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| Egelkraut, Thorsten M.; Garcia, Philip. |
| Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical volatility information, but that the predictive accuracy is affected by the commodity's characteristics. Unbiased and efficient corn and soybeans market forecasts are attributable to the well-established volatility during crucial growing periods. For soybean meal, wheat, and hogs, volatility is less predictable and investors appear to demand a risk premium for bearing volatility risk. |
| Tipo: Journal Article |
Palavras-chave: Agricultural commodity; Efficiency; Forecasts; Implied forward volatility; Options; Marketing. |
| Ano: 2006 |
URL: http://purl.umn.edu/8637 |
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| Dhuyvetter, Kevin C.; Dean, Erik; Parcell, Joseph L.. |
| Agricultural producers and input suppliers must regularly make decisions based on forecasts; however, most publicly available forecasts are for outputs. Research has shown the importance of being a low-cost operator. Thus, focusing on inputs may be beneficial. The objective of this research was to estimate models based on futures markets to forecast diesel fuel prices. Results suggest diesel fuel prices forecasted using the crude oil or heating oil futures market are reasonably accurate, and that this approach is superior to using a historical average. Based on out-of-sample price predictions, producers could profitably use crude oil futures-based models to make diesel fuel purchasing decisions. While the gains from following a model-based decision rule... |
| Tipo: Journal Article |
Palavras-chave: Crude oil; Diesel fuel; Forecasts; Forward contracting; Heating oil; Resource /Energy Economics and Policy. |
| Ano: 2003 |
URL: http://purl.umn.edu/14664 |
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| Dahlgran, Roger A.; Ma, Xudong. |
| This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally overstate the amount of price risk reduction that can be achieved by hedging, (b) the properly computed hedging effectiveness in the hedge ratio regression will also generally overstate the amount of risk reduction that can be achieved by hedging, (c) the overstatement in (b) declines as the sample size increases, (d) application of estimated hedge ratios to non sample data results in an unbiased estimate of hedging effectiveness, (e) application of hedge ratios computed from small samples presents a significant... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Out of sample; Post sample; Hedging; Effectiveness; Forecasts; Simulation; Agricultural Finance. |
| Ano: 2008 |
URL: http://purl.umn.edu/37604 |
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| Isengildina-Massa, Olga; Irwin, Scott H.; Good, Darrel L.. |
| The purpose of this paper is to determine whether smoothing in USDA corn and soybean production forecasts is concentrated in years with relatively small and large crops. The sample consists of all USDA corn and soybean production forecasts released over the 1970 through 2006 crop years. Results show that USDA crop production forecasts in both corn and soybeans have a marked tendency to decrease in small crop years and increase in big crop years. The magnitude of smoothing is surprisingly large, with corn and soybean production forecasts cumulatively revised downward by about 6 to 7 percent in small crop years and upward by about 5 to 6 percent in large crop years. Crop condition ratings are useful in predicting whether the current year is likely to be a... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Corn; Crop production; Forecasts; Smoothing; Soybeans; USDA. |
| Ano: 2007 |
URL: http://purl.umn.edu/37563 |
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| Potori, Norbert; Varga, Edina. |
| Igaz, hogy a szélsőséges időjárás Magyarországon rendkívül nagy hozamingadozásokat okozhat, az agrárpolitika és a piaci szereplők pedig hajlamosak a túlzott reakciókra, mégis a gabonaágazat az, ahol a magyar mezőgazdaság a természeti adottságok, a termelés vonatkozásában még bizonyíthatóan komparatív előnyökkel rendelkezik az Európai Unióban. A szántóföldi növények nemzeti kiegészítő támogatása ugyan 2008-tól a termeléstől függetlenedik, de a gazdálkodók a rendelkezésre álló szántóterületet a jövőben is hasznosítják, mert a gabonafélék magas ára ösztönzi a termelést. A kidolgozott különböző modellváltozataink szerint a hazai búzatermelés 4,6-6,1 millió tonna, míg a kukoricatermelés 9-10,9 millió tonna között alakulhat 2013-ban. A hazai abrakfogyasztó... |
| Tipo: Journal Article |
Palavras-chave: Gabonatermelés; Piac; Kilátások; Cereal production; Market; Forecasts; Agribusiness; Crop Production/Industries. |
| Ano: 2008 |
URL: http://purl.umn.edu/57733 |
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