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| Registros recuperados: 26 | |
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| Bryant, Henry L.; Haigh, Michael S.. |
| This research compares partial equilibrium and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when hedging commodity price risk using a simple derivative with a linear payoff function (a futures contract). For various methods of parameter estimation and inference, we find that the partial equilibrium models cannot out-perform the time series model. The partial equilibrium models unpalatable assumptions of deterministically evolving futures volatility seems to impede their hedging effectiveness, even when potentially foresighted option-implied volatility term... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2003 |
URL: http://purl.umn.edu/18972 |
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| Bryant, Henry L.; Bessler, David A.. |
| We describe a means of rejecting a null hypothesis concerning observed, but not deliberately manipulated, variables of the form H0: A -/-> B in favor of an alternative hypothesis HA: A --> B, even given the possibility of causally related unobserved variables. Rejection of such an H0 relies on the availability of two observed and appropriately related instrumental variables. While the researcher will have limited control over the confidence level in this test, simulation results suggest that type I errors occur with a probability of less than 0.15 (often substantially less) across a wide range of circumstances. The power of the test is limited if there are but few observations available and the strength of correspondence among the variables is weak.... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Causality; Monte Carlo; Observational data; Hypothesis testing; Research Methods/ Statistical Methods. |
| Ano: 2011 |
URL: http://purl.umn.edu/103238 |
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| Bryant, Henry L.; Haigh, Michael S.. |
| This research compares partial equilibrium and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when hedging commodity price risk using futures contracts. For various methods of parameter estimation and inference, we find that the partial equilibrium models cannot out-perform a vector error-correction model with a GARCH error structure. The partial equilibrium models' unpalatable assumption of deterministically evolving futures volatility seems to impede their hedging effectiveness, even when potentially foresighted option-implied volatility term structures are... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Marketing; Risk and Uncertainty. |
| Ano: 2003 |
URL: http://purl.umn.edu/28580 |
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| Bryant, Henry L.; Bessler, David A.; Haigh, Michael S.. |
| This research investigates various unresolved issues regarding futures markets, using formal methods appropriate for inferring causal relationships from observational data when some relevant quantities are hidden. We find no evidence supporting the generalized version of Keynes's theory of normal backwardation. We find no evidence supporting theories that predict that the level of activity of speculators or uninformed traders affects the level of price volatility, either positively or negatively. Our evidence strongly supports the mixture of distribution hypothesis (MDH) that trading volume and price volatility have one or more latent common causes, resulting in their positive correlation. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Marketing. |
| Ano: 2003 |
URL: http://purl.umn.edu/28574 |
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| Bryant, Henry L.; Haigh, Michael S.. |
| Various bid-ask spread estimators are applied to transaction data from LIFFE cocoa and coffee futures markets, and the resulting estimates are compared to observed actual bid-ask spreads. Results suggest that actual bid-ask spreads, which are not reported by most open-outcry futures markets, can be reasonably estimated using readily available transaction data. This is especially important since recent research seems to indicate that efforts to estimate effective spreads using data commonly available from futures markets have not been successful. Thus estimates of actual spreads can give market participants and researchers some idea of potential transaction costs. Accurate estimates of bid-ask spreads will also be needed to assess the relative efficiency... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2001 |
URL: http://purl.umn.edu/18958 |
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| Bryant, Henry L.; Davis, George C.. |
| This paper presents an information based model averaging and internal meta-analysis procedure that is easily applied to a large model space. In the application, the procedure is used to investigate the efficacy of some recently contested commodity promotion programs. The investigated model space consists of 576 demand systems. The internal meta-analysis indicates that theoretical restrictions and evaluation points are more important than alternative functional forms and explanatory variables in determining the elasticity values. The model averaging weights strongly support the theoretically consistent classical demand systems without promotion. The weighted or meta-price and meta-expenditure elasticities are presented and discussed. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Demand and Price Analysis. |
| Ano: 2003 |
URL: http://purl.umn.edu/21918 |
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| Campiche, Jody L.; Bryant, Henry L.; Richardson, James W.; Outlaw, Joe L.. |
| Over the last few years, the production of renewable fuels has increased dramatically. Rising oil prices, limited supplies of fossil fuel, and increased concerns about global warming have created a growing demand for renewable energy sources. Both the ethanol and biodiesel industries have experienced tremendous growth in the past few years. The production of these fuels is highly dependent on the availability of agricultural feedstocks. This research examined the covariability between crude oil prices and corn, sorghum, sugar, soybeans, soybean oil, and palm oil prices during the 2003-2007 time period. Johansen cointegration tests revealed no cointegrating relationships during the 2003-2005 time frame. However, corn prices and soybean prices were... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Energy; Ethanol; Biodiesel; Renewable fuels; Crude oil prices; Cointegration; Demand and Price Analysis; Q11; Q13; Q42. |
