SABIIA - Sistema Aberto e Integrado de Informação em Agricultura (Sabiia)

Antzoulatos, Angelos A.; Wilfling, Bernd.

Recent theoretical advances in consumption theory suggest that there may exist predictable consumption surges which, if not taken sufficiently into account in forecasting, may lead to predictable forecast errors. We use this insight to identify economic variables that might help improve the OECD's forecasts for Germany's consumption and GDP growth.

El Paso Housing Sector Econometric Forecast Accuracy

Palavras-chave: Consumption; GDP; Macroeconomic forecasts; Non-linear dynamics.; Consumer/Household Economics; C53; E21; E37.

Ano: 2003

URL: http://purl.umn.edu/26169

Fullerton, Thomas M., Jr.; Kelley, Brian W..

There is comparatively little empirical evidence regarding the accuracy of regional housing sector forecasts. Much of the recent analysis conducted for this topic is developed for housing starts and indicates a relatively poor track record. This study examines residential real estate forecasts previously published for El Paso, TX using a structural econometric model. Model coverage is much broader than just starts. Similar to earlier studies, the previously published econometric predictions frequently do not fare very well against the selected random walk benchmarks utilized for the various series under consideration.

Tipo: Journal Article

Palavras-chave: Applied econometrics; Metropolitan housing sector forecasts; Agribusiness; Community/Rural/Urban Development; Political Economy; C53; R15; R31.

Ano: 2008

URL: http://purl.umn.edu/45534

World Soybean Demand: An Elasticity Analysis and Long-Term Projections

Masuda, Tadayoshi; Goldsmith, Peter D..

Soybeans are one of the most valuable crops in the world and are characterized by their multi-purpose uses: food, feed, fuel and other industrial usages such as paint, inks, and plastics. Out of 183.9 million tons of world supply/demand of soybeans in 2001-03 year, about 10% of them were directly consumed as food (5.9%) or feed (3.8%) but 84.2% of them were crushed into soyoil and soymeal. Soyoil is mainly processed to vegetable oil for human consumption and recently used as a biodiesel feedstock. Soymeal is used not only as feed for livestock (especially for pork and poultry due to its low fiber level) and aquaculture, but also as a good source of protein for the human diet in a variety of forms in different cultures. This paper analyzes the...

On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis

Palavras-chave: Soybean demand; Elasticity; Error correction mechanism (ECM); Projection; Agribusiness; Crop Production/Industries; Demand and Price Analysis; Marketing; C22; C53; Q11.

Ano: 2009

URL: http://purl.umn.edu/49490

Power, Gabriel J.; Turvey, Calum G..

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 and across maturities changed with the rise of biofuels and their demand-side pres- sure on corn and related crops?, and (ii) Is there now stronger or weaker evidence of the Kaldor-Working convenience yield-storage hypothesis, whereby futures price backwardation can be explained by the high value of remaining inventory stocks when these are near stockouts? The empirical application is to Chicago Board of Trade corn, wheat and soybeans futures. To make use of all available futures data rather than only the...

Market Impacts of Adopting Herbicide-Resistant Rice in the Southern United States

Palavras-chave: Agricultural Finance; C52; C53; G12; G13; Q13; Q14.

Ano: 2008

URL: http://purl.umn.edu/37608

Fuller, Frank H.; Annou, Mamane Malam; Wailes, Eric J..

Herbicide-resistant (HR) rice varieties offer U.S. rice producers a powerful tool for control of red rice infestations. However, improved weed control can shorten crop rotations and boost yields, resulting in expanded rice production and lower domestic market prices. Declining market returns diminish the benefits of HR rice adoption and substantially reduce net returns for nonadopters. More competitive prices increase U.S. rice exports, causing a slight decline in world rice prices. The dependence of the rice marketing loan program on world prices prevents loan deficiency payments from adequately offsetting producers’ market revenue losses. U.S. consumers gain from lower rice prices.

Tipo: Journal Article

Palavras-chave: Biotechnology; Crop rotation; Herbicide resistant; Red rice; Rice; Simulation models; Technology adaptation; Q11; Q16; Q18; O33; C53.

Ano: 2003

URL: http://purl.umn.edu/37859

Plagiarism Without Apology--Systematic Integration of Available Information in a Long Run Agricultural Outlook

Witzke, Heinz Peter; Britz, Wolfgang.

