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Implications of Growing Biofuels Demands on Northeast Livestock Feed Costs
Todd M. Schmit, Leslie Verteramo,and William G. Tomek
Year: 2008
 

Abstract

The relationship between complete-feed prices and commodity feedstock prices are estimated to analyze the effect of higher commodity prices on feed costs, with particular attention towards the price effects and substitutability of corn distillers dried

 
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Do Farmers Hedge Optimally or by Habit? A Bayesian Partial-Adjustment Model of Farmer Hedging
Jeffrey H. Dorfman and Berna Karali
Year: 2008
 

Abstract

Hedging is one of the most important risk management decisions that farmers make and has a potentially large role in the level of profit eventually earned from farming. Using panel data from a survey of Georgia farmers that recorded their hedging decision

 
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Wheat Variety Selection: An Application of Portfolio Theory to Improve Returns
Andrew Barkley and Hikaru Hanawa Peterson
Year: 2008
 

Abstract

This presentation will report results of research that shows that a portfolio of wheat varieties can enhance profitability and reduce risk over the selection of a single variety. Many Kansas wheat farmers select varieties based on average yield. This stud

 
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Do Transaction Costs and Risk Preferences Influence Marketing Arrangements in the Illinois Hog Industry?
Jason R.V. Franken, Joost M.E. Pennings and Philip Garcia
Year: 2008
 

Abstract

Studies of hog industry structure often invoke risk reduction and transaction costs explanations for empirical observations but fail to directly examine the core concepts of risk behavior and transaction costs theories. Using a more unified conceptual f

 
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Hay Price Forecasts at the State Level
Matthew A. Diersen
Year: 2008
 

Abstract

Higher prices for major crops (e.g., corn, soybeans and wheat) have received considerable attention by analysts, researchers, and producers. A common perception is that acres can be readily bid away from other crops to quickly return to equilibrium pric

 
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Can Real Option Value Explain Why Producers Appear to Store Too Long?
Hyun Seok Kim and B. Wade Brorsen
Year: 2008
 

Abstract

Previous studies suggest that producers tend to store crops longer than makes economic sense. Since decisions to sell are irreversible, there can be a real option value from waiting to sell grain. This real option value may explain why producers appear

 
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A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis
Rico Ihle and Stephan von Cramon-Taubadel
Year: 2008
 

Abstract

We compare two regime-dependent econometric models for price transmission analysis, namely the threshold vector error correction model and Markov-switching vector error correction model. We first provide a detailed characterization of each of the models

 
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Hedge Effectiveness Forecasting
Roger A. Dahlgran and Xudong Ma
Year: 2008
 

Abstract

This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally over

 
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Dynamic Decision Making in Agricultural Futures and Options Markets
Fabio Mattos, Philip Garcia and Joost M. E. Pennings
Year: 2008
 

Abstract

This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets. Analysis of trading records of 12 traders identified considerable heterogeneity in individual dynamic trading behavior. Using risk measures d

 
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On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis
Gabriel J. Power and Calum G. Turvey
Year: 2008
 

Abstract

Both prices and the volatility of storable agricultural commodity futures contracts have been rising since 2005 and particularly since 2007. This paper aims to answer two principal questions: (i) How has the behavior of these futures prices over time a

 
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The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model
Gabriel J. Power and Dmitry V. Vedenov
Year: 2008
 

Abstract

Commodity cash and futures prices have been rising steadily since 2006. As evidenced by the April 2008 Commodity Futures Trading Commission Agricultural Forum, there is much concern among traditional futures and options market participants that the use

 
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Impacts of government risk management policies on hedging in futures and options:LPM2 hedge model vs. EU hedge model
Rui (Carolyn) Zhang, Jack E. Houston, Dmitry V. Vedenov, and Barry J. Barnett
Year: 2008
 

Abstract

The main objective of this study is to compare the impacts of government payments and crop insurance policies on the use of futures and options measured from a downside risk hedge model with the impacts analyzed by the expected utility (EU) hedge model. U

