NCCC-134
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Contracting, Captive Supplies, and Price Behavior
Ming-Chin Chin and Robert D. Weaver
Year: 2002
 

Abstract

Theoretical and simulation results clarify the role of procurement contracting in determining spot price levels and volatility. A generic model determines market share across quality. Actual supply is specified as price dependent and stochastic. Simulatio

 
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An Evaluation of Crop Forecast Accuracy for Corn And Soybeans: USDA and Private Information Services
T. M. Egelkraut, P. Garcia, S. H. Irwin, and D. L. Good
Year: 2002
 

Abstract

Using 1971-2000 data, we examine the accuracy of corn and soybean production forecasts provided by the USDA and two private services. All agencies improved their forecasts as the harvest progressed, and forecast errors across the agencies were highly corr

 
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Inventory and Transformation Risk in Soybean Processing
Roger A. Dahlgran
Year: 2002
 

Abstract

This study examines strategies for hedging processing operations generally and uses soybean processing as a specific example. The approach assumes a mean-variance utility function but because of the focus on hedging, the analysis concentrates on risk mini

 
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Assessing the Cost of Beef Quality
Cody Forristall, Gary J. May, and John D. Lawrence
Year: 2002
 

Abstract

The number of U.S. fed cattle marketed through a value based or grid marketing system is increasing dramatically. Most grids reward Choice or better quality grades and some pay premiums for red meat yield. The Choice-Select (C-S) price spread increased 55

 
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Risk Aversion, Uncertainty Aversion, and Variation Aversion in Applied Commodity Price Analysis
Darren L. Frechette and Fang-I Wen
Year: 2002
 

Abstract

Standard models of hedging behavior assume that either hedgers wish to minimize net price variation or they wish to balance variation versus profits. These models treat variation as risk and fail to distinguish between variation that is random and variati

 
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Cattle Feeder Perceptions of Livestock Mandatory Price Reporting
Sarah Grunewald, Ted Schroeder, and Clement E. Ward
Year: 2002
 

Abstract

Because of the significant investment in the mandatory price reporting program (MPR) by the USDA and by packers, it is important to understand what producers believe about its effectiveness. This study reports results from a survey of feedyards located pr

 
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Causality and Price Discovery: An Application of Directed Acyclic Graphs
Michael S. Haigh and David A. Bessler
Year: 2002
 

Abstract

Directed Acyclic Graphs (DAG's) and Error Correction Models (ECM's) are employed to analyze questions of price discovery between spatially separated commodity markets and the transportation market linking them together. Results from our analysis suggest t

 
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Hedging Price Risk in the Presence of Crop Yield and Revenue Insurance
Olivier Mahul
Year: 2002
 

Abstract

The demand for hedging against price uncertainty in the presence of crop yield and revenue insurance contracts is examined for French wheat farms. The rationale for the use of options in addition to futures is first highlighted through the characterizatio

 
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Can Structural Change Explain the Decrease in Returns to Technical Analysis?
Willis V. Kidd and B. Wade Brorsen
Year: 2002
 

Abstract

Returns to managed futures funds and Commodity Trading Advisors (CTAs) have decreased dramatically during the last several years. Since these funds overwhelmingly use technical analysis, this research examines futures prices to determine if there is evide

 
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The Information Content of Implied Volatility from Options on Agricultural Futures Contracts
Mark R. Manfredo and Dwight R. Sanders
Year: 2002
 

Abstract

Agricultural risk managers need forecasts of price volatility that are accurate and meaningful. This is especially true given the greater emphasis on firm level risk measurement and management (e.g., Value-at-Risk and Enterprise Risk Management). Implied

 
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A Decision Model to Assess Cattle Feeding Price Risk
Gary J. May and John D. Lawrence
Year: 2002
 

Abstract

Traditional break-even/fed cattle price projections do not provide adequate risk information to feeders, investors, lenders, and other stakeholders interested in cattle feeding decisions. The objectives of this study were two-fold: 1) develop a spreadshee

 
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Dynamic Risk Management Under Credit Constraints
Gerald G. Nyambane, Steve D. Hanson, Robert J. Myers, and Roy J. Black
Year: 2002
 

