, 1999 - Modeling Ex Ante Price Expectations within the U.S. Broiler Market
    Andrew McKenzie and Matthew T. Holt - A statistically optimal inference about market agents' ex ante price expectations within the U.S. broiler market is derived using futures prices of related commodities in conjunction with a quasi-rational forecasting regression equation. Specifically, the
  • June 1, 1999 - Hog Profit Margin Hedging: A Long-Term Out-of-Sample Evaluation
    Gary D. Kee and David E. Kenyon - This paper is long-term evaluation of the profit margin hedging strategy suggested by Kenyon and Clay. To implement this strategy an expected profit margin is estimated based on the amount of pork, corn price, and soybean meal price. Additionally, the pro
  • June 1, 1999 - Agricultural Economists’ Effectiveness in Reporting and Conveying Research Procedures and Results
    Joe L. Parcell, Terry L. Kastens, Kevin C. Dhuyvetter, and Ted C. Schroeder - This study reviews articles published in the Journal of Agricultural Economics from 1994 to 1998 which used regression analysis to determine agricultural economists' effectiveness in reporting and conveying research procedures and results. Based on the au
  • June 1, 1999 - They Trade Shrimp in Minneapolis? An Examination of the MGE White Shrimp Futures Contract
    Dwight R. Sanders and Joost M. E. Pennings - The successful introduction of risk management products to industries unfamiliar with futures markets (e.g., dairy, aquaculture, and environmental resources) is likely to become increasingly important as futures exchanges consider alternative structures (
  • June 1, 1999 - A Full Bayesian Analysis of Structural Changes with the AIDS Model: The Case of Meat Demand
    Ibrahima Yague, Steven C. Turner, and Jeffrey H. Dorfman - This study applies to a Bayesian methodology to the oft-examined issue of whether a structural change has occurred in U.S. meat demand. The Bayesian approach allows us several advantages over earlier studies. First, we can estimate the true AIDS model ins
1998
  • June 1, 1998 - Cattle Basis Risk and Grid Pricing
    Jennifer L. Graff and Ted C. Schroeder - The beef industry is increasingly moving towards a more value-based pricing system in an attempt to send appropriate signals to producers. Beef packers have responded by developing grid pricing systems which value each carcass separately based on its own
  • June 1, 1998 - Structural Econometric Models: Past and Future (with Special Reference to Agricultural Economics Applications)
    William G. Tomek - This paper has three objectives: to review the historical contributions of the literature on structural models, to outline the problems of obtaining robust estimates of parameters, and to discuss how to improve the quality of results. The paper emphasizes
  • June 1, 1998 - Futures Spread Risk in Soybean Hedge-to-Arrive Contracts
    E. Neal Blue, Marvin Hayenga, Sergio Lence, and E. Dean Baldwin - In the 1995/96 crop year, record high corn futures prices and inverted spreads eroded the cash flows and financial capabilities of both farmer hedgers and elevators who implemented the rollover provisions in hedge-to-arrive (HTA) contracts. Participants i
  • June 1, 1998 - Design and Evaluation of Long Term Commodity Pricing Contracts
    James Unterschultz, Frank Novak, and Stephen Koontz - Window contracts and cost plus contracts are being used for managing risk in long term producer-processor contracting relationships. Window contracts place a floor price and a ceiling price on the value of the commodity to the producer. Cost plus contract
  • June 1, 1998 - Forecasting Crop Basis: Practical Alternatives
    Kevin C. Dhuyvetter and Terry L. Kastens - Being able to predict basis is critical for making marketing and management decisions. Basis forecasts can be used along with futures prices to provide cash price projections. Additionally, basis forecasts are needed to evaluate hedging opportunities. Man
  • June 1, 1998 - Post-harvest Grain Marketing with Efficient Futures
    Terry L. Kastens and Kevin C. Dhuyvetter - This study is a simulation that tests whether Kansas wheat, corn, milo (grain sorghum), and soybean producers could have used deferred-futures-plus-historical-basis cash price expectations to profitably guide post-harvest grain storage decisions from 1985
