SABIIA - Sistema Aberto e Integrado de Informação em Agricultura (Sabiia)

Lewis, Daniel; Manfredo, Mark R.; Sanders, Dwight R.; Scott, Winifred.

Analysts’ forecasting of earnings per share for multiple quarter time horizons of eleven agribusiness companies is evaluated using a mean absolute scaled error and a direct test. Results illustrate that unique information is consistently found. Rational and efficient expectations are formed periodically. Analysts’ performance declines as the time horizon increases.

Tipo: Presentation

Palavras-chave: Agribusiness; Agricultural Finance; Industrial Organization.

Ano: 2012

URL: http://purl.umn.edu/124480

Rationality of U.S. Department of Agriculture Livestock Price Forecasts: A Unified Approach

Is the Local Basis Really Local?

This research presents a systematic and unified approach to evaluating forecast rationality that considers the potential of nonstationarity in forecasts and realized values. The approach is applied to one-quarter ahead U.S. Department of Agriculture livestock price forecasts from 1982 through 2004. Results show that forecasts and realized prices are integrated of the same order, and those that are nonstationary are cointegrated. However, the stationary price forecasts for hogs, turkeys, eggs, and milk are biased and improperly scaled, and forecast errors tend to be repeated. Similarly, nonstationary forecasts for cattle and broilers are also biased and irrational in the long run, but short-run dynamics are rational.

Tipo: Journal Article

Palavras-chave: Forecast evaluation; Livestock prices; Rationality; Livestock Production/Industries; C53; Q13.

Ano: 2007

URL: http://purl.umn.edu/6658

Conventional wisdom suggests the local cash - futures basis is determined from local supply and demand conditions. However, it may be the case that local elevators look to other locations, such as terminal locations, and adjust for transportation differentials when determining the basis for their particular market. If so, certain grain marketing locations (e.g., export and interior terminal locations) may play an important role in discovering and ultimately determining the basis for other local markets. This hypothesis is examined for the #2 yellow corn basis at various export terminal (Gulf; Toledo), river terminal (Illinois River; Omaha) and interior (S. Central Illinois; N. Central Iowa; Denver) locations. Specifically, if the basis calculated at one...

Forecasting Basis Levels in the Soybean Complex: A Comparison of Time Series Methods

Palavras-chave: Marketing.

Ano: 2006

URL: http://purl.umn.edu/19001

The Value of Public Price Forecasts: Additional Evidence in the Live Hog Market

A battery of time series methods are compared for forecasting basis levels in the soybean futures complex: soybeans, soybean meal, and soybean oil. Specifically, nearby basis forecasts are generated with exponential smoothing techniques, autoregression moving average (ARMA), and vector autoregression (VAR) models. The forecasts are compared to those of the 5-year average, year ago, and no change methods. Using the 5-year average as the benchmark method, the forecast evaluation results suggest that alternative naive techniques may produce better forecasts, and the improvement gained by time series modeling is relatively small. In this sample, there is little evidence that the basis has become systematically more difficult to forecast in recent years.

Tipo: Journal Article

Palavras-chave: Basis forecasts; Time series models; Soybean complex; Risk and Uncertainty; C53; Q13.

Ano: 2006

URL: http://purl.umn.edu/43790

USDA PRODUCTION FORECASTS FOR PORK, BEEF, AND BROILERS: AN EVALUATION

USDA and Cooperative Extension Service forecasts of hog prices are directly tested for incremental value vis-à-vis futures-based forecasts in a forecast encompassing framework. At horizons less than six months, the lean hog futures-based forecast is found to be more accurate than both the USDA and Extension Service forecasts, and the difference in forecasting performance is statistically significant. Not only are the agency forecasts less accurate, but neither the USDA nor the Extension Service forecasts add incremental information relative to the futures forecast. The results suggest that extension forecasters may want to refocus forecasting efforts on basis relationships, longer forecast horizons, or commodities without active futures markets.

Tipo: Journal Article

Palavras-chave: Forecast encompassing; Hog prices; Public forecasts; Demand and Price Analysis; Research Methods/ Statistical Methods.

Ano: 2004

URL: http://purl.umn.edu/59395

USDA Livestock Price Forecasts: A Comprehensive Evaluation

One-step-ahead forecasts of quarterly beef, pork, and poultry production are examined and evaluated based on traditional criteria for optimality-efficiency and unbiasedness-as well as their performance versus a univariate time-series model. However, traditional regression methodology for evaluating forecasts is avoided due to interpretive issues. Instead, an empirical framework focusing on forecast errors in employed. Results suggest USDA forecasts are unbiased, but generally not efficient. That is, they do not fully incorporate the information contained in past forecasts. Moreover, USDA's predictions do not encompass all the information contained in forecasts generated by simple time-series models. Thus, practitioners who use the USDA forecasts may...

Tipo: Journal Article

Palavras-chave: Agribusiness.

