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The Relative Performance of In-Sample and Out-of-Sample Hedging Effectiveness Indicators AgEcon
Dahlgran, Roger A..
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 of the hedging strategy by comparing the hedging effectiveness for this "out-of-sample" period to the "in-sample" period. This study focuses on the statistical properties of the in-sample and out-of-sample hedging effectiveness estimators. Through mathematical and simulation analysis we determine the following: (a) the R2 for the hedge ratio regression will generally overstate the amount of price risk reduction that can be achieved by hedging, (b) the properly...
Tipo: Conference Paper or Presentation Palavras-chave: Out-of-sample; Post sample; Hedging; Effectiveness; Forecasts; Simulation; Agribusiness; Agricultural Finance; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty.
Ano: 2009 URL: http://purl.umn.edu/53042
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Optimal Marketing Strategies for Southeastern Cattle Producers AgEcon
Pruitt, J. Ross; Riley, John Michael.
Tipo: Conference Paper or Presentation Palavras-chave: Hedging; Cattle; Simulation; Expected Utility; Agribusiness; Farm Management; Livestock Production/Industries; Marketing; Q13.
Ano: 2009 URL: http://purl.umn.edu/98849
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An Economic Assessment of the BSE Crisis in Canada: Impact of Border Closure and BSE Recovery Programs AgEcon
Weerahewa, Jeevika; Meilke, Karl D.; Le Roy, Danny G..
This article assesses the economic consequences of three alternative government responses to the BSE crisis in Canada: 1) expansion in slaughter capacity; 2) partial destruction of the cattle herd; and 3) deficiency payments. Each of these policies is evaluated under four different border situations: 1) autarky; 2) free trade in young beef only; 3) free trade in young beef and cattle; and 4) complete free trade. The results of the policy analysis are quite sensitive to the border assumptions, making it impossible to select a “best” policy without perfect foresight with respect to the timing and the extent of the border opening.
Tipo: Journal Article Palavras-chave: BSE; Cattle and beef; Partial equilibrium model; Simulation; Trade ban; International Relations/Trade; Livestock Production/Industries.
Ano: 2008 URL: http://purl.umn.edu/6176
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CAP-reform and the provision of non-commodity outputs in Brandenburg AgEcon
Happe, Kathrin; Damgaard, Martin; Osuch, Amanda; Sattler, Claudia; Zander, Peter; Uthes, Sandra; Schuler, Johannes; Piorr, Annette.
This paper presents an attempt to model the response of selected farms to decoupled direct payments and the associated impact on the provision of a defined set of non-commodity outputs (NCO’s) using a combined modelling approach consisting of the AgriPoliS and MODAM models. AgriPoliS focuses on the socio-economic dimension of multifunctionality at the individual farm and regional levels and explicitly models heterogeneous farms (in size, location and efficiency) within a competitive and dynamic environment. The linear-programming model MODAM allows a detailed representation of production processes and their impact on the environmental dimension of multifunctionality at the farm level. We simulate the impact of a uniform area payment and a fully decoupled...
Tipo: Journal Article Palavras-chave: Decoupling; Multifunctionality; Non-commodity outputs; Modelling; Simulation; Policy analysis; Ecological indicators; Agricultural and Food Policy; Land Economics/Use.
Ano: 2006 URL: http://purl.umn.edu/97193
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Simulation of Alternative Marketing Strategies for U.S. Cotton AgEcon
Elrod, Christopher P.; Robinson, John R.C.; Richardson, James W..
Three marketing strategies (selling a put option, cash sale at harvest, and cash sale in June) are simulated based on historical values and ranked based on certainty equivalents for a representative irrigated and dryland cotton farm Scenario analysis is also used to compare varying yield values.
Tipo: Conference Paper or Presentation Palavras-chave: Simulation; Marketing; Cotton; Risk; Marketing; Research Methods/ Statistical Methods.
Ano: 2008 URL: http://purl.umn.edu/6885
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IFECO – Modelling the Agro-Fuel Chain for Energy Cogeneration AgEcon
Rosa, Franco.