| Ano: 2007 |
URL: http://purl.umn.edu/9881 |
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| Dicks, Michael R.; Campiche, Jody L.; Torre Ugarte, Daniel de la; Hellwinckel, Chad M.; Bryant, Henry L.; Richardson, James W.. |
| The Renewable Fuel Standard mandates in the Energy Independence and Security Act of 2007 will require 36 billion gallons of ethanol to be produced in 2022. The mandates require that 16 of the 36 billion gallons must be produced from cellulosic feedstocks. The potential land use implications resulting from these mandates were examined using two methods, the POLYSYS model and a general equilibrium model. Results of the POLYSYS analysis indicated that 72.1 million tons of corn stover, 23.5 million tons of wheat straw, and 24.7 million acres would be used to produce 109 million tons of switchgrass in 2025 to meet the mandate. Results of the CGE analysis indicated that 10.9 billion bushels of corn grain, 71 million tons of corn stover, and 56,200 tons of... |
| Tipo: Journal Article |
Palavras-chave: Cellulosic ethanol; Corn stover; Grain ethanol; Renewable fuel standard; Switchgrass; Crop Production/Industries; Demand and Price Analysis; Environmental Economics and Policy; Land Economics/Use; Resource /Energy Economics and Policy; Q15; Q42. |
| Ano: 2009 |
URL: http://purl.umn.edu/53091 |
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| Rausser, Gordon C.; Bryant, Henry L.. |
| Academia and the finance industry generate many proposals for new contract markets. Unfortunately, many proposed markets lack the critical attributes that promote success. We examine these attributes, and evaluate the potential of several announced proposals. We find that proposals emanating from the academy generally fail to consider the full suite of integrated financial services necessary to support a viable market, while proposals put forward by practitioners are much more likely to do so. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/19018 |
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| Bryant, Henry L.; Bessler, David A.; Haigh, Michael S.. |
| Economic theory is replete with causal hypotheses that are scarcely tested because economists are generally constrained to work with observational data. This article describes the use of causal inference methods for testing a hypothesis that one random variable causes another. Contingent on a sufficiently strong correspondence between the hypothesized cause and effect, an appropriately related third variable can be employed for such a test. The procedure is intuitive, and is easy to implement. The basic logic of the procedure naturally suggests strong and weak grounds for rejecting the hypothesized causal relationship. Monte Carlo results suggest that weakly-grounded rejections are unreliable for small samples, but reasonably reliable for large... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Research Methods/ Statistical Methods. |
| Ano: 2006 |
URL: http://purl.umn.edu/21166 |
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| Richardson, James W.; Outlaw, Joe L.; Knapek, George M.; Raulston, J. Marc; Herbst, Brian K.; Fumasi, Roland J.; Anderson, David P.; Bryant, Henry L.; Klose, Steven L.; Zimmel, Peter. |
| The farm level economic impacts of the Farm Security and Rural Investment Act of 2002 (2002 Farm Bill) on representative crop, dairy, and livestock operations are projected in this report. The analysis was conducted over the 2007-2012 planning horizon using FLIPSIM, AFPC’s whole farm simulation model. Data to simulate agricultural operations in the nation’s major production regions came from two sources: • Producer panel cooperation to develop economic information to describe and simulate representative crop, livestock, and dairy farms. • Projected prices, policy variables, and input inflation rates from the Food and Agricultural Policy Research Institute (FAPRI) December 2007 Baseline. The FLIPSIM policy simulation model incorporates the historical risk... |
| Tipo: Working or Discussion Paper |
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| Ano: 2007 |
URL: http://purl.umn.edu/37977 |
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| Bryant, Henry L.; Haigh, Michael S.. |
| Issues of recent interest and controversy regarding bid-ask spreads in commodity futures markets are investigated. First we apply competing spread estimators to open outcry transactions data and compare resulting estimates to observed spreads. This enables market microstructure researchers, regulators, exchange officials, and traders the opportunity to evaluate the usefulness and accuracy of bid-ask estimators in markets that do not report bid and ask data, providing an idea of the "worst-case" transaction costs that are likely to be incurred. We also compare spreads observed before and after trading was automated (and made anonymous) on commodity futures markets, and discover that spreads have generally widened since trading was automated, and that they... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Marketing. |
| Ano: 2002 |
URL: http://purl.umn.edu/28587 |
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| Bryant, Henry L.; Outlaw, Joe L.; Richardson, James W.; Higgins, Lindsey M.; Campiche, Jody L.. |
| After several months of increases, fossil fuel prices decreased substantially in August and September of 2006. • Crude oil prices directly affect gasoline prices, which are an important determinant of ethanol demand. Natural gas prices are an important cost of ethanol production. • This briefing paper provides projections of ethanol and corn prices, production, and use, given recent developments in fossil fuel markets. |
| Tipo: Working or Discussion Paper |
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| Ano: 2006 |
URL: http://purl.umn.edu/42093 |
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| Registros recuperados: 26 | |
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