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Does Futures Price Volatility Differ Across Delivery Horizon?
Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N. - Department of Agricultural and Consumer Economics, … - 2009
We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different … effects vary across delivery horizons. Further, it is shown that the price volatility is higher before the harvest starts in … most of the cases compared to the volatility during the planting period. These results have implications for hedging …
Persistent link: https://www.econbiz.de/10009368381
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The Missing Link: Farmers' Class Action Against Syngenta May Answer Legal Questions Left After the StarLink and LibertyLink Litigation
Schlessinger, Lisa; Endres, A. Bryan - Department of Agricultural and Consumer Economics, …
Persistent link: https://www.econbiz.de/10011250448
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Optimal Length of Moving Average to Forecast Futures Basis
Hatchett, Robert B.; Brorsen, B. Wade; Anderson, Kim B. - Department of Agricultural and Consumer Economics, … - 2009
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 studies, this research reassesses past...
Persistent link: https://www.econbiz.de/10009368378
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Revenue Risk Reduction Impacts of Crop Insurance in a Multi-Crop Framework
Woodard, Joshua D.; Sherrick, Bruce J.; Schnitkey, Gary D. - Department of Agricultural and Consumer Economics, … - 2009
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 alter the risk reduction impacts of crop...
Persistent link: https://www.econbiz.de/10009368386
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Grain Futures Markets: What Have They Learned?
Santos, Joseph M. - Department of Agricultural and Consumer Economics, … - 2009
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 sheds important light on whether and to...
Persistent link: https://www.econbiz.de/10009368387
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Cotton Futures Dynamics: Structural Change, Index Traders and the Returns to Storage
Power, Gabriel J.; Robinson, John R.C. - Department of Agricultural and Consumer Economics, … - 2009
changes in cotton economic fundamentals? (2) Have seasonal and long-run patterns of convenience yield and price volatility … changes in prices or volatility. …
Persistent link: https://www.econbiz.de/10009368370
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The Effect of Prior Gains and Losses on Current Risk-Taking Using Quantile Regression
Mattos, Fabio; Garcia, Philip - Department of Agricultural and Consumer Economics, … - 2009
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 trading behavior. Traders respond differently...
Persistent link: https://www.econbiz.de/10009368373
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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
Feuz, Dillon M. - Department of Agricultural and Consumer Economics, … - 2009
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 equivalent in the amount of risk that is...
Persistent link: https://www.econbiz.de/10009368375
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The Relative Performance of In-Sample and Out-of-Sample Hedging Effectiveness Indicators
Dahlgran, Roger A. - Department of Agricultural and Consumer Economics, … - 2009
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 group of data, and examine the robustness...
Persistent link: https://www.econbiz.de/10009368376
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The Effects of the Micro-Market Structure for Kansas Grain Elevators on Spatial Grain Price Differentials
O'Brien, Daniel M. - Department of Agricultural and Consumer Economics, … - 2009
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 livestock feed usage, elevator storage...
Persistent link: https://www.econbiz.de/10009368380