Abstract

The vast majority of previous studies on farmers' optimal risk management behavior have used static models and on the most part ignored use of borrowing and lending as an alternative method of managing risk In this paper we develop a stylized multi-period

 
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Weather Derivatives: Managing Risk with Market-Based Instruments
Timothy J. Richards, Mark R. Manfredo, and Dwight R. Sanders
Year: 2002
 

Abstract

Accurate pricing of weather derivatives is critically dependent upon correct specification of the underlying weather process. We test among six likely alternative processes using maximum likelihood methods and data from the Fresno, CA weather station. Usi

 
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Emerging IP Markets: The Tokyo Grain Exchange Non-GMO Soybean Contract
Joe L. Parcell
Year: 2002
 

Abstract

This research provides an overview of the development of the Tokyo Grain Exchange non-GMO soybean contract as an identity preserved futures contract. The development of this contract is unique, relative to the development of other new futures contracts, i

 
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Modeling Contract Form: An Examination of Cash Settled Futures
Dwight R. Sanders and Mark R. Manfredo
Year: 2002
 

Abstract

This research presents an intuitive interpretation and expression for pricing cash settled futures contracts. In particular, the choice of the averaging period for the underlying cash index is evaluated. For example, the averaging period for the Lean Hog

 
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Hedging Spot Corn: An Examination of the Minneapolis Grain Exchange’s Cash Settled Corn Contract
Dwight R. Sanders and Tracy D. Greer
Year: 2002
 

Abstract

This research examines the potential basis behavior and hedging effectiveness for the Minneapolis Grain Exchange's (MGE) cash settled corn contract. MGE futures cash settle to the National Corn Index (NCI) calculated by Data Transmission Network (DTN). Fo

 
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Pricing and Hedging European Options on Futures Spreads Using the Bachelier Spread Option Model
Matthew P. Schaefer
Year: 2002
 

Abstract

The Bachelier model for pricing options on futures spreads (OFS) assumes changes in the underlying .futures prices and spread follow unrestricted arithmetic Brownian motion (UABM). The assumption of UABM allows for a convenient analytic solution for the p

 
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A User's Guide to Understanding Basis and Basis Behavior In Multiple Component Federal Order Milk Markets
Cameron Thraen
Year: 2002
 

Abstract

What are the general ideas behind a futures contract price and the concept of the Basis calculation? The Class 3 milk futures contract traded at the Chicago Mercantile present opportunities for you to forward price your milk if your milk is pooled in a mu

 
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Actual Farmer Market Timing
B. Wade Brorsen and Kim B. Anderson
Year: 2002
 

Abstract

One maxim that has been circulating among farmers is that most farmers sell in the lower third of the market. This maxim is soundly rejected using data from Oklahoma elevators. In fact, roughly half of producers sell in the upper third of the market. Thus

 
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Non-expected Utility Theories: Weighted Expected, Rank Dependent, and, Cumulative Prospect Theory Utility
Jonathan Tuthill and Darren Frechette
Year: 2002
 

Abstract

This paper discusses some of the failings of expected utility including the Allais paradox and expected utility's inadequate one dimensional characterization of risk. Three alternatives to expected utility are discussed at length; weighted expected utilit

 
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Can Structural Change Explain the Decrease in Returns to Technical Analysis?
Willis V. Kidd and B. Wade Brorsen
Year: 2002
 

Abstract

Returns to managed futures funds and Commodity Trading Advisors (CTAs) have decreased dramatically during the last several years. Since these funds overwhelmingly use technical analysis, this research examines futures prices to determine if there is evide

 
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Bovine Spongiform Encephalopathy (BSE): Risks and Implications for the United States
John A. Fox and Hikaru Hanawa Peterson
Year: 2002
 

Abstract

Mad cow disease has caused two disruptions in European beef markets--first in the U.K. in 1996 following the announcement of a link to new variant Creutzfeldt-Jacob Disease in humans, and the second in late 2000 following the discovery of "homegrown" case

 
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Option Pricing on Renewable Commodity Markets
Sergio H. Lence and Dermot Hayes
Year: 2002
 

Abstract

The paper motivates and proposes a closed form option pricing model for markets such as grains or livestock where the price level can be expected to revert to expected production costs. The model suggests that traditional option pricing models will overpr

 
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