In the context of a long run agricultural outlook on behalf of the European Environmental Agency a new methodology has been developed to systematically integrate external forecasts into a quite detailed agricultural sector model. External forecasts usually provide estimates for the exogenous variables in modelling work and frequently they are also used for comparisons and potential reassessment of empirical specifications. The innovative characteristic of this study is that expert forecasts have been used to specify parameter changes expressing structural change affecting behavioural functions. The outlook was therefore set up as a simultaneous estimation and forecasting effort which permitted to integrate various, usually contradictory expert forecasts...

EU policy reform simulation based on panel data estimation of on- and off-farm labour supply equations for Dutch dairy farmers

Palavras-chave: Agricultural outlook; Forecasting; Modelling; Expert information; Agricultural and Food Policy; C15; C53; Q11; Q19; Q21.

Ano: 2005

URL: http://purl.umn.edu/24666

Ooms, Daan L.; Hall, Alastair R..

This research focuses on the estimation of labour supply equations for Dutch dairy farmers that are suitable for policy simulations. Data availability leads to the fact that we can not estimate structural labour supply equations. We show how to derive reduced form equations suitable for policy simulations. In this research we use the panel data sample selection estimation approach of Kyriazidou (1997) and Wooldridge (1995) to estimate the off-farm labour supply equation. The two lead to different estimation results and different simulation results based on these.

The Asymmetric Cycling of U.S. Soybeans and Brazilian Coffee Prices: An Opportunity for Improved Forecasting and Understanding of Price Behavior

Palavras-chave: Econometrics; Panel Data; Sample Selection; Labour Supply; CAP Reform; Labor and Human Capital; C23; C24; C51; C53; D13; J22; Q12; Q18.

Ano: 2005

URL: http://purl.umn.edu/19434

The 2007 emerging corn price surge revisited – Was it expected or a large surprise?

Ramirez, Octavio A..

The behavior of agricultural commodity markets can arguably result in markedly asymmetric price cycles, that is, downward cycles of substantially different length and breadth than upward cycles. This study assesses whether asymmetric-cycle models can enhance the understanding of the dynamics and provide for a better forecasting of U.S. soybeans and Brazilian coffee prices. The forecasts from asymmetric cycle models are found to be substantially mode precise than those obtained from standard autoregressive models. The asymmetric cycle models also provide useful insights on the markedly different dynamics of the upward versus the downward cycles exhibited by the prices of these two commodities.

Tipo: Journal Article

Palavras-chave: Asymmetric cycles; Coffee prices; Soybean prices; Threshold autoregressive models; Time series forecasting; Agribusiness; Crop Production/Industries; Demand and Price Analysis; Risk and Uncertainty; C22; C53.

Ano: 2009

URL: http://purl.umn.edu/48760

Schmitz, Jochen; Ledebur, Oliver von.

Point forecasts are a common method to classify uncertain future outcomes. In the option price literature the concept of implied volatility is well known. This concept is used to get a forward looking indicator about the future volatility. Nowadays market expectations can be extracted in numerous ways. One of the first articles regarding this topic in the area of exchange rates and interest rates was Sölderlind and Svensson (1997). Extracting market expectations is not only focused on point forecasts. A more ambitious approach is to extract the whole possible range of market expectations out of option prices. This concept is called risk-neutral density (RND). Most agricultural markets undergo some remarkable price movements in the last 4 years. The reasons...

Tipo: Presentation

Palavras-chave: Risk neutral density; Market expectations; Futures prices; Corn market; Agricultural Finance; Financial Economics; Political Economy; Research Methods/ Statistical Methods; Q14; C53; C58; G17.

Ano: 2012

URL: http://purl.umn.edu/123971

“Google it!” Forecasting the US Unemployment Rate with a Google Job Search index

D’Amuri, Francesco; Marcucci, Juri.

We suggest the use of an Internet job-search indicator (the Google Index, GI) as the best leading indicator to predict the US unemployment rate. We perform a deep out-of-sample forecasting comparison analyzing many models that adopt both our preferred leading indicator (GI), the more standard initial claims or combinations of both. We find that models augmented with the GI outperform the traditional ones in predicting the monthly unemployment rate, even in most state-level forecasts and in comparison with the Survey of Professional Forecasters.

Modeling the Liberalisation of the Milk Market in Switzerland

Palavras-chave: Google Econometrics; Forecast Comparison; Keyword search; US Unemployment; Time Series Models; Labor and Human Capital; C22; C53; E27; E37; J60; J64.

Ano: 2010

URL: http://purl.umn.edu/60680

Flury, Christian; Mack, Gabriele; Rieder, Peter; Pfefferli, S..