  • June 1, 1998 - Crop Insurance and Pre-harvest Pricing of Corn and Soybeans: Case Studies for Selected States and Farms
    Robert N. Wisner, E. Neal Blue, E. Dean Baldwin, G. Art Barnaby Jr., and Daniel O'Brien - To test the effectiveness in managing net income risk and profit levels, pre-harvest corn and soybean options-based pricing strategies and crop yield and revenue insurance products were modeled for case study farms in three states. These combinations redu
  • June 1, 1998 - The Effect of Crop or Revenue Insurance on Optimal Hedging
    Keith H. Coble and Richard Heifner - The emergence of new risk management tools such as revenue insurance has dramatically expanded the tools from which producers may choose to manage revenue risk. Little is known regarding how these products interact with market-based risk management tools
  • June 1, 1998 - Innovative Hedging and Financial Services: Using Price Protection to Enhance the Availability of Agricultural Credit
    Francesco Braga and Brian Gear - The use of currency translated average rate options is shown to be a cost effective way to hedge corn and soybean price risk in Ontario when the timing of the cash sales extends over several months. Standardized contracts incorporating the over-the-counte
  • June 1, 1998 - Heterogeneous Subjective Moments and Price Dynamics
    Darren L. Frechette and Robert D. Weaver - Differential expectations have long been presumed necessary for the existence of speculative markets. At an empirical level, considerable evidence further suggests that agents may not hold rational expectations. The representative agent hypothesis is disp
  • June 1, 1998 - Spectral Analysis of Asymmetric Price Transmission in the U.S. Pork Market
    Douglas J. Miller and Marvin L. Hayenga - Economists have proposed a number of plausible explanations for observed price transmission asymmetries in commodity markets. The reasons may be broadly classified as theories of cooperative oligopoly, search costs in locally imperfect markets, or asymmet
  • June 1, 1998 - Income Taxes and Price Variability in Storable Commodity Markets
    Kevin McNew and Bruce Gardner - Progressive income taxes lead to distortions in economic decisions made across tax years. This is particularly important when income can be quite volatile, as in the case of agriculture. Progressive taxes, therefore, can fundamentally change economic beha
  • June 1, 1998 - Evaluating Potential Changes in Price Reporting Accuracy
    Clement E. Ward and Seung-Churl Choi - Non-cash-market transactions for fed cattle have increased. Price discovery depends in part on the accuracy of reported cash market prices. Cattlemen and others have expressed concern that as non-cash-market transactions increase, reported cash market pri
  • June 1, 1998 - Impacts of Reduced Public Information on Price Discovery and Marketing Efficiency in the Fed Cattle Market
    John Anderson, Clement Ward, Stephen Koontz, Derrell Peel, and James Trapp - There has been reduced government support and funding for market news and other information services in agricultural markets. This research examines the effect on the level of variability of cash fed cattle prices from reducing public information on price
  • June 1, 1998 - Trends in the Accuracy of USDA Production Forecasts for Beef and Pork
    DeeVon Bailey and B. Wade Brorsen - Trends in the accuracy of USDA forecasts of beef and pork production and supply are evaluated. The USDA forecasts underestimated production and supply in the 1980s, but this bias has now disappeared. The variance of forecasts has also declined. Thus, the
  • June 1, 1998 - Economic Implications of Show List, Pen Level, and Individual Animal Pricing of Fed Cattle
    Dillon M. Feuz - Fed cattle are currently sold on a show list (several pens of market ready cattle), pen by pen, or individual head basis and may be priced using live weight, dressed weight, or grid or formula pricing. Analysis of 85 pens, 5520 head, of fed cattle reveale
  • June 1, 1998 - Can the Grain Marketing System Provide Sufficient Quality Incentives to Producers?
