NCCC-134
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Structural Econometric Models: Past and Future (with Special Reference to Agricultural Economics Applications)
William G. Tomek
Year: 1998
 

Abstract

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

 
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Futures Spread Risk in Soybean Hedge-to-Arrive Contracts
E. Neal Blue, Marvin Hayenga, Sergio Lence, and E. Dean Baldwin
Year: 1998
 

Abstract

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

 
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Design and Evaluation of Long Term Commodity Pricing Contracts
James Unterschultz, Frank Novak, and Stephen Koontz
Year: 1998
 

Abstract

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

 
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Forecasting Crop Basis: Practical Alternatives
Kevin C. Dhuyvetter and Terry L. Kastens
Year: 1998
 

Abstract

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

 
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Post-harvest Grain Marketing with Efficient Futures
Terry L. Kastens and Kevin C. Dhuyvetter
Year: 1998
 

Abstract

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

 
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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
Year: 1998
 

Abstract

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

 
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The Effect of Crop or Revenue Insurance on Optimal Hedging
Keith H. Coble and Richard Heifner
Year: 1998
 

Abstract

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

 
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Innovative Hedging and Financial Services: Using Price Protection to Enhance the Availability of Agricultural Credit
Francesco Braga and Brian Gear
Year: 1998
 

Abstract

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

 
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Heterogeneous Subjective Moments and Price Dynamics
Darren L. Frechette and Robert D. Weaver
Year: 1998
 

Abstract

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

 
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Spectral Analysis of Asymmetric Price Transmission in the U.S. Pork Market
Douglas J. Miller and Marvin L. Hayenga
Year: 1998
 

Abstract

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

 
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Income Taxes and Price Variability in Storable Commodity Markets
Kevin McNew and Bruce Gardner
Year: 1998
 

Abstract

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

 
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Evaluating Potential Changes in Price Reporting Accuracy
Clement E. Ward and Seung-Churl Choi
Year: 1998
 

Abstract

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

 
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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
Year: 1998
 

Abstract

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

 
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Trends in the Accuracy of USDA Production Forecasts for Beef and Pork
DeeVon Bailey and B. Wade Brorsen
Year: 1998
 

Abstract

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

 
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Cattle Basis Risk and Grid Pricing
Jennifer L. Graff and Ted C. Schroeder
Year: 1998
 

Abstract

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

 
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Economic Implications of Show List, Pen Level, and Individual Animal Pricing of Fed Cattle
Dillon M. Feuz
Year: 1998
 

Abstract

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

 
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Can the Grain Marketing System Provide Sufficient Quality Incentives to Producers?
Wes Elliot, Brian D. Adam, Phil Kenkel, and Kim Anderson
Year: 1998
 

Abstract

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

 
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Risk and Expected Returns in Cattle Feeding
Frederick A. Hampel, Ted C. Schroeder, and Terry L. Kastens
Year: 1998
 

Abstract

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

 
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Risk Measurement and Supply Response in the Soybean Complex
Matthew A. Diersen and Philip Garcia
Year: 1998
 

Abstract

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

 
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Agricultural Applications of Value-at-Risk Analysis: A Perspective
Mark R. Manfredo and Raymond M. Leuthold
Year: 1998
 

Abstract

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

 
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A Preview of the Usefulness of Placement Weight Data
Bailey Norwood and Ted C. Schroeder
Year: 1998
 

Abstract

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

 
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Forecast Evaluation: A Likelihood Scoring Method
Matthew A. Diersen and Mark R. Manfredo
Year: 1998
 

Abstract

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

 
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Performance Persistence for Managed Futures
B. Wade Broersen and John Townsend
Year: 1998
 

Abstract

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

 
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Compatibility of Government Guarantees with Flexibility in Canadian Wheat Price Pooling
James Unterschultz and Frank Novak
Year: 1998
 

Abstract

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

 
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The Emerging Futures Market for Cheddar Cheese: A Mechanism for Stability or Increased Spot-Price Volatility?
Cameron S. Thraen
Year: 1998
 

Abstract

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

 
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Producers' Marketing Practices and Decision Making Processes
James Sartwelle III, Daniel O'Brien, William Tierney, Tim Eggers, Robert Wisner, John Lawrence, and Walter Barker
Year: 1998
 

Abstract

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

 
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Perceptions of Marketing Efficiency and Strategies: Research vs. Extension Marketing Economists
Joe Parcell, Ted Schroeder, Terry Kastens, and Kevin Dhuyvetter
Year: 1998
 

Abstract

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

 
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