Switzerland aims to liberalise the milk market by 2011. This will result in distinctive changes in the basic conditions for agriculture. The impacts of the liberalisation are investigated with a composite model obtained by combining an optimization model for the agricultural sector and a dynamic simulation model for the milk and meat market. The calculations with the composite model indicate that the milk price depends strongly on the phasing out of market support, while the abolition of milk quotas in 2009 is less decisive. An introduction of a dairy cow premium leads to a higher milk production, especially with abolished milk quotas. In this case the European milk price level represents the lower limit for the milk price in Switzerland. Compared to the...

Predicting Pork Supplies: An Application of Multiple Forecast Encompassing

Palavras-chave: Dynamic simulation; Sectoral optimisation; Milk market; Milk quota; Agribusiness; C53; C61; O21; Q13; Q18.

Ano: 2005

URL: http://purl.umn.edu/24507

Sanders, Dwight R.; Manfredo, Mark R..

Conditional efficiency or forecast encompassing is tested among alternative pork production forecasts using the method proposed by Harvey and Newbold. One-, two-, and three-quarter ahead pork production forecasts made by the United States Department of Agriculture (USDA), the University of Illinois and Purdue University Cooperative Extension Service, and those produced by a univariate time series model are evaluated. The encompassing tests provide considerably more information about forecast performance than a simple pair-wise test for equality of mean squared errors. The results suggest that at a one-quarter horizon, the Extension service forecasts encompass the competitors, but at longer horizon, a composite forecast may provide greater accuracy.

Tipo: Journal Article

Palavras-chave: Composite forecasts; Forecast encompassing; Pork production; C53; Q13.

Ano: 2004

URL: http://purl.umn.edu/43451

Determinants of Land-Use Change In the United States 1982-1997

Lubowski, Ruben N.; Plantinga, Andrew J.; Stavins, Robert N..

Changes in the use of land in the United States produce significant economic and environmental effects with important implications for a wide variety of policy issues, including protection of wildlife habitat, management of urban growth, and mitigation of global climate change. In contrast to previous descriptive and qualitative analyses of the trends in national land use, this paper uses an econometric approach to isolate the importance of historical changes in land-use profits and key government policies in determining national land-use changes from 1982 to 1997. The policies we examine are the Conservation Reserve Program (CRP) and total government payments to crop producers. We estimate a national-level discrete choice model of changes among the major...

PREVISÃO DOS PREÇOS DO AÇÚCAR E ANÁLISE DA SUA VOLATILIDADE NO MERCADO FUTURO BRASILEIRO (2003 A 2007): UMA APLICAÇÃO DE MODELOS DA FAMÍLIA ARCH

Palavras-chave: Land use; Econometric model; Counterfactual simulation; Conservation Reserve Program (CRP); Land Economics/Use; C53; Q1; Q24; R14; R15.

Ano: 2003

URL: http://purl.umn.edu/10714

Nicola, Danieli Scalcon; Freitas, Clailton Ataides; Paz, Marlon Vidal.

Este trabalho objetiva mensurar a volatilidade dos preços futuros do açúcar negociados na BM&F, bem como verificar quais entre os modelos univariados propostos apresenta melhor desempenho preditivo para o preço da commodity em questão. Para tanto se utilizam modelos de análise de volatilidade do tipo ARCH e modelos univariados de previsão aplicados a séries temporais, entre os quais os modelos ARIMA e SARIMA. Os resultados empíricos sugerem não haver presença de assimetria entre choques positivos e negativos e indicam a persistência na volatilidade dos preços do açúcar, implicando que os choques de volatilidade se dissiparão lentamente ao longo do tempo, podendo gerar perdas econômicas. Quanto aos modelos de previsão, o modelo ARIMA apresentou os...

Spurious Long Memory in Commodity Futures: Implications for Agribusiness Option Pricing

Palavras-chave: Preços do açúcar; Modelos de previsão e volatilidade; Sugar prices; Prevision and volatility models; Crop Production/Industries; Demand and Price Analysis; Q11; C01; C22; C53.

Ano: 2008

URL: http://purl.umn.edu/108829

Power, Gabriel J.; Turvey, Calum G..

Long memory, and more precisely fractionally integration, has been put forward as an explanation for the persistence of shocks in a number of economic time series data as well as to reconcile misleading findings of unit roots in data that should be stationary. Recent evidence suggests that long memory characterizes not commodity futures prices but rather price volatility (generally defined as $L_p$ norms of price logreturns). One implication of long memory in volatility is the mispricing of options written on commodity futures, the consequence of which is that fractional Brownian motion should replace geometric Brownian motion as the building block for option pricing solutions. This paper asks whether findings of long memory in volatility might be spurious...