Ano: 2002

URL: http://purl.umn.edu/31080

Predicting Pork Supplies: An Application of Multiple Forecast Encompassing

One-step-ahead forecasts of quarterly live cattle, live hog, and broiler prices are evaluated under two general approaches: accuracy-based measures and classification based measures which test the ability to categorize price movements directionally or within a forecasted range. Results suggest U.S. Department of Agriculture (USDA) price forecasts are not optimal. Broiler price forecasts are biased, and all the forecast series tend to repeat errors. While the USDA forecasts are more accurate than those of a univariate AR(4) time-series model, evidence suggests the USDA live cattle forecasts could be improved with a composite forecast that includes a time-series alternative. Despite this, the USDA correctly identifies the direction of price change in at...

Tipo: Journal Article

Palavras-chave: Forecast efficiency; Forecast evaluation; Livestock prices; USDA forecasts; Livestock Production/Industries.

Ano: 2003

URL: http://purl.umn.edu/31101

WEATHER DERIVATIVES: MANAGING RISK WITH MARKET-BASED INSTRUMENTS

Conditional efficiency or forecast encompassing is tested among alternative pork production forecasts using the method proposed by Harvey and Newbold. One-, two-, and three-quarter ahead pork production forecasts made by the United States Department of Agriculture (USDA), the University of Illinois and Purdue University Cooperative Extension Service, and those produced by a univariate time series model are evaluated. The encompassing tests provide considerably more information about forecast performance than a simple pair-wise test for equality of mean squared errors. The results suggest that at a one-quarter horizon, the Extension service forecasts encompass the competitors, but at longer horizon, a composite forecast may provide greater accuracy.

Tipo: Journal Article

Palavras-chave: Composite forecasts; Forecast encompassing; Pork production; C53; Q13.

Ano: 2004

URL: http://purl.umn.edu/43451

Richards, Timothy J.; Manfredo, Mark R.; Sanders, Dwight R..

Accurate pricing of weather derivatives is critically dependent upon correct specification of the underlying weather process. We test among six likely alternative processes using maximum likelihood methods and data from the Fresno, CA weather station. Using these data, we find that the best process is a mean-reverting geometric Brownian process with discrete jumps and ARCH errors. We describe a pricing model for weather derivatives based on such a process.

Information Content in Deferred Futures Prices: Live Cattle and Hogs

Palavras-chave: Risk and Uncertainty.

Ano: 2002

URL: http://purl.umn.edu/19074

Sanders, Dwight R.; Garcia, Philip; Manfredo, Mark R..

The marginal forecast information contained in deferred futures prices is evaluated using the direct test of Vuchelen and Gutierrez. In particular, the informational role of deferred futures contracts in live cattle and hogs is assessed from the two- to twelve-month horizons. The results indicate that unique information is contained in live cattle futures prices out through the ten-month horizon, while hog futures prices add incremental information at all tested horizons. Practitioners using futures-based forecasting methods are well-served by deferred hog futures prices; however, live cattle futures listed beyond the 10 month horizon are not adding incremental information.

KEEP UP THE GOOD WORK? AN EVALUATION OF THE USDA'S LIVESTOCK PRICE FORECASTS

Palavras-chave: Forecast information; Forecast evaluation; Livestock futures.

Ano: 2007

URL: http://purl.umn.edu/37562

One step-ahead forecasts of quarterly live cattle, live hog, and broiler prices are evaluated under two general approaches: accuracy-based measures and the ability to categorize price movements directionally or within a forecasted range. Results suggest USDA price forecasts are not optimal. Broiler price forecasts are biased, and all the forecast series tend to repeat errors. While the USDA forecasts are more accurate that those of a univariate AR(4) time series model, the evidence suggests that live cattle forecasts could be improved with a composite forecast. However, the USDA correctly identifies the direction of price change in at least 70% of its forecasts. Prices fall within the USDA's forecasted range 48% of the time for broilers but only 35% for...

AGRICULTURAL COOPERATIVES AND RISK MANAGEMENT:IMPACT ON FINANCIAL PERFORMANCE

Palavras-chave: Forecast evaluation; Forecast efficiency; USDA forecasts; Demand and Price Analysis.

Ano: 2003

URL: http://purl.umn.edu/18990

Manfredo, Mark R.; Richards, Timothy J.; McDermott, Scott.

Agricultural cooperatives, like all agribusinesses, operate in an inherently risky environment. Many risk management tools exist, but agricultural cooperatives have been slow to adopt sophisticated risk management practices. Using simulation methods, this paper presents insight into how both traditional and innovative risk management practices effect the distribution of key financial variables for agricultural cooperatives.

FORECAST ENCOMPASSING AND FUTURES MARKET EFFICIENCY: THE CASE OF MILK FUTURES

Palavras-chave: Agribusiness.

Ano: 2003

URL: http://purl.umn.edu/22217

The traditional necessary condition for futures market inefficiency is the existence of alternative forecasting methods that produce mean squared forecast errors smaller than the futures market. Here, a more exacting requirement for futures market efficiency is proposedforecast encompassing. Using the multiple forecast encompassing procedure of Harvey and Newbold, forecast encompassing is tested with the CME fluid milk futures contract. Time series models and experts at the USDA provide the competing forecasts. The results suggest that the CME fluid milk futures do not encompass the information contained in the USDA forecasts at a two-quarter forecast horizon. While the competing forecasts generate positive revenues, it is unlikely that trading...

