NCCC-134
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Do Agricultural Market Advisory Services Beat the Market?
Scott H. Irwin, Thomas E. Jackson, and Darrel L. Good
Year: 1999
 

Abstract

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

 
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Corporate Risk Management and the Role of Value-at-Risk
Dwight R. Sanders and Mark R. Manfredo
Year: 1999
 

Abstract

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

 
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Accuracy of USDA Fed Cattle Price Reporting: Is Mandatory Price Reporting Needed?
Stephen R. Koontz
Year: 1999
 

Abstract

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

 
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Who Will Pay for Guaranteed Tender Steak?
Jayson Lusk, John Fox, Ted Schroeder, James Mintert, and Mohammad Koohmaraie
Year: 1999
 

Abstract

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

 
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Short-Term Variability in Grid Prices for Fed Cattle
Clement E. Ward and Jong-In Lee
Year: 1999
 

Abstract

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

 
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Identifying and Managing Economic Risk in Cattle Feeding
Darrell R. Mark, Rodney Jones, and Ted C. Schroeder
Year: 1999
 

Abstract

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

 
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Feeder Cattle Price Slides
B. Wade Brorsen, Nouhoun Coulibaly, Francisca G. C. Richter, and DeeVon Bailey
Year: 1999
 

Abstract

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

 
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Determinants of Replacement Heifer Price Differentials
Vern Pierce, Joe Parcell, and Richard Randle
Year: 1999
 

Abstract

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

 
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Evaluating Forecast Accuracy of Cattle on Feed Pre-Release Estimates
Kevin Dhuyvetter and Ted Schroeder
Year: 1999
 

Abstract

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.

 
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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
Year: 1999
 

Abstract

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

 
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The Term Structure of Uncertainty Implied by Option Premia
John A. Shaffer and Bruce J. Sherrick
Year: 1999
 

Abstract

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

 
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Evidence of Farmer Forward Pricing Behavior
Kevin McNew and Wesley Musser
Year: 1999
 

Abstract

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

 
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Forecasting Crop Yields and Condition Indices
Paul L. Fackler and Bailey Norwood
Year: 1999
 

Abstract

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

 
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A Calendar Spread Trading Simulation of Seasonal Processing Spreads
Christine A. Cole, Terry L. Kastens, Frederick A. Hampel, and Laura R. Gow
Year: 1999
 

Abstract

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

 
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Why Don't Country Elevators Pay More for High Quality Wheat? The Effects of Risk Information
Brian D. Adam and Sueng Jee Hong
Year: 1999
 

Abstract

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

 
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Volatility Models for Commodity Markets
Paul L. Fackler and Yanjun Tian
Year: 1999
 

Abstract

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

 
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Price Volatility in Dairy Markets: A Story of Stocks?
Rob Weaver and William Natcher
Year: 1999
 

Abstract

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

 
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Commodity Futures Contract Viability: A Multidisciplinary Approach
Joost M. E. Pennings and Raymond M. Leuthold
Year: 1999
 

Abstract

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

 
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Payoffs to Farm Management: How Important is Grain Marketing?
Heather Nivens and Terry L. Kastens
Year: 1999
 

Abstract

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

 
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Testing the Possibility of Private Crop Insurance and Reinsurance Markets
H. Holly Wang, Joseph L. Krogmeier, and Bingfan Ke
Year: 1999
 

Abstract

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

 
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Forecasting performance of Storable and Non-Storable Commodities
Scott Daniel, Ted Schroeder, and Kevin Dhuyvetter
Year: 1999
 

Abstract

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

 
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Post-Harvest Grain Storing and Hedging with Efficient Futures
Terry L. Kastens and Kevin Dhuyvetter
Year: 1999
 

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 unhedged and hedged grain storage

 
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Modeling Ex Ante Price Expectations within the U.S. Broiler Market
Andrew McKenzie and Matthew T. Holt
Year: 1999
 

Abstract

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

 
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Hog Profit Margin Hedging: A Long-Term Out-of-Sample Evaluation
Gary D. Kee and David E. Kenyon
Year: 1999
 

Abstract

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

 
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Agricultural Economists' Effectiveness in Reporting and Conveying Research Procedures and Results
Joe L. Parcell, Terry L. Kastens, Kevin C. Dhuyvetter, and Ted C. Schroeder
Year: 1999
 

Abstract

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

 
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They Trade Shrimp in Minneapolis? An Examination of the MGE White Shrimp Futures Contract
Dwight R. Sanders and Joost M. E. Pennings
Year: 1999
 

Abstract

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 (

 
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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
Year: 1999
 

Abstract

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

 
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Bankers' Forecasts of Farmland Value
Ted Covey
Year: 1999
 

Abstract

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

 
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