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| Registros recuperados: 121 | |
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| Shi, Wei; Irwin, Scott H.; Good, Darrel L.; Hagedorn, Lewis A.. |
| The cost of forward contracting corn is estimated with weekly pre-harvest forward bases for seven regions of Illinois from 1975 to 2002. Given the panel structure of the forward basis dataset, we extend Townsend and Brorsen's univariate unit root model for forward bases to a panel unit root model. With the time series of forward bases modeled as unit root processes, the cost of forward contracting is estimated. The empirical results from the estimation show that the cost of forward contracting corn is about 1¢/bushel, one hundred days before the harvest, for all regions in Illinois as a whole. The results also indicates that the cost could vary across regions and that the cost of forward contracting could be substantially higher than that of futures... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/20409 |
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| Pennings, Joost M.E.; Garcia, Philip; Irwin, Scott H.. |
| Heterogeneity, i.e., the notion that individuals respond differently to economic stimuli, can have profound consequences for the interpretation of behavior and the formulation of agricultural policy. This paper compares and evaluates three grouping techniques that can be used to account for heterogeneity in financial behavior. Two are well established: company-type grouping and cluster analysis. A third, the generalized mixture regression model, has recently been developed and is worth considering as market participants are grouped such that their response to the determinants of economic behavior is similar. We evaluate the grouping methods in a hedging framework by assessing their ability to reflect relationships consistent with theory. The empirical... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Economic behavior; Heterogeneity; Hedging; Methods; Risk and Uncertainty; A10; B40; C1; D0; G0; L2; Q13. |
| Ano: 2011 |
URL: http://purl.umn.edu/114787 |
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| Manfredo, Mark R.; Leuthold, Raymond M.; Irwin, Scott H.. |
| Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series (e.g. GARCH), implied volatility from options on futures contracts, and composite specifications. The overriding finding from this research, consistent with the existing volatility forecasting literature, is that no single method of volatility forecasting provides superior accuracy across alternative data sets and horizons. However, evidence is provided suggesting that risk managers and extension educators use composite methods when both time series implied... |
| Tipo: Journal Article |
Palavras-chave: Composite forecasting; Implied volatility; Time series; Volatility forecasting.; Demand and Price Analysis. |
| Ano: 2001 |
URL: http://purl.umn.edu/15449 |
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| Colino, Evelyn V.; Irwin, Scott H.. |
| The purpose of this paper is to provide a comprehensive evaluation of the accuracy of outlook forecasts relative to futures prices in hog and cattle markets. Published forecasts from four prominent livestock outlook programs are available for analysis. Most of the series begin in the mid- to late-1970s and end in 2006. Root mean squared error (RMSE) comparisons indicate, with one exception, no meaningful differences in forecast accuracy between outlook forecasts and futures prices. The null hypothesis that futures prices encompass outlook forecasts is rejected in 9 of 11 cases for hogs and 7 of 8 cases for cattle, clearly indicating that outlook forecasts provide incremental information not contained in futures prices. The magnitude of decline in RMSE from... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Cattle; Encompassing; Forecast; Futures price; Hogs; Outlook; RMSE. |
| Ano: 2007 |
URL: http://purl.umn.edu/37577 |
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| Irwin, Scott H.; Good, Darrel L.; Martines-Filho, Joao Gomes; Batts, Ryan M.. |
| The purpose of this research report is to evaluate the pricing performance of market advisory services for the 1995-2004 corn and soybean crops. Marketing assumptions applied to advisory program track records are intended to accurately depict “real-world” marketing conditions facing a representative central Illinois corn and soybean farmer. Several key assumptions are: i) with a few exceptions, the marketing window for a crop year runs from September before harvest through August after harvest, ii) on-farm or commercial physical storage costs, as well as interest opportunity costs, are charged to post-harvest sales, iii) brokerage costs are subtracted for all futures and options transactions and iv) Commodity Credit Corporation (CCC) marketing loan... |
| Tipo: Report |
Palavras-chave: Agricultural Finance; Financial Economics. |
| Ano: 2006 |
URL: http://purl.umn.edu/37513 |
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| Brorsen, B. Wade; Irwin, Scott H.. |
| Agricultural economists' research on price forecasting and marketing strategies has been used little by those in the real world. We argue that fresh approaches to research are needed. First, we argue that we need to adopt a new theoretical paradigm, noisy rational expectations. This paradigm suggests that gains from using price forecasting models with public data or from using a marketing strategy are not impossible, but any gains are likely to be small. We need to conduct falsification tests; to perform confirmation and replication; to adjust research to reflect structural changes, such as increased contracting; and always to conduct statistical tests. We also provide a modest agenda for changing our research and extension programs. |
| Tipo: Journal Article |
Palavras-chave: Demand and Price Analysis; Marketing. |
| Ano: 1996 |
URL: http://purl.umn.edu/31655 |
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| Bertoli, Roberto; Zuluaf, Carl R.; Irwin, Scott H.; Jackson, Thomas E.; Good, Darrel L.. |
| The 1995 marketing styles for the 25 market advisory service programs included in the AgMAS Project were developed in two steps. The first step was the construction of a detailed "menu" of the tools and strategies used by each of the advisory programs in marketing corn and soybeans. The menu describes the type of pricing tool, frequency of transactions, and magnitude of transactions. The second step was the development of a daily index of the net amount sold by each market advisory program. To construct such an index, the various futures, options, and cash positions recommended for a program on a given day were weighted by the respective position "delta." When the daily values of the index were plotted for the entire marketing period, the marketing... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Advisory services; Pricing tools; Pricing strategies; Assessment of recommendations; D4; C8; D8; M3; Q0; Marketing. |
| Ano: 1999 |
URL: http://purl.umn.edu/14792 |
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| Holt, Bryce R.; Irwin, Scott H.. |