FORECASTING FED CATTLE, FEEDER CATTLE, AND CORN CASH PRICE VOLATILITY: THE ACCURACY OF TIME SERIES, IMPLIED VOLATILITY, AND COMPOSITE APPROACHES

Palavras-chave: Marketing.

Ano: 2004

URL: http://purl.umn.edu/20267

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

Cooperative Risk Management: Rationale and Effectiveness

Manfredo, Mark R.; Richards, Timothy J..

Agricultural cooperatives tend to be riskier than investor-oriented firms, both in a business and financial sense. However, cooperative managers are often reluctant to actively manage risk. Although the risk management irrelevance proposition suggests that cooperative managers should be unable to add shareholder value through risk management activities, this study argues that there are several reasons why this is not likely to be the case for cooperatives. Several empirical examples are provided through numerical simulation of pro-forma financial statements from representative agricultural cooperatives. Using mean variance, expected utility and value-at-risk metrics, the results of these simulations show that various risk management strategies can...

Tipo: Working or Discussion Paper

Palavras-chave: Cooperative; Expected utility; Futures; Option; Risk management; Value at risk.; Risk and Uncertainty.

Ano: 2003

URL: http://purl.umn.edu/28540

MODELING CONTRACT FORM: AN EXAMINATION OF CASH SETTLED FUTURES

This research presents an intuitive interpretation and expression for pricing cash settled futures contracts. In particular, the choice of the averaging period for the underlying cash index is evaluated. For example, the averaging period for the Lean Hog futures contract is two days, whereas it is thirty days for the F ed funds contract. Does the choice of the averaging period make a difference? Under certain assumptions, the behavior of the futures price prior to entering the expiration or averaging interval is independent of the length of the interval for storable commodities, but it is not for non-storable commodities.

THE PERFORMANCE OF WEATHER DERIVATIVES IN MANAGING RISKS OF SPECIALTY CROPS

Palavras-chave: Marketing.

Ano: 2002

URL: http://purl.umn.edu/19069

Fleege, Trevor A.; Richards, Timothy J.; Manfredo, Mark R.; Sanders, Dwight R..

California specialty crop growers are exposed to extreme price volatility, as well as considerable yield volatility caused by fluctuations in temperature, precipitation, and other specific weather events. Weather derivatives do provide a promising market-based solution to managing risks for specialty crops. While previous weather derivatives research has focused on the pricing of weather options, little if any research has been conducted evaluating the hedging effectiveness of these instruments in practical risk management settings. Therefore, this research examines the hedging effectiveness of weather derivative strategies for nectarines, raisin grapes, and almonds in Central California. Estimates of the yield-weather relationships for these crops are...

Contribution to Price Discovery in the Forest Product Market: Futures, Forwards, and Spot Markets

Palavras-chave: Crop Production/Industries; Risk and Uncertainty.

Ano: 2004

URL: http://purl.umn.edu/19026

This research examines the lead-lag relationships between futures prices, prices from a cash forward market, and spot prices for two forest product markets. Results suggest that for 2x4 lumber, the forward market provides some level of price discovery, but futures play a dominant price discovery role for oriented strand board.

TIME-VARYING MULTIPRODUCT HEDGE RATIO ESTIMATION IN THE SOYBEAN COMPLEX: A SIMPLIFIED APPROACH

Palavras-chave: Marketing.

Ano: 2006

URL: http://purl.umn.edu/21250

Manfredo, Mark R.; Garcia, Philip; Leuthold, Raymond M..

In developing optimal hedge ratios for the soybean processing margin, many authors have illustrated the importance of considering the interactions between the cash and futures prices for soybeans, soybean oil, and soybean meal. Conditional as well as time-varying hedge ratios have been examined, but in the case of multiproduct time-varying hedge ratios, the difficulty in estimation has been found to often outweigh any improvement in hedging effectiveness. This research examines the hedging effectiveness of the Risk Metrics procedure for estimating a time-varying covariance matrix for developing optimal hedge ratios for the soybean processing margin. The Risk Metrics method allows for a time-varying covariance matrix while being considerably easier to...

Hedging Yield with Weather Derivatives: A Role for Options

Palavras-chave: Marketing.

Ano: 2000

URL: http://purl.umn.edu/18933

Manfredo, Mark R.; Richards, Timothy J..

While there are few risk management alternatives available to specialty crop growers, weather derivatives provide an important advancement. As with the use of any derivatives contract, the behavior of the basis will ultimately determine the net-hedged outcome. However, when using weather derivatives to hedge yield risks for specialty crops, growers face a unique form of basis risk because weather (temperature) and yield are nonlinearly related. Using the forecast encompassing principle, this research shows that the nonlinear relationship between yield and weather creates a role for options in an optimal hedging program. The results suggest that weather derivative instruments with nonlinear payoffs, such as options, be used in combination with linear...