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| Registros recuperados: 40 | |
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| Fournier, Valerie; Manfredo, Mark R.; Richards, Timothy J.; Eaves, James. |
| Invasive insect species cause billions of dollars of direct and indirect damage to U.S. crops each year. The market for insuring insect damage is, however, far from complete. The objective of this study is to design and value insect derivatives, or "bug options," which would offer growers a market-based means for transferring risk of pest damage to speculators or others who may profit from higher insect populations. A bug option valuation model is developed and applied to Bemesia tabaci infestation in cotton. The results show that insect derivatives may become important risk management tools for a wide range of growers. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Risk and Uncertainty. |
| Ano: 2005 |
URL: http://purl.umn.edu/19553 |
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| Manfredo, Mark R.; Libbin, James D.. |
| The fruit and vegetable industry does not have a risk management instrument or a well-structured price discovery system, such as commodity futures contracts, to aid in the marketing and management of its price risk. Since the 1980s, financial futures contracts based on indexes of stocks, commodities and currencies have been used to hedge these groups of assets. The purpose of this study was to apply the concept of index futures contracts to the produce industry by developing indexes based on prices of fruits and vegetables and to determine the hedging effectiveness of potential futures contracts written on these indexes. Twenty representative fruits and vegetables were chosen to compile indexes for fruits, for vegetables, and for fruits and vegetables... |
| Tipo: Journal Article |
Palavras-chave: Fruits; Vegetables; Futures markets; Index futures contracts; Agribusiness; Agricultural Finance; Marketing. |
| Ano: 1998 |
URL: http://purl.umn.edu/90431 |
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| Manfredo, Mark R.; Sanders, Dwight R.. |
| An empirical methodology is developed for statistically testing the hedging effectiveness among competing futures contracts. The presented methodology is based on the encompassing principle, widely used in the forecasting literature, and applied here to minimum variance hedging regressions. Intuitively, the test is based on an alternative futures contract's ability to reduce residual basis risk by offering either diversification or a smaller absolute level of basis risk than a preferred futures contract. The methodology is also easily extended to cases involving multiple hedging instruments and general hedge ratio models. The methodology is demonstrated by evaluating the hedging effectiveness of Chicago Board of Trade's (CBOT) corn futures versus the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Encompassing; Hedging effectiveness; Corn futures; Agribusiness. |
| Ano: 2003 |
URL: http://purl.umn.edu/22247 |
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| 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... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2000 |
URL: http://purl.umn.edu/18933 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| USDA livestock production forecasts are evaluated for information across multiple horizons using the direct test developed by Vuchelen and Gutierrez. Forecasts are explicitly tested for rationality (unbiased and efficient) as well as for incremental information out to three quarters ahead. The results suggest that although the forecasts are often not rational, they typically do provide the forecast user with unique information at each horizon. Turkey and milk production forecasts tended to provide the most consistent performance, while beef production forecasts provided little information beyond the two quarter horizon. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Livestock Production/Industries. |
| Ano: 2006 |
URL: http://purl.umn.edu/18997 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| Cash forward contracting is a common, and often preferred, means of managing price risk for agribusinesses. Despite this, little is known about the performance of cash forward markets, in particular the role they play in price discovery. The lumber market provides a unique case for examining this issue. The Bloch Lumber Company maintains an active cash forward market for many lumber products, and publishes benchmark forward prices on their website and disseminates these prices to data vendors. Focusing on 2x4 random lengths lumber and 7/16 oriented strand board, this research examines the lead-lag relationships between the three-month forward prices published by Bloch Lumber and representative spot prices. Results suggest that at least for 2x4 random... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/19049 |
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| Manfredo, Mark R.; Sanders, Dwight R.. |
| 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... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2006 |
URL: http://purl.umn.edu/19001 |
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| Manfredo, Mark R.; Richards, Timothy J.; McDermott, Scott. |
| While not ignoring risk, agricultural cooperatives tend to accommodate risk through the holding of internal capital reserves rather than engage in active risk management. A lack of information regarding the risk, returns, and the effect on cooperative financial performance of both traditional and innovative risk management strategies is likely a constraint to the adoption of active risk management by cooperatives. In this research, we examine the influence of alternative risk management strategies on cooperative financial performance, namely the return on assets (ROA) of grain merchandising cooperatives of various sizes. Strategies include traditional exchange traded futures and options strategies, an over-the-counter revenue swap, throughput insurance,... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Agribusiness. |
| Ano: 2003 |
URL: http://purl.umn.edu/18985 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| 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 |
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| 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... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Weather Derivatives; Forecast Encompassing; Composite Hedges; Risk and Uncertainty; Q14; G13. |
| Ano: 2005 |
URL: http://purl.umn.edu/19369 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| This paper examines USDA one-step ahead forecasts of quarterly beef, pork, and poultry production. The forecasts are evaluated based on traditional criteria for optimality-efficiency and unbiasedness-as well as their performance versus an univariate time series model. The results suggest that the USDA forecasts are unbiased; however, they are generally not efficient. That is, they do not fully incorporate the information contained in past forecasts. Moreover, the USDA predictions do not encompass all the information contained in forecasts generated by simple time series models. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Livestock Production/Industries. |
| Ano: 2001 |
URL: http://purl.umn.edu/18960 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| 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 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| In traditional tests of forecast rationality, price forecasts are usually differenced to obtain stationarity. However, this data transformation may ignore important long-run information contained in forecasted price levels. Here, the concept of forecast consistency is paired with rationality concepts used in the market efficiency literature to develop a sequential testing procedure for forecast consistency and rationality. USDA quarterly livestock price forecasts do not demonstrate long-run consistency. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Demand and Price Analysis. |
| Ano: 2005 |
URL: http://purl.umn.edu/19042 |
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| Manfredo, Mark R.; Leuthold, Raymond M.. |
| VaR gives a prediction of potential portfolio losses, with a certain level of confidence, that may be encountered over a specified time period due to adverse price movements in the portfolio's assets. For example, a VaR of 1 million dollars at the 95% level of confidence implies that overall portfolio losses should not exceed 1 million dollars more than 5% of the time over a given holding period. This research examines the effectiveness of VaR measures, developed using alternative estimation techniques, in predicting large losses in the cattle feeding margin. Results show that several estimation techniques, both parametric and non-parametric, provide well calibrated VaR estimates such that violations (losses exceed the VaR estimate) are commensurate... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Value-at-Risk; Cattle Feeding; Volatility; Livestock Production/Industries; Risk and Uncertainty. |
| Ano: 1999 |
URL: http://purl.umn.edu/21628 |
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| Manfredo, Mark R.; Sanders, Dwight R.; Scott, Winifred. |
| Decisions made by publicly traded agribusinesses impact suppliers, processors, farmers, and even rural communities. Professional analysts’ estimates of earnings per share (EPS) provide a unique source of information regarding firm-level financial performance. Incorporating a battery of tests, this research examines the forecast properties of consensus analysts’ EPS estimates reported in the Institutional Brokers Estimate System for a sample of publicly traded food companies. While the results are mixed among firms, they suggest 1) analysts forecasts are largely unbiased but inefficient, and may not encompass information in simple time series models, and 2) EPS may be becoming more difficult to estimate. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Earnings per share; Forecasting; Forecast evaluation; Agribusiness; Agricultural Finance; Financial Economics. |
| Ano: 2008 |
URL: http://purl.umn.edu/42436 |
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| Manfredo, Mark R.; Sanders, Dwight R.. |
| 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... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/20267 |
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| Registros recuperados: 40 | |
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