Policy makers are searching for viable strategies to produce alternative energies; the agricultural sector can become an important supplier of renewable energy. The paper will develop the IFECO (integrated farm energy cogeneration) approach, a conceptual model of farm though as it were an "island economy"a a net energy exporter as the energy output exceeds the direct energy (cultivation, cropping, plant protection, transport, harvesting, storage) and indirect energy (fertilizer, pesticide, machinery, plantationforce, others) used in sunflower cultivation. IFECO is based on the cogeneration that is the production of different energies from a single agricultural commodity to achieve the three targets that make this project sustainable: i) economic...
Tipo: Conference Paper or Presentation Palavras-chave: IFECO; Renewable energy; Biodiesel; Cogeneration; Sunflower; Simulation; Agribusiness; Resource /Energy Economics and Policy.
Ano: 2007 URL: http://purl.umn.edu/6578
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Feasible Fumigant-Herbicide System Alternatives to Methyl Bromide for Bell Pepper Producers AgEcon
Byrd, Mark M.; Escalante, Cesar L.; Fonsah, Esendugue Greg; Wetzstein, Michael E..
With the current methyl bromide (MeBr) system for producing Georgia’s peppers being phased out, alternative fumigant and herbicide systems for producers are analyzed. Using stochastic dominance analyses, two alternatives exceeding MeBr’s yield and financial efficiency were identified. A programming model, incorporating simulation-optimization techniques, generated optimal production and financial plans. Results indicate potential economic viability under alternative systems vis-à-vis the traditional MeBr production system. The Telone II and Chloropicrin combination with Metham potassium may offer a viable substitute for MeBr.
Tipo: Journal Article Palavras-chave: Fumigant; Herbicide; Methyl bromide; Multi-period programming; Optimization; Simulation; Stochastic dominance; Agribusiness; Crop Production/Industries.
Ano: 2007 URL: http://purl.umn.edu/62283
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The Impacts of Farm Size and Economic Risk on No-Till Rice Whole-Farm Profitability AgEcon
Watkins, K. Bradley; Hignight, Jeffrey A.; Anders, Merle M..
This study evaluated the impacts of farm size and stochastic return variability on no-till (NT) rice profitability at the whole-farm level. Mixed integer programming was used to determine optimal machinery complements, fuel consumption, and machinery labor requirements for conventional till (CT) and NT rice-soybean farms of 1200, 2400, and 3600 acres in size. Crop yields, market prices, and prices for key production inputs were simulated to construct stochastic whole-farm net returns for each farm size under CT and NT management, and both first and second degree stochastic dominance analysis were used to rank cumulative distribution functions of whole-farm returns according to specified risk preferences. The results indicate NT farms exhibit second degree...
Tipo: Conference Paper or Presentation Palavras-chave: Mixed integer programming; No-till; Profitability; Rice; Risk; Simulation; Stochastic dominance; Whole-farm; Farm Management; Production Economics; Risk and Uncertainty.
Ano: 2011 URL: http://purl.umn.edu/98733
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Enhancing Learning via the Internet: The Internet Agricultural Bank Simulation Game AgEcon
Briggeman, Brian C.; Detre, Joshua D.; Doye, Damona G.; Lansford, Notie H., Jr..
The Oklahoma Agricultural Bank Simulation Game (Ag Bank Sim) is a software based, experiential learning tool through which participants historically have learned key financial, economic, and banking lessons. The game offers a “real world” experience in which management decisions affect institutions interacting in a geographic market, enhancing understanding of the complex, competitive environment within which commercial banks operate. A new Internet version of the game has been developed, allowing participants to play Ag Bank Sim in a virtual environment. This poster highlights features of the game and reports results of pre and post tests of undergraduate students playing the game at Louisiana State University and Oklahoma State University in the spring...
Tipo: Conference Paper or Presentation Palavras-chave: Banking; Simulation; Experiential learning; Agricultural Finance; Financial Economics; Teaching/Communication/Extension/Profession.
Ano: 2010 URL: http://purl.umn.edu/61409
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ECONOMIC INCENTIVES FOR PST ADOPTION BY MIDWEST HOG PRODUCERS AgEcon
Richardson, James W.; Anderson, David P.; Peel, Derrell S.; Phillips, Mike.
