NCCC-134
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The Value of Deregulating Over-The-Counter Options
Darren L. Frechette and Jason A. Novak
Year: 2001
 

Abstract

Hedgers located far from organized commodity exchanges suffer the mismatch between their local prices and exchange prices. Futures and options traded on the exchange may still be valuable to distant hedgers but only to the extent that basis risk is small.

 
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USDA Production Forecasts for Pork, Beef, and Broilers: A Further Evaluation
Dwight R. Sanders and Mark R. Manfredo
Year: 2001
 

Abstract

This paper examines USDA one-step ahead forecasts of quarterly beef, pork, and poultry production. The forecasts are evaluated based on traditional criteria for optimality—efficiency and unbiasedness—as well as their performance versus an univariate time

 
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Underpinnings for Prospective, Net Revenue Forecasting in Hog Finishing: Characterizing the Joint Distribution of Corn, Soybean Meal and Lean Hogs Time Series
Renyuan Shao and Brian Roe
Year: 2001
 

Abstract

This research focuses on developing a biannual net revenue forecasting model for hog producers based on Monte Carlo simulation of the joint distribution of hog, corn and soybean meal price series. The relative forecasting power of historical volatility, i

 
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Income Enhancing and Risk Management Properties of Marketing Practices
Hikaru Hanawa Peterson and William G. Tomek
Year: 2001
 

Abstract

A rational expectations storage model is used to simulate monthly corn prices, which are used to evaluate marketing strategies to manage price risk. The data are generated and analyzed in two formats: for long-run outcomes over 10,000 “years” of monthly

 
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Forecasting and Hedging Crop Input Prices
Kevin C. Dhuyvetter, Martin Albright, and Joseph L. Parcell
Year: 2001
 

Abstract

Agricultural producers and input suppliers have to make management decisions based on forecasts all the time, however, most available forecasts are for outputs (e.g., grain and livestock). Research has shown that one of the most important determinants of

 
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Emerging Issues and Challenges in Applied Commodity Price Analysis
Marvin L. Hayenga
Year: 2001
 

Abstract

This organization (NCR-134) began 20 years ago to serve as a meeting ground for applied commodity price analysts in academic, business and government positions. The primary objective was to foster interaction, and discuss recent applied research and exten

 
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Factors Affecting Hedging Decisions Using Evidence from the Cotton Industry
Olga Isengildina and M. Darren Hudson
Year: 2001
 

Abstract

Few farmers utilize futures and options markets to price their crops despite significant educational efforts. This study seeks to analyze producer hedging behavior within the framework of the overall marketing behavior. Producer marketing behavior is mode

 
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Will Mandatory Price Reporting Improve Pricing and Production Efficiency in an Experimental Market for Fed Cattle?
Chris T. Bastian, Stephen R. Koontz, and Dale J. Menkhaus
Year: 2001
 

Abstract

Mandatory price reporting legislation will make available to the public on a weekly basis information on terms of trade for forward contracts. The new information will provide marketing intentions details that were previously unavailable to agents in the

 
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Why Don’t Country Elevators Pay Less for Low Quality Wheat? Information, Producer Preferences and Prospect Theory
Brian D. Adam and Seung Jee Hong
Year: 2001
 

Abstract

Previous research found that country elevators that are the first in their area to grade wheat and pay quality-adjusted prices would receive above-normal profits at the expense of their competitors. Because of spatial monopsony, these early-adopting eleva

 
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Unobserved Heterogeneity: Evidence and Implications for SMEs’ Hedging Behavior
Joost M.E. Pennings and Philip Garcia
Year: 2001
 

Abstract

Financial research indicates that several firm characteristics are related to the use of derivatives. Less attention has been paid to the role of the characteristics of managers, which are particularly important when studying derivative usage of small and

 
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Model Selection Criteria Using Likelihood Functions and Out-of-Sample Performance
Bailey Norwood, Peyton Ferrier, and Jayson Lusk
Year: 2001
 

Abstract

Model selection is often conducted by ranking models by their out-of-sample forecast error. Such criteria only incorporate information about the expected value, whereas models usually describe the entire probability distribution. Hence, researchers may

 
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Implications of Behavioral Finance for Farmer Marketing Strategy Recommendation
B. Wade Brorsen and Kim B. Anderson
Year: 2001
 

Abstract

Behavioral finance is a relatively new field of inquiry that may help better understand farmer marketing. The theory argues that people tend to make certain psychological biases that cause them to not be fully rational in an economic sense. For example, p

 
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Local Polynomial Kernel Forecasts and Management of Price Risks using Futures Markets
MinKyoung Kim, Raymond M. Leuthold and Philip Garcia
Year: 2001
 

