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| Registros recuperados: 27 | |
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| He, Dequan; Holt, Matthew T.. |
| Market efficiency and unbiasedness tests are performed for the first time for three forest commodity futures markets: softwood lumber, oriented strand board (OSB), and northern bleached softwood kraft pulp (NBSK). The Johansen cointegration procedure is applied to test long-term market efficiency, while the standard error correction models (ECM) and ECM with GQARCH-in-mean process are also used to examine short-term market efficiency and unbiasedness. Results show that these markets are inefficient and biased in both the long-term and short-term. Results also indicate that no short-term time-varying risk premiums are found in these commodity futures markets. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/20344 |
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| Holt, Matthew T.. |
| The impacts of introducing a partial price stabilization scheme in the U.S. corn market are investigated by using a modified version of the bounded price variation model. Specifically, a model is developed and estimated that includes rational expectations of the first three central moments of the (truncated) equilibrium price distribution. The estimated model is used to stimulate market equilibrium effects of introducing upper and lower price limits through a tax-subsidy scheme. The results show that corn producers are downside risk averse, and that market feedback effects of price stabilization can, at times, be more important than direct effects. |
| Tipo: Journal Article |
Palavras-chave: Demand and Price Analysis. |
| Ano: 1994 |
URL: http://purl.umn.edu/30749 |
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| Aradhyula, Satheesh V.; Holt, Matthew T.. |
| This article applies recent developments in time-series modeling to analyze the retail prices of beef, pork, and chicken. Specifically, generalized autoregressive conditional heteroscedasticity (GARCH) models were fitted to these data to determine if, unlike more traditional time-series models, the conditional variances of the underlying stochastic processes are nonconstant. The estimation results indicate that the constant conditional variances assumption can be rejected. Furthermore, ex post forecast intervals generated from the GARCH processes indicate that the forecasting accuracy of the estimated models has varied widely over time with substantial volatility occurring during the 1970s and early 1980s. |
| Tipo: Journal Article |
Palavras-chave: Demand and Price Analysis; Livestock Production/Industries; Research Methods/ Statistical Methods. |
| Ano: 1988 |
URL: http://purl.umn.edu/32111 |
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| Klaiber, H. Allen; Holt, Matthew T.. |
| In recent years the theoretical restrictions of consumer demand have been examined in post sample forecasting exercises. However, this work has uniformly ignored the concavity restrictions of consumer demand. In this paper we evaluate a series of Normalized Quadratic Inverse Demand System (NQIDS) specifications using rolling windows and generating one-- to four--step ahead forecasts. To estimate the models, eleven categories of South Atlantic fish are used from 1980 through 2001. In addition to the NQIDS, we also examine the forecasting performance of a purely time series model. We find that the best predictions are achieved using a composite forecast. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Demand and Price Analysis. |
| Ano: 2007 |
URL: http://purl.umn.edu/9968 |
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| Holt, Matthew T.. |
| It is shown that the first-order differential acreage allocation model developed by Bettendorf an Bloome and by Barten and Vanloot, and based on certainty equivalent profit maximization, may be extended to a levels version. The levels model, referred to as a linear approximate acreage allocation model, is potentially useful when panel or cross-sectional data are employed. An empirical application with U.S. state-level corn flex acreage data for the period 1991-95 indicates the feasibility of the approach. Estimated price and scale elasticities are generally larger than previous estimates, and are perhaps indicative of acreage response under the provisions of the 1996 Farm Act. |
| Tipo: Journal Article |
Palavras-chave: Crop Production/Industries. |
| Ano: 1999 |
URL: http://purl.umn.edu/30792 |
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| Haigh, Michael S.; Holt, Matthew T.. |
| Foreign exchange hedging ratios are simultaneously estimated alongside freight and commodity ratios in a time-varying portfolio framework. Foreign exchange futures are found to be by far the most important derivative instrument to be employed in order to reduce uncertainty for traders. Our results lend support to the decision by LIFFE to cease trading the BIFFEX freight futures contract because of its low levels of trading activity, which likely resulted from its apparent unattractiveness as a hedging instrument. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Marketing. |
| Ano: 2002 |
URL: http://purl.umn.edu/28573 |
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| Bishop, Richard C.; Holt, Matthew T.. |
| A variety of regulations may affect commercial fish catches. We take here as a case in point steps to reduce losses of aquatic organisms due to impingement and entrainment (I&E) at power plants. Methods to evaluate the benefits of such measures are needed for benefit-cost analysis. We use a new approach to estimating ex vessel demand by Holt and Bishop (2002) to address the portion of the benefits that occur post-harvest, that is, down the marketing chain after fishermen sell their catches. The model deals with the dockside prices and quantities for six major commercial species harvested from the U.S. Great Lakes. We use the model to explore the potential magnitude of post-harvest benefits for Great Lakes fisheries. We then turn to a possible approach... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Resource /Energy Economics and Policy. |
| Ano: 2003 |
URL: http://purl.umn.edu/12603 |
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| Holt, Matthew T.; Moschini, GianCarlo. |
| The role of price risk in sow farrowings is investigated by using bivariate ARCH-M and GARCH-M models and a nonparametric kernel estimator. To account for the relevant time horizon of irreversible supply decisions, predictions for mean price and conditional price variance are iterated forward. The empirical results vary markedly in terms of their implications for risk response in hog supply decisions, with the ARCH-M and GARCH-M models suggesting a small and negative risk effect. Estimates of the marginal risk premium also indicate moderate and variable departures from marginal cost pricing in sow farrowing supply decisions. |
| Tipo: Journal Article |
Palavras-chave: Demand and Price Analysis; Production Economics; Risk and Uncertainty. |
| Ano: 1992 |
URL: http://purl.umn.edu/30737 |
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| Hilmer, Christiana E.; Holt, Matthew T.. |
| Whereas consumer theory employs several different empirical specifications for estimating indirect utility functions, producer theory has relied on the Translog specification to estimate the indirect production function. In this paper, we apply Lewbel’s more general functional specification and investigate its implications for the estimation of indirect production functions in productivity analysis. An attractive feature of the Lewbel model is that it nests both the Translog and the almost ideal supply system, offering a method to assess the empirical validity of all three specifications. Aggregate U.S. production data are used to examine the performance of the three models in an empirical application. |
| Tipo: Journal Article |
Palavras-chave: Duality; Indirect production function; Nested test; C32; C52; Q12. |
| Ano: 2005 |
URL: http://purl.umn.edu/43484 |
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| Haigh, Michael S.; Holt, Matthew T.. |
| In many studies the assumption is made that traders only encounter one type of price risk. In reality, however, traders are exposed to multiple price risks, and often have several relevant derivative instruments available with which to hedge price uncertainty. In this study, commodity, foreign exchange, and freight futures contracts are analyzed for their effectiveness in reducing price uncertainty for international grain traders. A theoretical model is developed for a representative European importer to depict a realistic trading problem encountered by an international grain trading corporation exposed to more than one type of price risk. The traditional method of estimating hedge ratios by Ordinary Least Squares (OLS) is compared to the Seemingly... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Hedging; Multivariate GARCH; Foreign exchange; Freight and commodity futures; Marketing; F3; C3; G1. |
| Ano: 1999 |
URL: http://purl.umn.edu/23997 |
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| Registros recuperados: 27 | |
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