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| Registros recuperados: 18 | |
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| Ahmedov, Zafarbek; Power, Gabriel J.; Vedenov, Dmitry V.; Fuller, Stephen W.; McCarl, Bruce A.; Vadali, Sharada. |
| Traffic flows in the U.S. have been affected by the substantial increase and, as of January 2009, decrease in biofuel production and use. This paper considers a framework to study the effect on grain transportation flows of the 2005 Energy Act and subsequent legislation, which mandated higher production levels of biofuels, e.g. ethanol and biodiesels. Future research will incorporate changes due to the recent economic slowdown. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Ethanol; Biodiesel; Spatial equilibrium; Quadratic programming; Agricultural and Food Policy; Crop Production/Industries; Resource /Energy Economics and Policy. |
| Ano: 2009 |
URL: http://purl.umn.edu/49837 |
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| Power, Gabriel J.; Turvey, Calum G.. |
| Both prices and the volatility of storable agricultural commodity futures contracts have been rising since 2005 and particularly since 2007. This paper aims to answer two principal questions: (i) How has the behavior of these futures prices over time and across maturities changed with the rise of biofuels and their demand-side pres- sure on corn and related crops?, and (ii) Is there now stronger or weaker evidence of the Kaldor-Working convenience yield-storage hypothesis, whereby futures price backwardation can be explained by the high value of remaining inventory stocks when these are near stockouts? The empirical application is to Chicago Board of Trade corn, wheat and soybeans futures. To make use of all available futures data rather than only the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Agricultural Finance; C52; C53; G12; G13; Q13; Q14. |
| Ano: 2008 |
URL: http://purl.umn.edu/37608 |
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| Welch, J. Mark; Mkrtchyan, Vardan; Power, Gabriel J.. |
| Shifting patterns of corn use as a result of the ethanol boom may be causing basis levels to change across the United States, creating the need for methods to predict basis levels in dynamic conditions. This study develops a new and straightforward economic model of basis forecasting that outperforms the simple three-year average method suggested in much of the literature. We use monthly data of the corn basis in the Texas Triangle Area from February 1997 to July 2008. The results show the new model based on economic fundamentals performs better than basis estimates using a three-year moving average. |
| Tipo: Journal Article |
Palavras-chave: Basis; Corn; Grain marketing; Texas Triangle Area; Agribusiness; Marketing. |
| Ano: 2009 |
URL: http://purl.umn.edu/90657 |
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| Power, Gabriel J.; Turvey, Calum G.. |
| Long memory, and more precisely fractionally integration, has been put forward as an explanation for the persistence of shocks in a number of economic time series data as well as to reconcile misleading findings of unit roots in data that should be stationary. Recent evidence suggests that long memory characterizes not commodity futures prices but rather price volatility (generally defined as $L_p$ norms of price logreturns). One implication of long memory in volatility is the mispricing of options written on commodity futures, the consequence of which is that fractional Brownian motion should replace geometric Brownian motion as the building block for option pricing solutions. This paper asks whether findings of long memory in volatility might be spurious... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Q13; Q14; Marketing; C52; C53; G12; G13. |
| Ano: 2007 |
URL: http://purl.umn.edu/9782 |
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| Turvey, Calum G.; Power, Gabriel J.. |
| This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are conducted. The analyses are conducted under the null hypothesis of ordinary Brownian motion against the alternative of persistent or ergodic fractional Brownian motion. Tests for fractional Brownian motion are based on a variance ratio test. However, standard errors based on Monte Carlo simulations are quite high, meaning that the acceptance region for the null hypothesis is large. The results indicate that for the most part, the null hypothesis of ordinary Brownian motion cannot be rejected for 14 of 17 series.... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2006 |
URL: http://purl.umn.edu/21239 |
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| Power, Gabriel J.; Vedenov, Dmitry V.. |
| Commodity and energy prices have exhibited an unprecedented increase between October 2006 and July 2008, only to fall sharply during the last months of 2008. Many explanations have been offered to this phenomenon, including steadily increasing demand from China and India, large mandated increases in ethanol production, droughts in some key agricultural producer countries, production plateaus in some major oil-producing countries, refinery capacity limits, demand pressure from the derivatives market owing to the diversification properties of commodities, etc. Clearly, agricultural input, output, and energy products are closely related economically. In addition to biofuels, the connection points include nitrogen-based solution liquid fertilizers, fossil... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Commodity prices; Commodity bull cycle; Energy prices; Granger-causality; Graph theory; Structural VAR.; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Demand and Price Analysis; Financial Economics; Research Methods/ Statistical Methods. |
| Ano: 2009 |
URL: http://purl.umn.edu/49538 |
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| Power, Gabriel J.; Vedenov, Dmitry V.. |
| Commodity cash and futures prices have been rising steadily since 2006. As evidenced by the April 2008 Commodity Futures Trading Commission Agricultural Forum, there is much concern among traditional futures and options market participants that the usefulness of commodity derivatives has been compromised. When basis risk is particularly high, dynamic hedging methods may be helpful despite their complexity and higher transaction costs. To assess the potential benefits of dynamic hedging in volatile times, this paper proposes a novel, empirical copula-based method to estimate GARCH models and to compute time-varying hedge ratios. This approach allows a nonlinear, asymmetric dependence structure between cash and futures prices. The paper addresses four... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Agricultural Finance. |
| Ano: 2008 |
URL: http://purl.umn.edu/37609 |
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| Registros recuperados: 18 | |
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