Consulta: creatorFacets:"Isengildina-Massa,   Olga"
Registros recuperados: 16
Data/hora: 10/06/2024 03:32:08

The Impact of Situation and Outlook Information in Corn and Soybean Futures Markets: Evidence from WASDE Reports
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Isengildina-Massa,   Olga; Irwin,   Scott H.; Good,   Darrel L.; Gomez,   Jennifer K.
The purpose of this study was to examine the impact of situation and outlook information from World Agricultural Supply and Demand Estimates (WASDE) in corn and soybean futures markets over the period 1985 to 2006. Results indicate that WASDE reports containing National Agricultural Statistics Service (NASS) crop production estimates and other domestic and international situation and outlook information have the largest impact; causing return variance on report sessions to be 7.38 times greater than normal return variance in corn futures and 6.87 times greater than normal return variance in soybean futures. WASDE reports limited to international situation information and domestic and international outlook information have a smaller impact. The results show...
Tipo: Journal Article
Palavras-chave: Corn; Market impact; Outlook; Situation; Soybeans; WASDE; Agribusiness; Crop Production/Industries; Financial Economics; Q100; Q110; Q130.
Ano: 2008
URL: http://purl.umn.edu/45048

Accuracy and Asymmetry of Corn, Soybean and Wheat Interval Forecasts
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Isengildina-Massa,   Olga; Sharp,   Julia L.; Zhang,   Jing; Campbell,   Wallace A.
This study evaluates the accuracy of USDA interval forecasts for corn, soybean, and wheat prices using Christoffersen’s (1998) tests for unconditional coverage, independence and conditional coverage adjusted for asymmetries in tail probabilities. The findings of this study demonstrate that due to uneven distribution of forecast misses around the interval, calibration of soybean price forecasts in several cases was rejected by basic coverage tests (suitable for symmetric intervals) but not rejected by the tests adjusted for asymmetry. Thus these forecasts were asymmetric but accurate. Symmetry was not a limiting assumption for corn and wheat interval forecast accuracy.
Tipo: Conference Paper or Presentation
Palavras-chave: Crop Production/Industries.
Ano: 2010
URL: http://purl.umn.edu/61731

Consumer Willingness to Pay for Locally Grown Products: The Case of South Carolina
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Carpio,   Carlos E.; Isengildina-Massa,   Olga.
The objective of this study is to evaluate South Carolina (SC) consumers’ willingness to pay for “SC grown” products. Results indicate that consumers in SC are willing to pay an average premium of 27% for local produce and 23% for local animal products. Premiums for local products are influenced by age, gender, and income.
Tipo: Conference Paper or Presentation
Palavras-chave: Contingent valuation; Demand for local products; State branding and promotion programs; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety.
Ano: 2008
URL: http://purl.umn.edu/6815

BACK TO THE BASICS: WHAT DOES THE MARKET TELL US ABOUT BASIS?
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Fischer,   Matthew J.; Isengildina-Massa,   Olga; Curtis,   Charles E., Jr.; Boys,   Kathryn A.
This study explores market forces that affect harvest grain basis for corn, soybeans, and wheat in a grain deficit market. The findings indicate that implied basis (cash forward bid less harvest futures), nearby HHO price, and log of open interest on the harvest futures contract can be used to predict 33 to 99 percent of the variation in harvest basis at selected South Carolina locations.
Tipo: Conference Paper or Presentation
Palavras-chave: Marketing.
Ano: 2011
URL: http://purl.umn.edu/103943

Measuring the Potential Economic Impact of a Regional Agricultural Promotion Campaign: The Case of South Carolina
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Carpio,   Carlos E.; Isengildina-Massa,   Olga.
This study evaluated the impact of the South Carolina (SC) agricultural promotion campaign after its first season. Analysis of the survey data revealed that consumer demand for state grown produce has increased by 3.4% which could result in an increase in producer surplus of $2.9 million. Since the SC Department of Agriculture invested $500,000 in the promotion program in 2007, this figure indicates a benefit-cost ratio of 5.8.
Tipo: Conference Paper or Presentation
Palavras-chave: Demand for local products; State branding and promotion programs; Contingent valuation; Equilibrium displacement models; Agribusiness; Agricultural and Food Policy; Demand and Price Analysis.
Ano: 2009
URL: http://purl.umn.edu/46729

Quantile Regression Estimates of Confidence Intervals for WASDE Price Forecasts
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Isengildina-Massa,   Olga; Irwin,   Scott H.; Good,   Darrel L.
This study uses quantile regressions to estimate historical forecast error distributions for WASDE forecasts of corn, soybean, and wheat prices, and then compute confidence limits for the forecasts based on the empirical distributions. Quantile regressions with fit errors expressed as a function of forecast lead time are consistent with theoretical forecast variance expressions while avoiding assumptions of normality and optimality. Based on out-of-sample accuracy tests over 1995/96–2006/07, quantile regression methods produced intervals consistent with the target confidence level. Overall, this study demonstrates that empirical approaches may be used to construct accurate confidence intervals for WASDE corn, soybean, and wheat price forecasts.
Tipo: Journal Article
Palavras-chave: Commodity; Evaluating forecasts; Government forecasting; Judgmental forecasting; Prediction intervals; Price forecasting; Crop Production/Industries; Demand and Price Analysis.
Ano: 2010
URL: http://purl.umn.edu/99120

