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| Tonsor, Glynn T.; Khuyvetter, Kevin C.; Mintert, James R.. |
| The ability to accurately forecast basis is crucial to risk management strategies employed by many agribusiness firms. Previous research has examined how to effectively use basis forecasts and what factors affect basis, but literature focusing on forecasting basis is sparse. This research evaluates the impact of adopting a time-to-expiration approach, as compared to the more common calendar approach, when forecasting feeder cattle, live cattle, and hog basis. Furthermore, the optimal number of past year's basis levels to include in making basis predictions is evaluated in an out-of-sample framework. Absolute basis forecasts errors are generated for all three commodities and evaluated to determine the signifcance of the two issues mentioned above.... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Livestock prices; Basis; Hedging; Basis forecasts; Livestock Production/Industries; Marketing. |
| Ano: 2003 |
URL: http://purl.umn.edu/18978 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| 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 |
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| Tonsor, Glynn T.; Dhuyvetter, Kevin C.; Mintert, James R.. |
| Successful risk management strategies for agribusiness firms based on futures and options contracts are contingent on their ability to accurately forecast basis. This research addresses three primary questions as they relate to basis forecasting accuracy: (a) What is the impact of adopting a time-to-expiration approach, as compared to the more common calendar-date approach? (b) What is the optimal number of years to include in calculations when forecasting livestock basis using historical averages? and (c) What is the effect of incorporating current basis information into a historical-average-based forecast? Results indicate that use of the time-to-expiration approach has little impact on forecast accuracy compared to using a simple calendar approach, but... |
| Tipo: Journal Article |
Palavras-chave: Basis; Basis forecasts; Cattle prices; Current information; Hedging; Livestock Production/Industries. |
| Ano: 2004 |
URL: http://purl.umn.edu/31115 |
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