A whole-farm simulation model is used to analyze the impacts of PST adoption on representative farms in Missouri and Indiana. Farmers who do not adopt experience lower average annual net cash farm incomes than adopters. Lower feed prices and/or an average PST/feed response decrease the incentive adopt. Payment of a 5 percent carcass merit premium (CMP) and/or higher grain prices greatly increase the economic incentive to adopt.
Tipo: Journal Article Palavras-chave: Carcass merit premium; PST; Simulation; Livestock Production/Industries.
Ano: 1993 URL: http://purl.umn.edu/15032
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Simulated Analysis of Drought's Impact on Different Cow-Calf Production Systems AgEcon
Stockton, Matthew C.; Wilson, Roger K..
Five representative firm level stochastic simulation models were constructed using historical production cost, cattle prices, weather information and scientifically collected production data from the Gundmendson Sandhills Laboratory operated by University of Nebraska. The five hundred iterative results indicate inclusion of crop residual grazing as a viable drought mitigation tool.
Tipo: Conference Paper or Presentation Palavras-chave: Drought Mitigation; Firm Level; Residual Grazing; Simulation; Stochastic; Livestock Production/Industries.
Ano: 2007 URL: http://purl.umn.edu/34981
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Financial and Risk Management Assistance: Decision Support for Agriculture AgEcon
Klose, Steven L.; Outlaw, Joe L..
The Financial and Risk Management (FARM) Assistance program created by Texas Cooperative Extension is a strategic analysis service offered to farmers and ranchers in Texas. The program serves as an example of large-scale, focused programming by extension agencies, as well as the implementation of technical stochastic simulation methods for use on the farm.
Tipo: Journal Article Palavras-chave: Decision information; Decision support system; Extension programming; Farm level analysis; Outreach; Simulation; Q16; Q12; C15; D83.
Ano: 2005 URL: http://purl.umn.edu/43516
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Evaluation of Risk Management Methods for Satsuma Mandarin AgEcon
Lindsey, Jeanne K.; Duffy, Patricia A.; Nelson, Robert G.; Ebel, Robert C.; Dozier, William A..
Simulation of production budgets were used to compare net discounted returns and the distribution of returns under alternative risk-mitigation scenarios. Results indicate that the combination of freeze protection and crop insurance increases expected net discounted 20-year returns while decreasing the downside risk. Break-even prices ranged from $.257 to $.289 per pound. Crop insurance returns were constant across price.
Tipo: Conference Paper or Presentation Palavras-chave: Satsuma oranges; Freeze protection; Crop insurance; Production budget; Simulation; Crop Production/Industries; Farm Management; Risk and Uncertainty; C63; D81; Q12.
Ano: 2009 URL: http://purl.umn.edu/46754
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The Cattle Price Cycle: An Exploration in Simulation AgEcon
Stockton, Matthew C.; Van Tassell, Larry W..
The simulation of commodity prices has been undertaken using a myriad of techniques, with some omitting the cyclical component and others ignoring the presence of inter-temporal relationships expressed as autoregressive errors. This study examines the periodicity of cattle prices and the modeling of the cattle cycle for simulation purposes. The AIC criterion is used to determine lengths of various cycles to be included in a harmonic model, with a chained modeling approach providing the best representation of the cattle cycle.
Tipo: Conference Paper or Presentation Palavras-chave: Cattle Price cycle; Harmonic model; Simulation.
Ano: 2007 URL: http://purl.umn.edu/37564
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Do-it-yourself shuffling and the number of runs under randomness AgEcon
Smeeton, Nigel; Cox, Nicholas J..
A common class of problem in statistical science is estimating, as a benchmark, the probability of some event under randomness. For example, in a sequence of events in which several outcomes are possible and the length of the sequence and number of outcomes of each type known, the number of runs gives an indication of whether the outcomes are random, clustered, or alternating. This note explains and illustrates a simple method of random shuffling that is often useful. We show how the conditional probability distribution of the number of runs may be derived easily in Stata, thus yielding p-values for testing the null hypothesis that the type of outcome is random. We also compare our direct approach with that using the simulate command.
Tipo: Journal Article Palavras-chave: Alternation; Categorical data; Clustering; Conditional distribution; Forvalues; P-value; Permutation; Run; Sequence; Simulate; Simulation; Research Methods/ Statistical Methods.