    Wes Elliot, Brian D. Adam, Phil Kenkel, and Kim Anderson - Kenkel, Anderson, and Attaway found that Oklahoma country elevators tended to overestimate test weight and underestimate dockage and undesirable grade factors, such as damaged kernels, shrunken and broken kernels, and foreign material for hard red winter
  • June 1, 1998 - Risk and Expected Returns in Cattle Feeding
    Frederick A. Hampel, Ted C. Schroeder, and Terry L. Kastens - Numerous studies have shown average return on investment in cattle feeding compares favorably with returns on alternative investments. However, the volatility in cattle feeding returns is extremely high. The high profit risk in cattle feeding and the infr
  • June 1, 1998 - Risk Measurement and Supply Response in the Soybean Complex
    Matthew A. Diersen and Philip Garcia - Output price risk has been found to affect firm behavior in the soybean complex. Here, we investigate the influence of price risk on the supply of soybean products, using futures prices and implied volatilities from options markets to generate the first a
  • June 1, 1998 - Agricultural Applications of Value-at-Risk Analysis: A Perspective
    Mark R. Manfredo and Raymond M. Leuthold - Value-at-risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period due to adverse market conditions with a particular level of confidence. Value-at-Risk has received considerable attention from financial
  • June 1, 1998 - A Preview of the Usefulness of Placement Weight Data
    Bailey Norwood and Ted C. Schroeder - Knowing the number, timing, and weights of cattle placed on feed should be useful in forecasting beef supply. In 1996, the USDA began reporting cattle-on-feed placements in various weight groups. Placement weight data may improve beef supply forecasts bec
  • June 1, 1998 - Forecast Evaluation: A Likelihood Scoring Method
    Matthew A. Diersen and Mark R. Manfredo - While many forecast evaluation techniques are available, most are designed for the end user of forecasts. Most statistical evaluation procedures rely on a particular loss function. Forecast evaluation procedures, such as mean squared error and mean absolu
  • June 1, 1998 - Performance Persistence for Managed Futures
    B. Wade Broersen and John Townsend - Past literature on managed futures funds has found little evidence that the top performing funds can be predicted. But, the past literature has used small datasets and methods which had little power to reject the null hypothesis of no performance persiste
  • June 1, 1998 - Compatibility of Government Guarantees with Flexibility in Canadian Wheat Price Pooling
    James Unterschultz and Frank Novak - Financial option theory is used to evaluate Canadian Wheat Board (CWB) price pooling and associated government guarantees. Price guarantees and final payments on the pool can be viewed as special financial derivative products. Financial models are used to
  • June 1, 1998 - The Emerging Futures Market for Cheddar Cheese: A Mechanism for Stability or Increased Spot-Price Volatility?
    Cameron S. Thraen - In the early 1990's, after four decades of relying on government authorized minimum price supports and the required public stockholding necessary to achieve price risk management, the United States dairy industry began a journey toward a shift to a market
  • June 1, 1998 - Producers’ Marketing Practices and Decision Making Processes
    James Sartwelle III, Daniel O'Brien, William Tierney, Tim Eggers, Robert Wisner, John Lawrence, and Walter Barker - A survey of Kansas, Texas, and Iowa agricultural producers and agribusiness was taken to examine the factors affecting their grain and livestock marketing practices. Qualitative choice models (multinomial and binomial logit) were used to determine whether
  • June 1, 1998 - Perceptions of Marketing Efficiency and Strategies: Research vs. Extension Marketing Economists
    Joe Parcell, Ted Schroeder, Terry Kastens, and Kevin Dhuyvetter - Extension and research marketing economists spend considerable time educating clientele and publishing marketing and risk management strategies. Therefore, perceptions of extension and research marketing economists regarding price forecasting, futures mar
19971996
  • June 1, 1996 - Optimal On-Farm Storage
    Paul L. Fackler and Michael J. Livingston - When transactions costs prohibit an agricultural producer from replenishing grain stocks during the post-harvest marketing season, sales out of storage may be viewed as irreversible investments. The irreversibility of sales decisions transforms the dynami
  • June 1, 1996 - Options Portfolios in the Presence of Non-Linear Risk
    Kevin McNew - Options on futures give hedgers a way to construct a risk management portfolio which has similar properties to the risk they face in the cash market. Of particular importance is the benefit that options provide when the cash position value is non-linearly
  • June 1, 1996 - Noise Trader Demand in Commodity Futures Markets
    Dwight R. Sanders, Scott H. Irwin, and Raymond M. Leuthold - Theoretical noise trader models suggest that uninformed traders can impact market prices. However, these models' conclusions depend on the assumed specification for noise trader demand. This research seeks to empirically determine the appropriate demand s