| This study uses the newly available data from the CFTC to investigate the market impact of futures trading by large hedge funds and CTAs. Regression results show that there is a positive relationship between the trading volume of large hedge funds and CTAs and market volatility. However, a positive relationship between hedge fund and CTA trading volume and market volatility is consistent with either a private information or noise trader hypothesis. Three additional tests are conducted to distinguish between the private information hypothesis and the noise trader hypothesis. The first test consisted of identifying the noise component exhibited in return variances over different holding periods. The variance ratio tests provide little support for the noise... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Hedge fund; Commodity trading advisor; Volatility; Market efficiency; Futures markets; Marketing. |
| Ano: 2000 |
URL: http://purl.umn.edu/18935 |
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| Park, Cheol-Ho; Irwin, Scott H.. |
| Numerous empirical studies have investigated the profitability of technical trading rules in a wide variety of markets, and many of them found positive profits. Despite positive evidence about profitability and improvements in testing procedures, skepticism about technical trading profits remains widespread among academics mainly due to data snooping problems. This study tries to mitigate the problems by confirming the results of a previous study and then replicating the original testing procedure on a new body of data. Results indicate that in 12 U.S. futures markets technical trading profits have gradually declined over time. Substantial technical trading profits during the 1978-1984 period are no longer available in the 1985-2003 period. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/14771 |
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| Shi, Wei; Irwin, Scott H.. |
| We develop a Bayesian implementation of the standard optimal hedging model to analyze the impact of hedgers' subjective views on their hedging behavior. The results show the subjective views have a substantial impact on hedgers' optimal positions, explaining the large cross-sectional and time series variation of hedging positions in practice. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/19155 |
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| Irwin, Scott H.; Good, Darrel L.; Gomez, Jennifer K.. |
| The economic value of public situation and outlook information has long been a subject of debate. The purpose of this paper is to investigate the economic value of USDA WASDE reports in corn and soybean markets. The investigation is based on event study analysis, with the "events" consisting of the release of all monthly USDA WASDE reports for corn and soybeans from 1985 through 1998. The WASDE reports during the sample period are divided into two groups: one that represents "pure" outlook information and one that represents a "mix" of situation and outlook information. The statistical tests can be placed into two categories: mean price reaction and volatility reaction. Overall, the results suggest that USDA outlook information has a significant impact in... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop Production/Industries; Marketing. |
| Ano: 2001 |
URL: http://purl.umn.edu/18948 |
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| Canoles, W. Bruce; Thompson, Sarahelen R.; Irwin, Scott H.; France, Virginia G.. |
| The focus of this study is the habitual speculator in commodity futures markets. The speculator's activity broadens a market, creates essential liquidity, and performs an irreplaceable pricing function. Working knowledge of the profiles and motivations of habitual speculators is essential to both market theorist and policy makers. Responses to a 73 question survey were collected directly from retail commodity brokers with offices in Alabama. Each questionnaire recorded information on an individual commodity client who had traded for an extended period of time. The typical trader studied is a married, white male, age 52. He is affluent and well educated. He is a self-employed business owner who can recover from financial setbacks. He is a politically right... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Marketing. |
| Ano: 1997 |
URL: http://purl.umn.edu/14768 |
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| Franken, Jason R.V.; Garcia, Philip; Irwin, Scott H.. |
| The storage at a loss paradox of positive inventories despite inadequate spot-futures price spread coverage of storage costs is an unresolved issue of long-standing interest to economists. Alternative explanations include risk premiums for futures market speculators, convenience yields from having inventories on hand, and the mismeasurement/aggregation of data. T-test analyses of disaggregated data suggest soybean price behavior consistent with intertemporal arbitrage conditions and corn price behavior that may imply convenience yields. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2006 |
URL: http://purl.umn.edu/19005 |
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| Egelkraut, Thorsten M.; Garcia, Philip; Irwin, Scott H.; Good, Darrel L.. |
| Using 1971-2000 data, we examine the accuracy of corn and soybean production forecasts provided by the USDA and two private agencies. All agencies improved their forecasts as the harvest progressed, and forecast errors were highly correlated and unbiased. The relative forecast accuracy of the agencies varied by crop and month. For corn, USDA’s forecasts ranked as most accurate of the three agencies in all periods except for august during the recent period and improved most markedly as harvest progressed. For soybeans, forecast errors were very similar, with the private agencies ranking as most accurate for August and September and making largest relative improvements for August during the recent period. The USDA forecasts were dominant for October and... |
| Tipo: Journal Article |
Palavras-chave: Corn; Private agencies; Production forecasts; Soybeans; USDA; Q11; Q13; C82; Q18. |
| Ano: 2003 |
URL: http://purl.umn.edu/37835 |
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| Hagedorn, Lewis A.; Irwin, Scott H.; Martines-Filho, Joao Gomes; Good, Darrel L.; Sherrick, Bruce J.; Schnitkey, Gary D.. |
| The purpose of this research report is to summarize the features of several types of "new generation" grain marketing contracts. Over the last several years, new types of grain marketing contracts have been developed by the grain industry in an attempt to improve the results of the marketing process for farmers. These products use automated pricing rules, discretionary marketing on the part of a professional advisor, options strategies, or some combination of all three; their goal is to achieve a price for the farmer near or above the "average" price offered by the market over a given time. Reports in the farm media suggest interest in new generation contracts has increased rapidly in recent years. This publication describes some of the contracts... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Crop Production/Industries; Marketing. |
| Ano: 2003 |
URL: http://purl.umn.edu/14782 |
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| Registros recuperados: 121 | |
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