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The Rainfall Index Annual Forage Pilot Program as a Risk Management Tool for Cool Season Forage
Joshua G. Maples, B. Wade Brorsen, and Jon T. Biermacher
Year: 2015
 

Abstract

The recently implemented Rainfall Index Annual Forage pilot program aims to provide risk coverage for annual forage producers in select states through the use of area rainfall indices as a proxy for yield. This paper utilizes unique data from a long-term

 
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Forecasting Urea Prices
Seon-Woong Kim and B. Wade Brorsen
Year: 2015
 

Abstract

Over the past decade the price of urea has been quite volatile, especially after 2008. The high price volatility and the relatively slow transportation in the urea fertilizer industry make production planning and inventory management difficult. In this st

 
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Extraordinary Monetary Policy Effects on Commodity Prices
AitbekAmatovand Jeffrey H. Dorfman
Year: 2015
 

Abstract

In the aftermath of the Great Recession, commodity prices have stabilized; however, the reasons are debatable. This paper concentrates on finding the relationship between Federal Reserve monetary policy and other macroeconomic indicators to both a broad c

 
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Using Local Information to Improve Short-run Corn Cash Price Forecasts
Xiaojie Xu and Walter N. Thurman
Year: 2015
 

Abstract

Using daily prices from 134 corn cash markets from seven Midwestern states, this study examines the increase in short-run cash price forecasting accuracy provided by augmenting futures prices with recent observations from other cash markets. We utilize a

 
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Tests of the Difference between In-Sample and Post-Sample Hedging Effectiveness
Roger A. Dahlgran
Year: 2015
 

Abstract

Hedging effectiveness is proportional price-risk reduction achieved by hedging. Typically, hedging studies estimate hedging effectiveness for the sample period then use estimated hedge ratios to simulate hedging and estimate hedging effectiveness in a “

 
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Will the Margin Protection Program for Dairy Producers Crowd Out Dairy Futures and Options?
Fanda Yang and Marin Bozic
Year: 2015
 

Abstract

The Margin Protection Program for Dairy Producers, created under the Agricultural Act of 2014, introduces a new margin insurance program that pays dairy producers when national incomeover- feed-cost margin declines below elected coverage level. A potent

 
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Pricing Corn Calendar Spread Options
Juheon Seok and B. Wade Brorsen
Year: 2015
 

Abstract

Previous studies provide pricing models of options on futures spreads. However, none fully reflect the economic reality that spreads can stay near full carry for long periods of time. A new option pricing model is derived that assumes convenience yield

 
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Can Cattle Basis Forecasts Be Improved? A Bayesian Model Averaging Approach
Nicholas Payne and Berna Karali
Year: 2015
 

Abstract

Basis forecasts aid producers and consumers of agricultural commodities in price risk management. A simple historical moving average of nearby basis on a specific date is the most common forecast approach; however, in previous evaluations of forecast me

 
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Machine Learning for Semi-Strong Efficiency Test of Inter-Market Wheat Futures
Martial Phelippe- Guinvarc'h and Jean E. Cordier
Year: 2015
 

Abstract

 
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Characterizing the Effect of USDA Report Announcements in the Winter Wheat Futures Market Using Realized Volatility
Gabriel D. Bunek and Joseph P. Janzen
Year: 2015
 

Abstract

The United States Department of Agriculture provides information about fundamental supply and demand conditions for major agricultural commodities. We consider whether USDA’s crop reports facilitate price consensus in the winter wheat futures market by

 
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The Effects of Brazilian Second (Winter) Corn Crop on Price Seasonality, Basis Behavior and Integration to International Market
Fabio Mattos and Rodrigo L. F. Silveira
Year: 2015
 

Abstract

The purpose of this study is to analyze the impact of the growth of Brazilian winter corn crop on spot price seasonality, basis patterns, and the integration to international market. A moving average method and regression analysis were used to test for se

 
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A New and Dynamic Look at Forecasting MPP Margin Price
Hernan A. Tejeda and Dillon M. Feuz
Year: 2015
 

Abstract

The recent Agricultural Act (Farm Bill) of 2014 considers a new insurance program for Dairy producers. The Margin Protection Program (MPP) accounts for the difference between the national average price of milk and feed, which includes corn, soybean meal a