U.S. Cotton Prices and the World Cotton Market:  Forecasting and Structural Change
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Isengildina-Massa,   Olga; MacDonald,   Stephen.
The purpose of this study was to analyze structural changes that took place in the cotton industry in recent years and develop a statistical model that reflects the current drivers of U.S. cotton prices.  Legislative changes authorized the U.S. Department of Agriculture to resume publishing cotton price forecasts for the first time in 79 years.  In addition, systematic problems have become apparent in the forecasting models used by USDA and elsewhere, highlighting the need for an updated review of price relationships.  This study concluded that a structural break in the U.S. cotton industry occurred in 1999, and that world cotton supply has become an important determinant of U.S. cotton prices.  China’s trade and production policy also continues to be an...
Tipo: Conference Paper or Presentation
Palavras-chave: Forecasting; Cotton; Price; Demand; Trade; Structural change; Farm programs.; Demand and Price Analysis; Q100; Q110; Q130.
Ano: 2009
URL: http://purl.umn.edu/49324

How Do Restaurants Benefit from Various Components of a Regional Promotion Campaign?
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Xie,   Ran; Isengildina-Massa,   Olga; Carpio,   Carlos E.
This study analyses the economic value of various components of the Certified South Carolina Grown Campaign from the perspective of participating restaurants. A stated-preference choice experiment was conducted as part of the restaurant survey to estimate the willingness to pay (WTP) for each campaign component using a mixed logit model. Individual level WTP was calculated in order to explore the relationship between WTP and characteristics of restaurants. Results indicate that three existing components--Labeling, Multimedia Advertising, and "Fresh on the Menu" have significant positive economic value.
Tipo: Presentation
Palavras-chave: WTP; Mixed Logit Model; SUR Model; Discrete Choice Model; Agribusiness; Agricultural and Food Policy; Political Economy; Production Economics; Research Methods/ Statistical Methods.
Ano: 2012
URL: http://purl.umn.edu/123921

Is there a "Right" Time to Buy Options Pre-Harvest?
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Curtis,   Charles E., Jr.; Isengildina-Massa,   Olga; Hummel,   Andrew.
This study analyses the variables that affect the option premium levels in an attempt to identify a period in time that would be considered "preferred" for the purchase of a December put option contract for corn and cotton.  The daily futures and options data from January 1990 to October 2005 revealed that average prices of December cotton and corn futures tended to be higher in the month of March.  The early months of the year also demonstrated low implied volatility levels while offering larger time to maturity.  The analysis suggests that March may be a preferred time to purchase December cotton and corn put options.
Tipo: Conference Paper or Presentation
Palavras-chave: Marketing.
Ano: 2007
URL: http://purl.umn.edu/34941

U.S. Cotton Prices and the World Cotton Market; Forecasting and Structural Change
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Isengildina-Massa,   Olga; MacDonald,   Stephen.
This report analyzes recent structural changes in the world cotton industry and develops a statistical model that reflects current drivers of U.S. cotton prices. Legislative changes in 2008 authorized USDA to resume publishing cotton price forecasts for the first time in nearly 80 years. Systematic problems have become apparent in the forecasting models used by USDA and elsewhere, highlighting the need for an updated review of price relationships. A structural break in the U.S. cotton industry occurred in 1999, and world cotton supply has become an important determinant of U.S. cotton prices, along with China’s trade and production policy. The model developed here forecasts changes in the U.S. upland cotton farm price based on changes in U.S. cotton...
Tipo: Report
Palavras-chave: Forecasting; Cotton; Price; Demand; Trade; Structural change; Farm programs.; Agricultural and Food Policy; Agricultural Finance; Crop Production/Industries; Marketing; Production Economics.
Ano: 2009
URL: http://purl.umn.edu/55950

To Fund or Not to Fund: Assessment of the Potential Impact of a Regional Promotion Campaign
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Carpio,   Carlos E.; Isengildina-Massa,   Olga.
This paper develops a framework for assessing the potential economic impact of a regional promotion campaign combining contingent valuation methods with a partial displacement equilibrium model. The proposed approach is applied to the evaluation of the potential economic impact of the locally grown campaign in South Carolina. Results reveal that the first season of the promotion campaign increased consumer willingness to pay for produce by 3.4%. The change in consumer preferences and the corresponding shift in demand increased producer surplus by $3.09 million. This economic benefit, combined with the 2007 promotion campaign investment, resulted in a benefit-cost ratio of 6.18.
Tipo: Journal Article
Palavras-chave: Contingent valuation; Economic impact; Equilibrium displacement model; Regional promotion campaign; Consumer/Household Economics.
Ano: 2010
URL: http://purl.umn.edu/93214