Modelling Asymmetric Dependence Using Copula Functions: An Application to Value-at-Risk in the Energy Sector

Palavras-chave: Q13; Q14; Marketing; C52; C53; G12; G13.

Ano: 2007

URL: http://purl.umn.edu/9782

Bastianin, Andrea.

In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the marginals? (ii) are there nonnormalities in the dependence structure? (iii) is it worth modelling these nonnormalities in risk- management applications? (iv) do complicated models perform better than simple models? As for questions (i) and (ii) I have shown that the data do deviate from the null of normality at the univariate, as well as at the multivariate level. When considering the dependence structure of the data I have found that asymmetries show up in their...

Entwicklung eines Modells zur Projektion des Wirtschaftswachstums und der langfristigen Nachfrage nach Produktionsfaktoren in Deutschland: unter besonderer Berucksichtigung des informations- technologischen Innovationsprozesses

Palavras-chave: Copula functions; Forecasting; Value-At-Risk; Risk and Uncertainty; C32; C52; C53; G17; Q43.

Ano: 2009

URL: http://purl.umn.edu/50452

Danckwerts, Rudolf-Ferdinand; Grossmann, Wolf Dieter; Henne, Wolfgang.

Es wird das Konzept für ein makroökonomisches Strukturmodell mit integriertem Innovationsprozesskern zur Analyse und Projektion der Wirtschaftsentwicklung in Deutschland vorgestellt. Das geplante Modell soll explizit die Auswirkungen des immer bedeutsamer werdenden IuK-technologischen Innovationsprozesses auf das Wirtschaftswachstum erfassen. Das Modell besteht aus einem makroökonometrischen Teil zur Darstellung der gesamtwirtschaftlichen Entwicklung und einem systemdynamischen Teil zur Erfassung des Innovationsprozesses auf mikroökonomischer Ebene. Als Modellteile sind zwei bereits existierende Modelle, das HWWA-Modell und das ISIS-Modell, nach ihrer Erweiterung und Anpassung vorgesehen. Die erforderlichen Modifizierungen, das Verfahren zur Kopplung der...

A Global Map of Costal Recreation Values: Results From a Spatially Explicit Based Meta-Analysis

Palavras-chave: Zeitreihenmodelle; Dynamische Analyse; Prognose und Simulation; Neue Ökonomie; Technischer Wandel; Research Methods/ Statistical Methods; C32; C53; C61; E17; O33.

Ano: 2003

URL: http://purl.umn.edu/26166

Ghermandi, Andrea; Nunes, Paulo A.L.D..

The welfare dimension of the recreational services provided by global coastal ecosystems is examined through a meta-analytical regression-based valuation approach. First, we construct a global, state-of-the-art database of stated and revealed preference estimates on coastal recreation, which includes also the grey literature and with the latest entry updated to February 2010. Second, the profile of each of the 253 observations of our dataset, which correspond to individual value estimates, was further enriched with characteristics of the built coastal environment (site accessibility, anthropogenic pressure, level of human development), characteristics of the natural coastal environment (presence of protected area, type of ecosystem, and marine...

Forecasting Basis Levels in the Soybean Complex: A Comparison of Time Series Methods

Palavras-chave: Built Coastal Environment; Natural Coastal Environment; Ecosystem Service Valuation; Geographic Information Systems; Mapping Ecosystem Values; Marine Biodiversity; Scaling up; Spatial Analysis; Spatial Economic Valuation; Value Transfer; Environmental Economics and Policy; C53; Q26; Q57; R12.

Ano: 2011

URL: http://purl.umn.edu/108205

Sanders, Dwight R.; Manfredo, Mark R..

A battery of time series methods are compared for forecasting basis levels in the soybean futures complex: soybeans, soybean meal, and soybean oil. Specifically, nearby basis forecasts are generated with exponential smoothing techniques, autoregression moving average (ARMA), and vector autoregression (VAR) models. The forecasts are compared to those of the 5-year average, year ago, and no change methods. Using the 5-year average as the benchmark method, the forecast evaluation results suggest that alternative naive techniques may produce better forecasts, and the improvement gained by time series modeling is relatively small. In this sample, there is little evidence that the basis has become systematically more difficult to forecast in recent years.

Tipo: Journal Article

Palavras-chave: Basis forecasts; Time series models; Soybean complex; Risk and Uncertainty; C53; Q13.

Ano: 2006

URL: http://purl.umn.edu/43790

Adapting agriculture to climate change