NCCC-134
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The Effect of Prior Gains and Losses on Current Risk-Taking Using Quantile Regression
Fabio Mattos and Philip Garcia
Year: 2009
 

Abstract

This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets using a quantile regression framework. Analysis of trading records of 12 traders suggests that there is great heterogeneity in individual trad

 
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Does Futures Price Volatility Differ Across Delivery Horizon?
Berna Karali, Jeffrey H. Dorfman, and Walter N. Thurman
Year: 2009
 

Abstract

We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via the smoothed Bayesian estimator of Karali, Dorfman, and Thurman (2010). We show that the futures price volatilities

 
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Evaluating the Dynamic Nature of Market Risk
Todd Hubbs, Todd H. Kuethe and Timothy G. Baker
Year: 2009
 

Abstract

This study examines the systematic risk present in major crops for the United States and three corn-belt states. An index of commodities is used in conjunction with cash receipts to generate dynamic estimates of the systematic risk for each crop and sta

 
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Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting
Lee Brittain, Philip Garcia, and Scott H. Irwin
Year: 2009
 

Abstract

The paper examines empirical returns from holding thirty- and ninety-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets. In both markets, implied volatility is an upwardly biased

 
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Price Volatility, Nonlinearity and Asymmetric Adjustments in Corn, Soybean and Cattle Markets: Implication of Ethanol-driven Shocks
Hernan A. Tejeda and Barry K. Goodwin
Year: 2009
 

Abstract

Grain prices have risen sharply since 2005 and 2006 affecting livestock markets by increasing feed prices and leading to significant volatility shocks. The high price levels and magnitude of sustained high volatilities has raised concerns for many sectors

 
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Grain Futures Markets: What Have They Learned?
Joseph M. Santos
Year: 2009
 

Abstract

Taken together, studies that examine how well commodity futures markets perform find that risk premiums are common—and so unbiasedness is not—and markets are not uniformly efficient across commodities or forecast horizons. This large body of research shed

 
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The Effects of the Micro-Market Structure for Kansas Grain Elevators on Spatial Grain Price Differentials
Daniel M. O’Brien
Year: 2009
 

Abstract

Corn and wheat cash prices in Kansas are affected by a number of local supply-demand, market structure, transportation access and other factors. Kansas corn prices in 2008 were affected by form of business organization, local feedgrain production and li

 
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The Relative Performance of In-Sample and Out-of-Sample Hedging Effectiveness Indicators
Roger A. Dahlgran
Year: 2009
 

Abstract

Hedging effectiveness is the proportion of price risk removed through hedging. Empirical hedging studies typically estimate a set of risk minimizing hedge ratios, estimate the hedging effectiveness statistic, apply the estimated hedge ratios to a second

 
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Revenue Risk Reduction Impacts of Crop Insurance in a Multi-Crop Framework
Joshua D. Woodard, Bruce J. Sherrick, and Gary D. Schnitkey
Year: 2009
 

Abstract

This study develops a multi-crop insurance model which is employed to evaluate crop insurance decisions when several crops are produced jointly. The results suggest that the diversification effects derived from producing multiple crops can substantially

 
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Cotton Futures Dynamics: Structural Change, Index Traders and the Returns to Storage
Gabriel J. Power, and John R.C. Robinson
Year: 2009
 

Abstract

The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been a source of hardship for traditional commodity market participants such as producers and merchant/shippers. The usefulness of futures markets has been called into ques

 
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Comparison of Hedging Cost with Other Variable Input Costs
John Michael Riley and John D. Anderson
Year: 2009
 

Abstract

Recent spikes in commodity prices have led to higher margin amounts and option premiums. For the most part, producers have always attributed their lack of use in reducing risk via futures and options markets to the high cost associated with the use of the

 
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A Comparison of the Effectiveness of Using Futures, Options, LRP Insurance, or AGR-lite Insurance to Manage Risk for Cow-calf Producers
Dillon M. Feuz
Year: 2009
 

Abstract

A comparative analysis was performed looking at using cash, futures, options, or insurance to manage the price of calves for cow-calf producer. Risk can be reduced with the futures market and with options or LRP insurance. Options and LRP insurance are eq

 
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Liquidity Costs in Futures Options Markets
Samarth Shah, B. Wade Brorsen, and Kim B. Anderson
Year: 2009
 

Abstract

The major finding is that liquidity costs in futures options market are two to three times higher than liquidity costs in the futures market. Liquidity cost is one potential factor to consider when choosing between hedging with a futures contract or wit

 
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Optimal Length of Moving Average to Forecast Futures Basis
Robert B. Hatchett, B. Wade Brorsen, and Kim B. Anderson
Year: 2009
 

Abstract

Futures prices when combined with a basis forecast provide a reliable way to forecast cash prices. The most popular method of forecasting basis is historical moving averages. Given the recent failure of longer moving averages proposed by previous studie

 
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Commercial Grain Merchandisers: What Do They Need to Know?
Brandon Kliethermes, Joe Parcell, and Jason Franken
Year: 2009
 

Abstract

Little information exists on grain merchandisers, their characteristics, and the skills needed to be successful. This research contributes toward filling this gap. A summary of survey responses from 230 experienced grain merchandisers quantifies persona

 
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A Speculative Bubble in Commodity Futures Prices? Cross-Sectional Evidence
Dwight R. Sanders, Scott H. Irwin, and Robert P. Merrin
Year: 2009
 

Abstract

Recent accusations against speculators in general and long-only commodity index funds in particular, include: increasing market volatility, distorting historical price relationships, and fueling a rapid increase and decrease in commodity inflation. Some

 
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A Limited Information Bayesian Forecasting Model of the Cattle SubSector
Babatunde Abidoye and John D. Lawrence
Year: 2009
 

Abstract

The first step towards forecasting the price and output of the cattle industry is understanding the dynamics of the livestock production process. This study follows up on the Weimar and Stillman (1990) paper by using data from 1970 to 2005 to estimate t

 
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Do Composite Procedures Really Improve the Accuracy of Outlook Forecasts?
Evelyn V. Colino, Scott H. Irwin and Philip Garcia
Year: 2009
 

Abstract

This paper investigates whether the accuracy of outlook hog price forecasts can be improved using composite forecasts in an out-of-sample context. Price forecasts from four wellrecognized outlook programs are combined with futures-based forecasts, ARIMA

 
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The Price Impact of Index Funds in Commodity Futures Markets: Evidence from the CFTC’s Daily Large Trader Reporting System
Nicole M. Aulerich, Scott H. Irwin, and Philip Garcia
Year: 2009
 

Abstract

This paper analyzes the price impact of long-only index funds in commodity futures markets for the January 2004 through July 2008 period. Daily positions of index traders in 12 markets are drawn from the internal large trader reporting system used by th

 
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