Accuracy of Implied Volatility Approximations Using "Nearest-to-the-Money" Option Premiums
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Isengildina-Massa,   Olga; Curtis,   Charles E., Jr.; Bridges,   William; Nian,   Minhuan.
Implied volatility is a useful bit of information for futures and options hedgers and speculators.  However, extraction of implied volatility from Black-Scholes (BS) option pricing model requires a numeric search.  Since 1988, there have been numerous simplifying modifications to the BS formula proposed and presented in the applied economics and finance literature to allow approximation of implied volatility directly.  This study identifies and tests these simplification methods for accuracy for call only and put-call average elicitation of an implied volatility estimate.  Results show that accuracy varies by method and whether call only or put-call average approaches are applied.
Tipo: Conference Paper or Presentation
Palavras-chave: Marketing.
Ano: 2007
URL: http://purl.umn.edu/34927

Do Big Crops Get Bigger and Small Crops Get Smaller? Further Evidence on Smoothing in USDA Crop Production Forecasts
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Isengildina-Massa,   Olga; Irwin,   Scott H.; Good,   Darrel L.
The purpose of this paper is to determine whether smoothing in USDA corn and soybean production forecasts is concentrated in years with relatively small and large crops. The sample consists of all USDA corn and soybean production forecasts released over the 1970 through 2006 crop years. Results show that USDA crop production forecasts in both corn and soybeans have a marked tendency to decrease in small crop years and increase in big crop years. The magnitude of smoothing is surprisingly large, with corn and soybean production forecasts cumulatively revised downward by about 6 to 7 percent in small crop years and upward by about 5 to 6 percent in large crop years. Crop condition ratings are useful in predicting whether the current year is likely to be a...
Tipo: Conference Paper or Presentation
Palavras-chave: Corn; Crop production; Forecasts; Smoothing; Soybeans; USDA.
Ano: 2007
URL: http://purl.umn.edu/37563

A Comprehensive Evaluation of USDA Cotton Forecasts
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Isengildina-Massa,   Olga; MacDonald,   Stephen; Xie,   Ran.
This study evaluates all USDA cotton supply and demand estimates for the United States and China (including unpublished price forecasts) from 1985/86 through 2009/10 for accuracy and efficiency. Results reveal that at every stage of the forecasting cycle forecast smoothing was the most widespread and persistent type of inefficiency observed in most U.S. variables. Correlation with past errors indicated the tendency to repeat past errors in most cases. Tendency to overestimate growth was also found. Bias was uncommon and limited to several cases of overestimation of China’s exports and U.S. price and underestimation of China’s domestic use. While forecasts of China’s imports and endings stocks improved, U.S. price and ending stock forecast errors became...
Tipo: Article
Palavras-chave: Cotton; Forecast accuracy; Forecast efficiency; Forecast evaluation; Forecast smoothing; USDA forecasts; Agricultural Finance; Crop Production/Industries.
Ano: 2012
URL: http://purl.umn.edu/122314

Quantile Regression Methods of Estimating Confidence Intervals for WASDE Price Forecasts
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Isengildina-Massa,   Olga; Irwin,   Scott H.; Good,   Darrel L.
This paper explores the use of quantile regression for estimation of empirical confidence limits for WASDE forecasts of corn, soybean, and wheat prices. Quantile regressions for corn, soybean, and wheat forecast errors over 1980/81 through 2006/07 were specified as a function of forecast lead time. Estimated coefficients were used to calculate forecast intervals for 2007/08. The quantile regression approach to calculating forecast intervals was evaluated based on out-of-sample performance. The accuracy of the empirical confidence intervals was not statistically different from the target level about 87% of the time prior to harvest and 91% of the time after harvest.
Tipo: Conference Paper or Presentation
Palavras-chave: Demand and Price Analysis.
Ano: 2008
URL: http://purl.umn.edu/6409

What Can we Learn from our Mistakes?  Evaluating the Benefits of Correcting Inefficiencies  in USDA Cotton Forecasts.
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Isengildina-Massa,   Olga; Tysinger,   David; Gerard,   Patrick; MacDonald,   Stephen.
This study investigated the magnitude of forecast improvements resulting from correction of inefficiencies in USDA cotton forecasts over 1999/00 to 2008/09 marketing years. The aspects of forecast performance included in this study were 1) bias and trends in bias, 2) correlation between forecast error and forecast level, 3) autocorrelation in forecast errors, 4) correlation in forecast revisions.  Overall the results of this study demonstrated that some corrections of forecast inefficiencies, such as correction of correlation of error with forecast levels and correlation of error with previous year’s error resulted in consistent improvement of USDA cotton forecasts, while correction for correlation in forecast revisions did not benefit the forecasts....
Tipo: Conference Paper or Presentation
Palavras-chave: Commodity; Forecast evaluation; Fixed-event forecasts; Government forecasting; Forecast improvement; Agribusiness; Demand and Price Analysis; E37; E3; Q13.
Ano: 2011
URL: http://purl.umn.edu/98811