NCCC-134
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Observations on Cash Settlement
Paul E. Peterson
Year: 1995
 

Abstract

 
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Chicago Board of Trade Crop Yield Insurance Contracts
David D. Lehman
Year: 1995
 

Abstract

 
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Discussion of Paul Peterson's and David Lehman's Comments
Sarahelen Thompson
Year: 1995
 

Abstract

 
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Technical Analysis and Market Efficiency in the Live Hog Futures Market
John W. Hales and Marvin L. Hayenga
Year: 1995
 

Abstract

Three technical analysis tools-relative strength index (RSI), dual moving average and directional movement indicator-are applied to 1987-92 live hog futures market behavior to determine whether profitable trading rules could be devised which would continu

 
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The Quality of Speculation in the Soybean Complex
Roger A. Dahlgran
Year: 1995
 

Abstract

This paper examines the quality of speculation in the soybean, soyoil and soymeal futures markets. High quality speculation is defned as speculative activity that quickly brings markets to equilibrium when economic events dictate that a new equilibrium is

 
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Commodity Storage and Interseasonal Price Dynamics
Xiongwen Rui and Mario J. Miranda
Year: 1995
 

Abstract

This paper continues Deaton and Laroque's search for a variant of the nonlinear rational expectations commodity storage model that can explain the observed behavior of primary commodity prices. Using numerical functional equation methods and Monte Carlo s

 
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The Effects of Government Storage Programs on Supply and Demand for Wheat Stocks
Brian D. Adam, Daniel S. Tilley, and Everett Olbert
Year: 1995
 

Abstract

Research has suggested that profitability of wheat storage hedges has declined in the 1980s, and that part of this decline is attributable to the increased proportion of stocks under government control during the mid-1980s. This study measures the effect

 
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Optimal Financial Leverage and the Determinants of Firm's Hedging Policies under Price, Basis and Production Risk
Joaquin Arias and B. Wade Brorsen
Year: 1995
 

Abstract

A new theoretical model of hedging is derived. Risk neutrality is assumed. The incentive to hedge is provided by progressive tax rates and bankruptcy laws. Optimal hedge ratios and the relationship with leverage, yield risk, basis risk, and fnancial risk

 
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The Dynamics of Flex
Chad Hart, Darnell Smith, and John R. Kruse
Year: 1995
 

Abstract

As debate begins on the 1995 Farm Bill. One of the leading proposals for future farm policy is the expansion of the flex provision. This move would further limit the number of acres eligible for deficiency payments and increase the farmer's ability to res

 
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The Confidence Intervals of Preharvest State Corn Yield Forecasts
Daniel O'Brien and S. Elwynn Taylor
Year: 1995
 

Abstract

This paper examines the accuracy of preharvest corn yield forecasts from crop-weather models for major U.S Corn Belt states. Cross section time series models using dummy variables to represent state crop reporting districts are estimated via ordinary lea

 
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Crop Yield Futures and Revenue Distributions
Viswanath Tirupattur, Robert J. Hauser, and Nabil M. Chaberli
Year: 1995
 

Abstract

The use of impending crop yield futures contracts to hedge expected net revenue is examined. The expectation being modeled here reflects that of an Illinois corn and soybean producer in March of the revenue realized after harvest. The effects of using pri

 
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A Flexible Dynamic Inverse Demand System: An Application to U.S. Meat Demand
Matthew T. Hold and Barry K. Goodwin
Year: 1995
 

Abstract

 
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The Effects of Japanese Exports on Wholesale Beef and Live Cattle Prices
Marvin D. Hoffland, Marvin L. Hayenga, and Dermot J. Hayes
Year: 1995
 

Abstract

Has the rapid growth in the exports of wholesale beef affected U.S. beef and cattle prices? The short-term impact of U. S. beef exports to Japan, the dominant export destination, is estimated via econometric analysis of the relationship between monthl

 
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The Apparent Failure of Retail Beef Prices to Respond to Supply Shocks: An Empirical Investigation
Rodney Jones and Wayne D. Purcell
Year: 1995
 

Abstract

Several times in recent years concerns have been expressed regarding slow and/or inadequate price adjustments in the retail beef market. In particular, industry participants have speculated that retail prices may not respond promptly or completely to supp

 
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Quality Uncertainty and Grain Merchandising Risk: Vomitoxin in Spring Wheat
D. Demcey Johnson, William W. Wilson, and Matthew Diersen
Year: 1995
 

Abstract

 
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A Comparison of Carcass Value Pricing Systems of Southeast Hog Plants
David Kenyon, John McKissick, and Kelly Zering
Year: 1995
 

Abstract

Carcass value pricing systems of six Southeast U.S. plants were analyzed. All plants measured hot carcass traits with Fat-O-Meater. Base live prices were derived by formula from various combinations of Midwest prices. One plant starts with a base carcass

