NCCC-134
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Options Portfolios in the Presence of Non-Linear Risk
Kevin McNew
Year: 1996
 

Abstract

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

 
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Noise Trader Demand in Commodity Futures Markets
Dwight R. Sanders, Scott H. Irwin, and Raymond M. Leuthold
Year: 1996
 

Abstract

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

 
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The Potential Inefficiency of Using Marketing Margins in Applied Commodity Price Analysis, Forecasting, and Risk Management
Frank M. Han and Garth J. Holloway
Year: 1996
 

Abstract

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

 
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An Empirical Examination of the Role of Trading Volume in Futures Markets
Li Yang and Raymond M. Leuthold
Year: 1996
 

Abstract

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

 
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Wheat Futures Price Behavior: Theoretical and Empirical Considerations
Dawn D. Thilmany, Jau-Rong Li, and Christopher B. Barrett
Year: 1996
 

Abstract

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

 
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Volatility Based Tests for Informational Efficiency on Commodity Options Markets
Robert J. Myers, Steven D. Hanson, Jing-Yi Lai, and Hong Wang
Year: 1996
 

Abstract

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

 
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Commodity Futures Market Reaction to Anticipated Public Reports: Frozen Pork Bellies
Li Yang
Year: 1996
 

Abstract

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

 
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Price Discovery Role of Futures Prices: A Linear Feedback Approach
Samarendu Mohanty, Darnell B. Smith, and E. Wesley F. Peterson
Year: 1996
 

Abstract

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

 
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Evaluation of Extension and USDA Price and Production Forecasts
Terry L. Kastens, Ted C. Schroeder, and Ron Plain
Year: 1996
 

Abstract

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

 
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Spatial Price Analysis: A Methodological Review
Paul L. Fackler
Year: 1996
 

Abstract

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

 
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Determination of Base Payments for Feeder Pig Producers and Finishers
Joseph L. Parcell and Michael R. Langemeier
Year: 1996
 

Abstract

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

 
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Effects of Reduced Government Deficiency Payments on Post-Harvest Marketing Strategies
Steven Betts, Brian D. Adam, and B. Wade Brorsen
Year: 1996
 

Abstract

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

 
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Optimal On-Farm Storage
Paul L. Fackler and Michael J. Livingston
Year: 1996
 

Abstract

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

 
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Optimal Storage Decisions under Estimation and Prediction Risk
Tommie L. Shepherd and Jeffrey H. Dorfman
Year: 1996
 

Abstract

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

 
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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
Year: 1996
 

Abstract

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

 
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Farmers' Use of Normal Flex Acres: A Glimpse of the Future
Brian Willott, Gary Adams, Robert Young, and Abner Womack
Year: 1996
 

Abstract

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

 
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Textile Market Valuation of Cotton Quality Attributes
Changping Chen and Don E. Ethridge
Year: 1996
 

Abstract

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

 
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The Influence of IRS Tax Policy on Use of Livestock Cattle Futures and the Effectiveness of the Price Discovery Process
Wayne D. Purcell
Year: 1996
 

Abstract

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

 
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Short-Run Captive Supply Relationships with Fed Cattle Transaction Prices
Clement E. Ward, Stephen R. Koontz, and Ted C. Schroeder
Year: 1996
 

Abstract

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

 
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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
Year: 1996
 

Abstract

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

 
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Fed Cattle Geographic Market Delineation: Slaughter Plant and Firm Supply Response Analysis
Marvin Hayenga, Bingrong Jiang, and Donald D. Hook
Year: 1996
 

Abstract

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

 
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Fed Cattle Spatial Transaction Price Relationships
Ted C. Schroeder
Year: 1996
 

Abstract

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

 
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Arbitrage Costs Between Regional Fed-Cattle Markets
Stephen R. Koontz
Year: 1996
 

Abstract

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

 
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Sources of Economic Variability in Cattle Feeding
Rodney Jones, James Mintert, Michael Langemeier, Ted Schroeder, and Martin Albright
Year: 1996
 

Abstract

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

 
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Improving Monthly Fed Cattle Forecasts with Information on Market-Ready Inventory
Kendall L. McDaniel and Stephen R. Koontz
Year: 1996
 

Abstract

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

 
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An Economic Analysis of U.S. Broiler Industry: A Structural Bayesian VAR Approach
Chandrashekar Karnum, Christopher McIntosh, and Timothy Park
Year: 1996
 

Abstract

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

 
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A Reappraisal of the Forecasting Performance of Corn and Soybean New Crop Futures
Carl Zulauf, Scott H. Irwin, Jason Ropp, and Anthony Sberna
Year: 1996
 

Abstract

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

 
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An Analysis of the Performance of the Diammonium Phosphate Futures Contract
Keith Bollman, Sarahelen Thompson, and Philip Garcia
Year: 1996
 

Abstract

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

 
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Evaluating the Hedging Potential of the Lean Hog Futures Contract
Mark W. Ditsch and Raymond M. Leuthold
Year: 1996
 

Abstract

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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