Abstract

This study contributes to understanding price risk management through hedging strategies in a forecasting context. A relatively new forecasting method, nonparametric local polynomial kernel (LPK), is used and applied to the hog sector. The selective multi

 
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Estimating Actual Bid-Ask Spreads in Commodity Futures Markets
Henry L. Bryant and Michael S. Haigh
Year: 2001
 

Abstract

Various bid-ask spread estimators are applied to transaction data from LIFFE cocoa and coffee futures markets, and the resulting estimates are compared to observed actual bid-ask spreads. Results suggest that actual bid-ask spreads, which are not reported

 
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The Role of the Bid-Ask Spread in a Dynamic–Time-Varying Optimal Hedging Model
Michael S. Haigh
Year: 2001
 

Abstract

This paper presents a manageable and effective way of nesting two popular, yet distinct approaches to obtain optimal hedging ratios – time-series econometrics (GARCH) and dynamic programming (DP). The nested DP-GARCH model is then compared to a DP-GARCH m

 
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Modeling Soybean Prices in a Changing Policy Environment
Barry K. Goodwin, Randy Schnepf, and Erik Dohlman
Year: 2001
 

Abstract

The oilseed products complex is an important component of the U.S. agricultural sector. In 2000, almost 75 million acres were planted to soybeans, representing over 29 percent of total planted acreage, making soybeans second only to corn in terms of acrea

 
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Modeling Farmers’ Use of Market Advisory Services
Joost M.E. Pennings, Scott H. Irwin, and Darrel L. Good
Year: 2001
 

Abstract

In an effort to improve marketing of their products, many farmers use market advisory services (MAS). To date, there is only fragmented anecdotal information about how farmers actually use the recommendations of market advisory services in their marketing

 
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Hypothesis Testing Using Numerous Approximating Functional Forms
Bailey Norwood, Jayson Lusk, and Peyton Ferrier
Year: 2001
 

Abstract

While the combination of several or more models is often found to improve forecasts (Brandt and Bessler, Min and Zellner, Norwood and Schroeder), hypothesis tests are typically conducted using a single model approach 1 . Hypothesis tests and forecasts hav

 
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Consumer Panelist Behavior in Experimental Auctions: What Do We Learn from Their Bids?
Wendy J. Umberger and Dillon M. Feuz
Year: 2001
 

Abstract

Experimental economics procedures such as laboratory experimental auctions are increasingly being used to measure consumers’ willingness-to-pay. A sealed-bid, fourth-price Vickrey-style auction was used to measure consumers’ willingness-to-pay for flavor

 
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Market Inversion in Commodity Futures Prices
Byung-Sam Yoon and B. Wade Brorsen
Year: 2001
 

Abstract

As opposed to a normal market, an inverted market has a negative price of storage or spread. Market inversions in nearby spreads rarely occur during early months of the crop year since stocks are usually abundant after harvest. However, market inversions

 
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Evaluation Of Hedging in the Presence of Crop Insurance and Government Loan Programs
Manuel Zuniga, Keith H. Coble, and Richard Heifner
Year: 2001
 

Abstract

This research evaluates the interaction of new alternative insurance designs, forward pricing tools and the government revenue protection program while assuming a government loan program is in place. A numerical analysis is conducted using a revenue simul

 
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Crop Insurance Valuation under Alternative Yield Distributions
Fabio C. Zanini, Bruce J. Sherrick, Gary D. Schnitkey, and Scott H. Irwin
Year: 2001
 

Abstract

Considerable disagreement exists about the most appropriate characterization of farm-level yield distributions. Yet, the economic importance of alternate yield distribution specifications on insurance valuation, product designs and farm-level risk managem

 
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Market-making Behavior in Futures Markets
Holly Liu, Jeffrey Williams, and Oscar Jorda
Year: 2001
 

Abstract

This paper examines voluntary market-making behavior, namely scalping, in futures markets. Specifically, this paper studies what factors determine scalpers' entry and exit, and how scalping affects market liquidity and price volatility. The data used for

 
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Response to an Asymmetric Demand for Attributes: An Application to the Market for Genetically Modified Crops
Sergio Lence and Dermot Hayes
Year: 2001
 

Abstract

A framework is developed for examining the price and welfare effects of the introduction of genetically modified (GM) crops. In the short run, non-GM grain generally becomes another niche product. However, more profound market effects are observed under s

 
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The Value of USDA Outlook Information: An Investigation Using Event Study Analysis
Scott H. Irwin, Darrel L. Good, and Jennifer K. Gomez
Year: 2001
 

Abstract

The economic value of public situation and outlook information has long been a subject of debate. The purpose of this paper is to investigate the economic value of USDA WASDE reports in corn and soybean markets. The investigation is based on event stu

 
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