 
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Daily Hedonic Price Analysis in Cotton: An Alternative Approach for Providing Market Information
Darren Hudson and Don Etheridge, Jeff Brown
Year: 1995
 

Abstract

Information on prices of commodities that are. differentiated by quality is important for understanding how the markets where these goods are traded operate. Hedonic price analysis provides a means to address this issue. Through econometric estimation, th

 
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Garch Option Pricing with Implied Volatility
N'Zue F. Fofana and B. Wade Brorsen
Year: 1995
 

Abstract

Generalized autoregressive conditional heteroskedasticity (GARCH) provides a better ft to futures price data than the common assumption of identical independent normal distribution. GARCH option pricing models (OPM) with historical volatility have proven

 
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The Effect of Planting on the Volatility of Grain Futures Prices
David A. Hennessy and Thomas I. Wahl
Year: 1995
 

Abstract

Existing literature on commodity futures price volatility emphasizes time to expiration and the resolution of uncertainty. This paper stresses the supply and demand infexibilities arising from decision making. A decision made on the supply (demand) si

 
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Pre-harvest Hedging Behavior and Market Timing Performance of Private Market Advisory Services
Joae Martines-Filho and Scott H. Irwin
Year: 1995
 

Abstract

Market advisory services are one the major providers of marketing information to agricultural producers. However, limited objective evidence exists regarding the hedging behavior and value of marketing information provided by these firms. .In this study,

 
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Robust Risk Management Strategies for U.S. Hard Red Winter Wheat Producers
Brian D. Adam and Kim Anderson
Year: 1995
 

Abstract

Harvest-time marketing strategies are analyzed for hard red winter wheat producers. A total of 6,561 strategies are considered, including purchases and sales of put and call options and futures contracts, as well as cash market and storage activitest. The

 
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The Performances of Probability-Based Grain Marketing Strategies
Daniel O'Brien and Robert Wisner
Year: 1995
 

Abstract

The performances of probability-based corn marketing strategies are compared for alternative corn price forecast probability information sources for the 1992-1994 time period. Price forecast probability information from Extension grain price forecasts, gr

 
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The Development of Index Futures Contracts for Fresh Fruits and Vegetables
Mark R. Manfredo, James D. Libbin, and Lowell B. Catlett
Year: 1995
 

Abstract

The fruit and vegetable industry does not have a risk management instrument or a wellstructured price discovery system, such as commodity futures contracts, to aid in the marketing and management of its price risk. Since the 1980s, financial futures contr

 
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The Hedging Effectiveness of Rough Rice Futures
Kye Ryong Lee, Marvin L. Hayenga, and Sergio H. Lence
Year: 1995
 

Abstract

The potential effectiveness of the thinly traded rough rice futures market in price risk minimizing hedging is evaluated for milled rice in four states, and for rough rice in Arkansas. Both unconditional and conditional hedge ratios are estimated via regr

 
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Meatpacker Conduct in Fed Cattle Pricing: Multiple-Market Oligopsony Power
Stephen R. Koontz and Philip Garcia
Year: 1995
 

Abstract

The exercise of market power in multiple geographic fed cattle markets is measured with an econometric model which links behavior of the margin between boxed beef and regional fed cattle prices to an economic model of oligopsony conduct in multiple market

 
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An Econometric Model for Forecasting the Manufacturing Grade Price of Milk in U.S. Markets
Ken Bailey and Steve Gallivan
Year: 1995
 

Abstract

The object of this paper is to develop a forecasting tool that will accurately predict the M-W price series. The model reflects the Secretary's final decision for the new M-W estimate which consists of the base month M-W lagged one month plus an update p

 
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An Analysis of the Frequency of Marketing by Kansas Crop Producers
Barry K. Goodwin and Terry L. Kastens
Year: 1995
 

Abstract

This study evaluates the frequency of marketing for a sample of 572 Kansas crop producers. The frequency of marketing is an important dimension of marketing practices that has received little empirical attention. At its most fundamental level, the frequen

 
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Ex Ante Basis Risk in the Live Hog Futures Contract: Has Hedgers' Risk Increased?
Phil Garcia and Dwight R. Sanders
Year: 1995
 

Abstract

Basis behavior has a direct affect on hedging and pricing decisions. Here, ex ante basis risk for selected live hog cash markets is analyzed from 1985 through 1994. Econometric, time series, and naive (three year average) models are used to forecast a nea

 
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An Analysis of Trader Activity During Limit-Move Events in Live Cattle Futures
Rob Murphy and Wayne Purcell
Year: 1995
 

Abstract

Price limits in futures markets can inhibit discovery of the market-clearing equilibrium price. This study examines the price discovery contribution of six broad groups of traders during limit-move events in live cattle futures. A quantitative measure of

 
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