NCCC-134
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Price Discovery for Stocker Cattle Futures and Options
Matthew A. Diersen and Nicole L. Klein
Year: 2000
 

Abstract

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

 
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Hedging with Futures and Options: A Demand Systems Approach
Darren L. Frenchette
Year: 2000
 

Abstract

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

 
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Short-run Demand Relationships in the U.S. Fats and Oils Complex
Barry K. Goddwin, Daniel Harper, and Randy Schnepf
Year: 2000
 

Abstract

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

 
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Impact of alternative Grid Pricing Structures on Cattle Marketing Decisions
Heather C. Greer and James N. Trapp
Year: 2000
 

Abstract

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

 
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Price and Price Risk Dynamics in Barge and Ocean Freight Markets and the Effects on Commodity Trading
Michael S. Haigh and Henry L. Bryant
Year: 2000
 

Abstract

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

 
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Increasing the Accuracy of Option Pricing by Using Implied Parameters Related to Higher Moments
Dasheng Ji and B. Wade Brorsen
Year: 2000
 

Abstract

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

 
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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
Year: 2000
 

Abstract

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

 
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Returns to Market Timing and Sorting of Fed Cattle
Stephen R. Koontz, Dana L. Hoag, Jodine L. Walker, and John R. Brethour
Year: 2000
 

Abstract

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

 
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Effects of Meat Recalls on Futures Market Prices
Jayson L. Lusk and Ted C. Schroeder
Year: 2000
 

Abstract

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

 
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U.S. Farm Policy and the Variability of Commodity Prices and Farm Revenues
Sergio H. Lence and Dermot J. Hayes
Year: 2000
 

Abstract

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

 
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Using Satellite Imagery in Kansas Crop Yield and Net Farm Income Forecasts
Heather D. Nivens, Terry L. Kastens, and Kevin C. Dhuyvetter
Year: 2000
 

Abstract

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

 
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The Impact of the LDP on Corn and Soybean Basis in Missouri
Joe L. Parcell
Year: 2000
 

Abstract

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

 
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An Empirical Invertigation of Live Hog Demand
Joe L. Parcell, James Mintert, and Ron Plain
Year: 2000
 

Abstract

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

 
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Implications of Deflating Commodity Prices for Time-series Analysis
Hikaru Hanawa Peterson and William G. Tomek
Year: 2000
 

Abstract

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

 
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Does the CFTC Commitments of Traders Report Contain Useful Information?
Dwight R. Sanders and Keith Boris
Year: 2000
 

Abstract

The Commodity Futures Trading Commissionís 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 marketsí

 
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An Analysis of Factors Affecting the Regional Cotton Basis
V. Frederick Seamon and Kandice H. Kahl
Year: 2000
 

Abstract

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

 
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Weighted Expected Utility Hedge Ratios
Darren Frechette and Jonathan W. Tuthill
Year: 2000
 

Abstract

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

 
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The Effects of the Micro-market Structure on Illinois Elevator Spatial Corn Price Differentials
Benjamin P. Wenzel, Lowell Hill, and Philip Garcia
Year: 2000
 

Abstract

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

 
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Rollover Hedging
B. Sam Yoon and B. Wade Brorsen
Year: 2000
 

Abstract

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

 
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The Effects of Futures Trading by Large Hedge Funds and CTAS on Market Volatility
Bryce R. Holt and Scott H. Irwin
Year: 2000
 

Abstract

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

 
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Delivery Options in Futures Contracts and Basis Behavior at Contract Maturity
Jana Hranaiova
Year: 2000
 

Abstract

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

 
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Time-varying Multiproduct Hedge Ratio Estimation in the Soybean Complex: A Simplified Approach
Mark R. Manfredo, Philip Garcia, and Raymond M. Leuthold
Year: 2000
 

Abstract

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

 
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Impact Of Exports on the U.S. Beef Industry
Ed Van Eenoo, Everett Peterson, and Wayne Purcell
Year: 2000
 

Abstract

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

 
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