  • June 1, 1996 - The Potential Inefficiency of Using Marketing Margins in Applied Commodity Price Analysis, Forecasting, and Risk Management
    Frank M. Han and Garth J. Holloway - This paper examines the implications of using marketing margins in applied commodity price analysis. The marketing-margin concept has a long and distinguished history, but it has caused considerable controversy. This is particularly the case in the contex
  • June 1, 1996 - An Empirical Examination of the Role of Trading Volume in Futures Markets
    Li Yang and Raymond M. Leuthold - This paper investigates the trading profits and the informational role of trading volume in the frozen pork bellies futures market for reporting traders from the period 1985 through 1994. More than 95% of reporting traders make statistically zero profits
  • June 1, 1996 - Wheat Futures Price Behavior: Theoretical and Empirical Considerations
    Dawn D. Thilmany, Jau-Rong Li, and Christopher B. Barrett - This study analyzes the time series statistical properties of wheat futures prices to determine whether price behavior differs among intramarket contracts. We argue that the differential role of inventories, information, hedging objectives and probability
  • June 1, 1996 - Volatility Based Tests for Informational Efficiency on Commodity Options Markets
    Robert J. Myers, Steven D. Hanson, Jing-Yi Lai, and Hong Wang - This paper has two objectives. The first is to develop a simple, computationally tractable procedure for estimating implied GARCH volatilities from commodity options price data. The second is to apply this procedure to elicit implied volatilities from soy
  • June 1, 1996 - Commodity Futures Market Reaction to Anticipated Public Reports: Frozen Pork Bellies
    Li Yang - This paper investigates the reaction of the frozen pork bellies futures market to the release of inventory information. Knight-Ridder releases their analysts' forecasts two days prior to the estimates provided by USDA. The model provides a direct link bet
  • June 1, 1996 - Price Discovery Role of Futures Prices: A Linear Feedback Approach
    Samarendu Mohanty, Darnell B. Smith, and E. Wesley F. Peterson - This paper measures the degree of dependence between cash and futures prices for corn and soybeans using a linear feedback approach. The degree of dependence between these two series is decomposed into two directional and one contemporaneous feedback. The
  • June 1, 1996 - Evaluation of Extension and USDA Price and Production Forecasts
    Terry L. Kastens, Ted C. Schroeder, and Ron Plain - This study evaluates Extension forecasting accuracy in an analysis of responses to the Annual Outlook Survey conducted by the American Agricultural Economics Association from 1983 through 1995. Representative and composite production and price forecasts f
  • June 1, 1996 - Spatial Price Analysis: A Methodological Review
    Paul L. Fackler - Empirical methods of dynamic spatial price analysis are reviewed. Emphasis is given to interpreting these methods in the context of economic models of price determination, including both point-location and agents-on-links models. This focus calls into que
  • June 1, 1996 - Determination of Base Payments for Feeder Pig Producers and Finishers
    Joseph L. Parcell and Michael R. Langemeier - This study examines the level of base payments required to make feeder pig finishing and producing contracts comparable to independent production performance. Stochastic dominance with respect to a function is used in the comparisons between contract and
  • June 1, 1996 - Effects of Reduced Government Deficiency Payments on Post-Harvest Marketing Strategies
    Steven Betts, Brian D. Adam, and B. Wade Brorsen - Effects of reducing government deficiency payments on a wheat producer's post-harvest marketing strategies are evaluated. The deficiency payment is predicted using an average option pricing model to properly value both intrinsic and time values of the def
  • June 1, 1996 - Optimal Storage Decisions under Estimation and Prediction Risk
    Tommie L. Shepherd and Jeffrey H. Dorfman - Estimation and prediction risk are shown to influence the optimal storage decision of a dominant firm facing a competitive fringe. The presence of risk with respect to demand estimation and supply prediction results in increased storage by a dominant firm
  • June 1, 1996 - You Know It’s Going to Be a Bad Day When a 60 Minutes Camera Crew Is Waiting for You at Work – A Case Study of Chicken Contamination Publicity
    Dean G. Fairchild and Roger A. Dahlgran - Adverse publicity about food contamination can depress demand, causing lost producer revenue. TV and print news coverage of bacterial contamination of chicken in the U.S. is incorporated into an inverse demand for chicken which is estimated using 1982 and
  • June 1, 1996 - Farmers’ Use of Normal Flex Acres: A Glimpse of the Future
    Brian Willott, Gary Adams, Robert Young, and Abner Womack - Given the new direction of farm policy, farmers in the future will be less constrained in making their planting decisions. This paper shows how farmers respond to market signals in allocating flex acres. By examining the five years of data that exist, res