Ano: 2003 URL: http://purl.umn.edu/116095
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Introducing Different Land Uses (Irrigated and Non-Irrigated) in Policy Analysis Modelling for Mediterranean Countries AgEcon
Casado, Jose Maria; Gracia, Azucena.
The arable crop sector in Spain is highly dependent of the Community subsidies and account for 33% of total transfers received by the Community. Then, it is expected that the introduction of the Single Farm Payment (SFP) will drive important changes in the arable crop production in Spain. The quantitative assessment of the SFP impacts on the arable crop sector in Spain is the overall objective of this paper. To achieve this goal, an econometric, dynamic, multi-product and partial equilibrium commodity model has been built disaggregating between irrigated and non-irrigated land use for cereals called Spanish Econometric Simulation of Agricultural Policies (SESAP). Results indicated that the introduction of the SFP has only induced considerable changes...
Tipo: Conference Paper or Presentation Palavras-chave: CAP reform; Partial equilibrium model; Policy modelling; Irrigated agriculture; Simulation; Land Economics/Use; Q12; Q18.
Ano: 2006 URL: http://purl.umn.edu/25709
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Grain Marketing Strategies Within and Across Lifetimes AgEcon
Peterson, Hikaru Hanawa; Tomek, William G..
To reconcile the discrepancy between the efficient market hypothesis and grain marketing recommendations by advisory services and extension programs, simulated prices from an efficient market are used to compare performance of marketing practices over the long run and in individual 40-year periods. We find that an efficient market can generate diverse price behavior within finite samples, allowing for strategies that are inferior on average to perform relatively better, as frequently as half of the time in an average 40-year lifetime. Lifetime returns of strategies show considerable overlap, suggesting extremely low confidence in recommendations made based on short samples.
Tipo: Journal Article Palavras-chave: Commodity storage model; Efficient market; Finite sample; Grain marketing; Long run; Rational expectations; Simulation; Crop Production/Industries; Marketing.
Ano: 2007 URL: http://purl.umn.edu/8598
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FORWARD SHIPPING OPTIONS FOR GRAIN BY RAIL: A STRATEGIC RISK ANALYSIS; SUMMARY AgEcon
Priewe, Steven R.; Wilson, William W..
Grain hauling railroads began offering shipping alternatives in the late 1980s that have made transportation decisions more strategic. Shippers now confront alternatives ranging from nearby and unguaranteed ordering to various durations of forward and guaranteed shipment. A dynamic stochastic simulation model was developed to analyze grain shipping and merchandising strategies that integrate these alternatives.
Tipo: Working or Discussion Paper Palavras-chave: Railroads; Grain merchandising; Logistics; Simulation; Risk analysis; Crop Production/Industries.
Ano: 1997 URL: http://purl.umn.edu/23256
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EMPLOYMENT IN BIOTECHNOLOGY IN GERMANY AgEcon
Menrad, Klaus.
Paper prepared for presentation at the 8th ICABR International Conference on Agricultural Biotechnology: International Trade and Domestic Production Ravello (Italy), July 8 to 11th, 2004
Tipo: Conference Paper or Presentation Palavras-chave: Biotechnology; Employment; Germany; Application industries; Simulation; Labor and Human Capital; E24; J21.
Ano: 2004 URL: http://purl.umn.edu/91012
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Simulation of factors impeding water quality trading market performance AgEcon
Smith, Craig M.; Peterson, Jeffrey M.; Leatherman, John C..
Over the past several decades, market-based approaches to natural resource management have received increased attention as a means to cost-effectively achieve environmental quality goals. Following on what has been hailed a success for reducing air pollution, water quality trading (WQT) has more recently been seen as the next great opportunity for reducing water pollution, especially for nutrient loading. Numerous trading programs have been pilot tested and/or adopted in states throughout the nation, with more than 70 programs now in operation (Breetz et al., 2004). WQT would allow multiple contributors to surface water degradation to determine how best to meet an overarching collective goal related to pollution reduction. WQT takes advantage of...
Tipo: Conference Paper or Presentation Palavras-chave: Water quality trading; Market based; Trading ratio; Information levels; Point source; Nonpoint source; Simulation; Environmental Economics and Policy; Resource /Energy Economics and Policy.
Ano: 2010 URL: http://purl.umn.edu/61125
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