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| Colino, Evelyn V.; Irwin, Scott H.. |
| The purpose of this paper is to provide a comprehensive evaluation of the accuracy of outlook forecasts relative to futures prices in hog and cattle markets. Published forecasts from four prominent livestock outlook programs are available for analysis. Most of the series begin in the mid- to late-1970s and end in 2006. Root mean squared error (RMSE) comparisons indicate, with one exception, no meaningful differences in forecast accuracy between outlook forecasts and futures prices. The null hypothesis that futures prices encompass outlook forecasts is rejected in 9 of 11 cases for hogs and 7 of 8 cases for cattle, clearly indicating that outlook forecasts provide incremental information not contained in futures prices. The magnitude of decline in RMSE from... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Cattle; Encompassing; Forecast; Futures price; Hogs; Outlook; RMSE. |
| Ano: 2007 |
URL: http://purl.umn.edu/37577 |
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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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| Sanders, Dwight R.; Manfredo, Mark 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 easily extended to cases involving multiple hedging instruments and general hedge ratio models. Empirical applications suggest that the encompassing methodology can provide information beyond traditional approaches of comparing hedging... |
| Tipo: Journal Article |
Palavras-chave: Cross-hedging; Encompassing; Hedging effectiveness; Research Methods/ Statistical Methods. |
| Ano: 2004 |
URL: http://purl.umn.edu/31136 |
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