  • June 1, 1996 - Textile Market Valuation of Cotton Quality Attributes
    Changping Chen and Don E. Ethridge - This study analyzed cotton pricing structures associated with quality attributes at the end-use point of the U.S. cotton market using a hedonic framework for the 1992-1995 period. Results based on the information from primary market transactions show how
  • June 1, 1996 - The Influence of IRS Tax Policy on Use of Livestock Cattle Futures and the Effectiveness of the Price Discovery Process
    Wayne D. Purcell - Current IRS policy on deductibility of losses on futures trades discourages cattle feeders from being fully involved in the price discovery process. Analysis suggests the policy hurts the effectiveness of price discovery and imposes a cost on society at l
  • June 1, 1996 - Short-Run Captive Supply Relationships with Fed Cattle Transaction Prices
    Clement E. Ward, Stephen R. Koontz, and Ted C. Schroeder - Questions have been raised about the impacts on spot market prices from meatpackers purchasing fed cattle two or more weeks in advance of slaughter. Three base models were estimated to study: (1) the relationship between use of captive supplies and fed ca
  • June 1, 1996 - The Impacts of Exclusive Marketing/Procurement Agreements on Fed Cattle Transaction Prices: An Experimental Simulation Approach
    Tracy Dowty, Clement Ward, Stephen Koontz, Derrell Peel, and James Trapp - The recent inclusion of exclusive marketing/procurement agreements between meatpacking and feedlot firms has created concern about how the level and variability of fed cattle transaction prices are affected. Existing agreements involve written or verbal c
  • June 1, 1996 - Fed Cattle Geographic Market Delineation: Slaughter Plant and Firm Supply Response Analysis
    Marvin Hayenga, Bingrong Jiang, and Donald D. Hook - The beef packing plant and firm spot market purchase volume responsiveness to relative prices paid by potential competitors was estimated to serve as one element in determining the relevant geographic market for fed cattle. Plant transaction data for one
  • June 1, 1996 - Fed Cattle Spatial Transaction Price Relationships
    Ted C. Schroeder - Delineation of geographic markets for fed cattle is essential in monitoring price behavior and determining the extent of spatial price parity. This study uses transaction data from 28 U.S. fed cattle slaughter plants to determine the extent of the geograp
  • June 1, 1996 - Arbitrage Costs Between Regional Fed-Cattle Markets
    Stephen R. Koontz - Arbitrage cost models were used to measure the degree of integration between regional geographic AMS reported fed cattle markets. The method measures the implicit arbitrage costs and probability of arbitrage between two markets, and is also used to test t
  • June 1, 1996 - Sources of Economic Variability in Cattle Feeding
    Rodney Jones, James Mintert, Michael Langemeier, Ted Schroeder, and Martin Albright - Previous researchers have identified factors that contribute to variability of profits and feeding cost of gain in cattle feeding. Efforts have been made to identify the relative importance of specific factors in order to assist cattle feeders in managing
  • June 1, 1996 - Improving Monthly Fed Cattle Forecasts with Information on Market-Ready Inventory
    Kendall L. McDaniel and Stephen R. Koontz - Market-ready inventories are cattle which have reached an adequate degree of feeding finish but which have not been sold. The level of market-ready inventories appear to have an important impact on fed cattle prices, are discussed in industry and outlook
  • June 1, 1996 - An Economic Analysis of U.S. Broiler Industry: A Structural Bayesian VAR Approach
    Chandrashekar Karnum, Christopher McIntosh, and Timothy Park - The U.S. broiler industry has seen major structural changes due to higher degrees of vertical integration and industry concentration. These structural changes have influenced the adjustment characteristics of key production variables to external disturban
  • June 1, 1996 - A Reappraisal of the Forecasting Performance of Corn and Soybean New Crop Futures
    Carl Zulauf, Scott H. Irwin, Jason Ropp, and Anthony Sberna - This analysis evaluates the forecasting ability of the December corn futures contract and November soybean futures contracts during the previous spring. A regression equation is estimated which accounts for the well-known non-stationarity of commodity pri
  • June 1, 1996 - An Analysis of the Performance of the Diammonium Phosphate Futures Contract
    Keith Bollman, Sarahelen Thompson, and Philip Garcia - This paper investigates the price relationships between diammonium phosphate cash and futures prices to evaluate pricing and risk management in the fertilizer industry, the potential demand for hedging within the industry, and the price linkages through t
  • June 1, 1996 - Evaluating the Hedging Potential of the Lean Hog Futures Contract
    Mark W. Ditsch and Raymond M. Leuthold - The lean hog futures contract is replacing the live hog futures contract at the Chicago Mercantile Exchange beginning with the February 1997 contract. The lean hog futures will be cash settled based on a broad-based lean hog price index, eliminating termi
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