 
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Supply Shocks, Futures Prices, and Trader Positions
Joseph P. Janzen and Nicolas Merener
Year: 2015
 

Abstract

 
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Relative Impact of StarLink and MIR162
Xue Han and Philip Garcia
Year: 2015
 

Abstract

Although various topics related to genetically modified (GM) technology have been studied worldwide, few studies have investigated the price impact of genetically modified food events. This paper contributes to the literature by examining the price effect

 
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Contango and Backwardation as Predictors of Commodity Price Direction
Paul E. Peterson
Year: 2015
 

Abstract

This study examines whether term structure can be used as a predictor of commodity price direction. It uses daily prices for the S&P GSCI and each of the 24 underlying commodities from January 2007 through December 2013. During each day of the monthly rol

 
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Forecasting Returns to Storage: The Role of Factors other than the Basis Strategy
Sanghyo Kim, Carl Zulauf and Matthew Roberts
Year: 2015
 

Abstract

Given the interest in the ability to forecast returns to storage and the incon- clusiveness of the performance of the basis strategy, especially for unhedged storage; this study examines whether other variables enhance the forecast of storage returns. Spe

 
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Forecasting Commodity Price Volatility with Internet Search Activity
Arabinda Basistha, Alexander Kurov and Marketa Halova Wolfe
Year: 2015
 

Abstract

Commodity prices are volatile. Forecasting the volatility has been notoriously difficult. We propose using Internet search activity to forecast commodity futures price volatility. We show that Google search volume improves forecasts of volatility both in-

 
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Information Content of USDA Rice Reports and Price Reactions of Rice Futures
Jessica L. Darby and Andrew M. McKenzie
Year: 2015
 

Abstract

Rice is a predominant food staple in many regions of the world, and international rice markets play a vital role in ensuring the food security needs of developing countries. It is important to develop economic tools and market-based instruments to aid in

 
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Measuring and Explaining Skewness in Pricing Distributions Implied from Livestock Options
Andrew M. McKenzie, Michael R. Thomsen, and Michael K. Adjemian
Year: 2015
 

Abstract

 
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Performance of 5-Year Olympic Moving Average in Forecasting U.S. Crop Year Revenue for Program Crops
Sanghyo Kim, Carl Zulauf, Matthew Roberts, and Kevin Cook
Year: 2015
 

Abstract

The last two farm bills have used moving averages and Olympic moving averages in computing revenue benchmarks and hence payments in the Average Crop Revenue Election (ACRE) program in the Food, Conservation, and Energy Act of 2008 and its more recent vers

 
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Anticipatory Signals of Changes in Corn Demand
Leslie J. Verteramoand William G. Tomek
Year: 2015
 

Abstract

This paper analyzes changes in the expected demand for corn in the U.S., and it explores whether anticipatory signals of price jumps can be obtained from simple models. Two main objectives are considered. One is to estimate the relationship between the ex

 
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Accuracy-Informativeness Tradeoff for Interval Forecast Comparison
Olga Isengildina and Fabio Mattos
Year: 2015
 

Abstract

Price interval forecasts are analyzed in this study focusing on three main characteristics: coverage, error and informativeness. The tradeoff between accuracy and informativeness results from the fact that greater accuracy is achieved at the cost of lower

 
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Bubbles, Froth, and Facts: What Evidence is there to Support the Masters Hypothesis?
Dwight R. Sanders and Scott H. Irwin
Year: 2015
 

Abstract

The Masters Hypothesis is the assertion that large investment inflows into long-only commodity index funds pushed prices far above fundamental value. In particular, the architect of the hypothesis—Michael Masters—suggests that long-only index funds were t

 
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Nearby and Deferred Quotes: What They Tell Us about Linkages and Adjustments to Information
Mindy Mallory, Philip Garcia, and Teresa Serra
Year: 2015
 

Abstract

Recently, the ‘Financialization’ of commodity futures markets, biofuel production, climate change and rising demand potentially have imposed profound shifts in the way commodity futures markets operate. This article examines commodity markets tick-by-tick

 
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