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| Registros recuperados: 25 | |
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| Deng, Xiaohui; Barnett, Barry J.; Hoogenboom, Gerrit; Yu, Yingzhuo; Garcia y Garcia, Axel. |
| Three index-based crop insurance contracts are evaluated for representative south Georgia corn farms. The insurance contracts considered are based on indexes of historical county yields, yields predicted from a cooling degree-day production model, and yields predicted from a crop-simulation model. For some of the representative farms, the predicted yield index contracts provide yield risk protection comparable to the contract based on historical county yields, especially at lower levels of risk aversion. The impact of constraints on index insurance choice variables is considered and important interactions among constrained, conditionally optimized, choice variables are analyzed. |
| Tipo: Journal Article |
Palavras-chave: Area yield insurance; Cooling degree days; DSSAT; Group risk plan; Agribusiness; Crop Production/Industries; G13; G22; Q12. |
| Ano: 2008 |
URL: http://purl.umn.edu/45521 |
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| Bekkerman, Anton; Pelletier, Denis. |
| The 2006 spike in corn-based ethanol demand has contributed to the increase in basis volatility in corn and soybean markets across the United States, which has, to a significant degree, led to the observed large jumps in the prices of the two commodities. Despite the overall rise in basis volatility, there remain differences in the degree of volatility that exists across spatially separated markets, which might be caused by factors such as transportation costs, seasonality, and time-to-delivery. The focus of this study is threefold first, this work models basis data for six corn and soybean markets by using a multivariate GARCH model that incorporates the spatial linkages of these markets; next, the model is used to investigate whether the increase in... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Basis; Spatially separated markets; Multivariate GARCH; Volatility; Agricultural Finance; Demand and Price Analysis; Q11; Q14; G13. |
| Ano: 2009 |
URL: http://purl.umn.edu/49281 |
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| Yoon, Byung-Sam; Brorsen, B. Wade. |
| Both market advisors and researchers have often suggested multiyear rollover hedging as a way to increase producer returns. This study determines whether rollover hedging can increase expected returns for producers. For rollover hedging to increase expected returns, futures prices must follow a mean-reverting process. To test for the existence of mean reversion in agricultural commodity prices, this study uses a longer set of price data and a wider range of test procedures than past research. With the use of both the return predictability test from long-horizon regression and the variance ratio test, we find that mean reversion does not exist in futures prices for corn, wheat, soybean, soybean oil, and soybean meal. The findings are consistent with... |
| Tipo: Journal Article |
Palavras-chave: Market efficiency; Mean reversion; Random walk; Rollover hedging; Agricultural Finance; Risk and Uncertainty; Q13; G13. |
| Ano: 2005 |
URL: http://purl.umn.edu/43713 |
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| Franken, Jason R.V.; Parcell, Joseph L.. |
| Increased use of alternative fuels and low commodity prices have contributed to the recent expansion of the U.S. ethanol industry. As with any competitive industry, some level of output price risk exists in the form of volatility; yet, no actively traded ethanol futures market exists to mitigate output price risk. This study reports estimated minimum variance cross-hedge ratios between Detroit spot cash ethanol and the New York Mercantile Exchange unleaded gasoline futures for 1-, 4-, 8-, 12-, 16-, 20-, 24-, and 28-week hedge horizons. The research suggests that a one-to-one cross-hedge ratio is not appropriate for some horizons. |
| Tipo: Journal Article |
Palavras-chave: Cross-hedging; Ethanol; Gas; G13; Q13; Q42. |
| Ano: 2003 |
URL: http://purl.umn.edu/43152 |
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| Lanfranco, Bruno A.. |
| En la pasada década, Uruguay tuvo su primera experiencia con el mercado de futuros de novillos para faena (MFN), el que funcionó durante los últimos meses de 1993 y hasta comienzos de 1994. El hecho que el MFN no sobreviviera más que unos pocos meses no implica necesariamente que los mercados de futuros para ganado en pie sean inviables en nuestro país. En este trabajo se examinaron algunas de las posibles razones que pueden explicar su fracaso. Es posible que al momento de su implementación no estuvieran dadas todas las condiciones necesarias para su desarrollo. Un punto a develar es si el bajo volumen operado en el MFN se debió a condiciones estructurales inherentes a las economías pequeñas y, por ende, imposibles de modificar o si, por el contrario,... |
| Tipo: Book |
Palavras-chave: Financial markets; Live cattle; Livestock market; Agribusiness; Financial Economics; Risk and Uncertainty; D81; G13; G14. |
| Ano: 2005 |
URL: http://purl.umn.edu/121755 |
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| Fortenbery, T. Randall. |
| This paper examines three invited papers focused on commodity prices. Public responses to high nominal commodity prices and perceived increases in price risk have ranged from attempts to assign blame, attempts to change contracting arrangements, and development of public policy that ‘‘protects’’ the market from future occurrences of unacceptable behavior. Interestingly, a result of increased commodity price volatility has suggested that futures markets no longer ‘‘work.’’ This is ironic given that futures markets initially came into existence as tools for managing the negative impacts of commodity price risk. In response to perceptions of market failure some are looking for strategies to regulate the who and how of futures trading. |
| Tipo: Journal Article |
Palavras-chave: Futures markets; Hedging; Price risk; Risk management; Speculation; Agribusiness; Agricultural Finance; Marketing; Risk and Uncertainty; G13; Q11; Q13; Q14. |
| Ano: 2009 |
URL: http://purl.umn.edu/53084 |
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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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| Yoshino, Joe Akira. |
| We estimate in this paper the market risk implied by the prices of different options traded in the Brazilian stock market. The fundamental theory to handle this problem is the one implied by the Arrow-Debreu contingent claim concept. Using that theory, we are able to construct the term structure of market risk, and to obtain a surface that provides slices for a particular “volatility smile.” The methodology that we use follows the one proposed by Shimko (1993), which is able to calculate a non-lognormal probability density function (PDF) consistent with the volatility observed in a relatively small sample of option prices. This methodology goes beyond the one proposed originally by Black and Scholes (1973), since it does not require log-normality of the... |
| Tipo: Journal Article |
Palavras-chave: Arrow-Debreu contingent claim; Options; Black-Scholes; Market risk; Volatility; Brazilian stock market; Risk and Uncertainty; Marketing; G12; G13. |
| Ano: 2003 |
URL: http://purl.umn.edu/44000 |
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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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| Pedersen, Michael Friis. |
| Marketing of milk and meat in Denmark is dominated by two large cooperatives, Arla Foods in the dairy sector and Danish Crown in the pork sector. Members in these cooperatives practically have no possibility for price risk management on their main product. Futures markets for dairy and pork are not utilised, and it is suggested that the reason is prohibitively large basis risk. The events following the global financial crisis suggest increased need for price risk management in Danish agriculture. Since futures markets do not seem to be a viable solution, the paper explores an alternative. Reallocation of price risk among members in marketing cooperatives. Endowing members with a forward contracted share of delivery, and allowing for transfer at a market... |
| Tipo: Presentation |
Palavras-chave: Futures; Hedging; Risk management; Marketing cooperatives; Agribusiness; Risk and Uncertainty; G13; G32; Q13; D61; D8. |
| Ano: 2012 |
URL: http://purl.umn.edu/122529 |
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| Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria. |
| This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying. |
| Tipo: Working Paper |
Palavras-chave: Energy; Commodities; Futures Markets; Financial Speculation; Multivariate GARCH; Financial Economics; C32; G13; Q11; Q43. |
| Ano: 2012 |
URL: http://purl.umn.edu/122868 |
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| Registros recuperados: 25 | |
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