 
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Cash Settlement of Lean Hog Futures Contracts Reexamined
Julieta Frank, Miguel I. Gómez, Eugene Kunda and Philip Garcia
Year: 2008
 

Abstract

In 1997 the Chicago Mercantile Exchange replaced its live hog futures contract with a cash settlement mechanism based on a Lean Hog Index. Although cash settlement was expected to increase the use of the contract as a hedging tool, producers and packers a

 
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Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects
Berna Karali and Walter N. Thurman
Year: 2008
 

Abstract

Most financial asset returns exhibit volatility persistence. We investigate this phenomenon in the context of daily returns in commodity futures markets. We show that the time gap between the arrival of news to the markets and the delivery time of futures

 
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Market Depth in Lean Hog and Live Cattle Futures Markets
Julieta Frank and Philip Garcia
Year: 2008
 

Abstract

Liquidity costs in futures markets are not observed directly because bids and offers occur in an open outcry pit and are not recorded. Traditional estimation of these costs has focused on bidask spreads using transaction prices. However, the bid-ask sprea

 
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The Adequacy of Speculation in Agricultural Futures Markets:Too Much of a Good Thing?
Dwight R. Sanders, Scott H. Irwin, and Robert P. Merrin
Year: 2008
 

Abstract

Long-only commodity index funds have been blamed by other futures market participants for inflating commodity prices, increasing market volatility, and distorting historical price relationships. Much of this criticism is leveled without any formal empiric

 
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Hedging Effectiveness around USDA Crop Reports
Andrew McKenzie and Navinderpal Singh
Year: 2008
 

Abstract

It is well documented that “unanticipated” information contained in USDA crop reports induces large price reactions in corn and soybean markets. Thus, a natural question that arises from this literature is: To what extent are futures hedges able to remove

 
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Assessing the Value of Coordinated Sire Genetics in a Synchronized AI Program
Joe Parcell, Daniel Schaefer, Dave Patterson, Mike John, Monty Kerley, and Kent Haden
Year: 2008
 

Abstract

Synchronized artificial insemination was used to inseminate cows using different types of sire genetics, including low-accuracy, calving-ease, and high-accuracy. These three calf sire groups were compared to calves born to cows bred using natural service.

 
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How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market
Evelyn V. Colino, Scott H. Irwin and Philip Garcia
Year: 2008
 

Abstract

This study investigates the predictability of outlook hog price forecasts released by Iowa State University relative to alternative market and time-series forecasts. The findings suggest that predictive performance of the outlook hog price forecasts can b

 
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Hedging in Presence of Market Access Risk
Glynn T. Tonsor
Year: 2008
 

Abstract

Existing literature predominantly assumes perfect knowledge of production methods when deriving optimal futures position hedging rules. This paper relaxes this assumption and recognizes situations where producers interested in hedging may not know the exa

 
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The Marketing Performance of Illinois and Kansas Wheat Farmers
Sarah N. Dietz, Nicole M. Aulerich, Scott H. Irwin, and Darrel L. Good.
Year: 2008
 

Abstract

The purpose of this paper is to investigate the marketing performance of wheat farmers in Illinois and Kansas over 1982-2004. The results show that farmer benchmark prices for wheat in Illinois and Kansas fall in the middle-third of the price range about

 
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Implication of Cotton Price Behavior on Market Integration
Yuanlong Ge, Holly H. Wang, and Sung K. Ahn
Year: 2008
 

Abstract

The cotton market in China is highly interactive with international markets, especially, the US market. The prices in these two markets can reveal important market relations. Investigating the data of futures prices from the New York Board of Trade (NYB

 
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Organic Premiums of U.S. Fresh Produce
Travis A. Smith, Biing-Hwan Lin, and Chung L. Huang
Year: 2008
 

Abstract

The study uses the 2005 Nielsen Homescan panel data to estimate price premiums and discounts associated with product attributes, market factors, and consumer characteristics, focusing on the organic attribute for 5 major fresh fruits and 5 major fresh v

 
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