Consulta: creatorFacets:"Power,   Gabriel J."
Registros recuperados: 18
Data/hora: 11/06/2024 06:53:54

Cotton Futures Dynamics: Structural Change, Index Traders and the Returns to Storage
Provedor de dados: 31
Autores: Power,   Gabriel J.; Robinson,   John R.C.
The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been a source of hardship for traditional commodity market participants such as producers and merchant/shippers. The usefulness of futures markets has been called into question, especially given that some market movements did not appear to be justified by economic fundamentals. An emerging research literature examines the possible influence of futures traders, and particularly the non-traditional Index Traders, on the well-functioning of futures markets and underlying commodity markets. Cotton is a relatively under-studied commodity that is of particular importance for producers in the South and Southwest. To this end, this paper asks the following questions: (1) What role...
Tipo: Conference Paper or Presentation
Palavras-chave: Cotton; Futures markets; Theory of storage; Convenience yield; Index Traders; Agribusiness; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty.
Ano: 2009
URL: http://purl.umn.edu/53044

On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis
Provedor de dados: 31
Autores: 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

Predicting the Corn Basis in the Texas Triangle Area
Provedor de dados: 31
Autores: Mkrtchyan,   Vardan; Welch,   J. Mark; Power,   Gabriel J.
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 and the graphs indicate that the new model based on economic fundamentals performs better than basis estimates using a three-year moving average.
Tipo: Conference Paper or Presentation
Palavras-chave: Hedging; Basis; Corn; Agribusiness; Agricultural Finance; Financial Economics; Marketing; Risk and Uncertainty.
Ano: 2009
URL: http://purl.umn.edu/46759

The Price Shock Transmission during the 2007-2008 Commodity Bull Cycle: A Structural Vector Auto-Regression Approach to the "Chicken-or-Egg" Problem
Provedor de dados: 31
Autores: 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

Do Elevators Need a Bigger Umbrella? The Economic Value to Agribusiness Firms of Improved Multi-Commodity Risk Management
Provedor de dados: 31
Autores: Vedenov,   Dmitry V.; Power,   Gabriel J.
Tipo: Conference Paper or Presentation
Palavras-chave: Agribusiness.
Ano: 2010
URL: http://purl.umn.edu/62006

A Spatial Equilibrium Model of the Impact of Bio-Fuels Energy Policy on Grain Transportation Flows
Provedor de dados: 31
Autores: 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

The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model
Provedor de dados: 31
Autores: 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

The Confidence Limits of a Geometric Brownian Motion
Provedor de dados: 31
Autores: 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

Spurious Long Memory in Commodity Futures: Implications for Agribusiness Option Pricing
Provedor de dados: 31
Autores: 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

Is commodity price volatility persistent? Another look using improved, full-sample estimates
Provedor de dados: 31
Autores: Karali,   Berna; Power,   Gabriel J.
Tipo: Conference Paper or Presentation
Palavras-chave: Crop Production/Industries; Risk and Uncertainty.
Ano: 2010
URL: http://purl.umn.edu/61826

The Impact of the Average Crop Revenue Election (ACRE) Program on the Effectiveness of Crop Insurance
Provedor de dados: 31
Autores: Hong,   Sung Wook; Power,   Gabriel J.; Vedenov,   Dmitry V.
This paper analyzes the effect of the ACRE program adopted in the final version of the 2007 Farm Bill on the risk-reducing effectiveness of insurance products. To the best of our knowledge this is a first attempt to analyze the effect of the ACRE program on the risk management decisions of crop producers. In particular, we compare the risk-reducing effectiveness of the two most common insurance contracts — APH and CRC — under the provisions of the 2002 Farm Bill and under ACRE program for representative cotton producer in Texas and corn producer in Illinois. These particular crop/region combinations are selected so as to represent situations of low and high price-yield correlations, respectively.
Tipo: Conference Paper or Presentation
Palavras-chave: Crop insurance; Farm Bill; ACRE; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Crop Production/Industries; Risk and Uncertainty.
Ano: 2009
URL: http://purl.umn.edu/46755

The Effect of Food Scares on Risk Aversion: Implied Estimates from BSE Shocks on Cattle Futures Options (PowerPoint)
Provedor de dados: 31
Autores: Power,   Gabriel J.; Thomsen,   Michael R.; McKenzie,   Andrew M.; Vedenov,   Dmitry V.
PowerPoint Presentation
Tipo: Conference Paper or Presentation
Palavras-chave: Risk and Uncertainty; D81.
Ano: 2009
URL: http://purl.umn.edu/48905

Volatility Surface and Skewness in Live Cattle Futures Price Distributions with Application to North American BSE Announcements
Provedor de dados: 31
Autores: Thomsen,   Michael R.; McKenzie,   Andrew M.; Power,   Gabriel J.
Tipo: Conference Paper or Presentation
Palavras-chave: Options markets; Live cattle; Volatility; Pricing density function; Financial Economics; Livestock Production/Industries; Risk and Uncertainty.
Ano: 2009
URL: http://purl.umn.edu/49354

Predicting the Corn Basis in the Texas Triangle Area
Provedor de dados: 31
Autores: 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

Estimation of a Backward-Bending Investment Demand Function for Agribusiness Firms
Provedor de dados: 31
Autores: Kropp,   Jaclyn D.; Power,   Gabriel J.
We investigate irreversible investment behavior under uncertainty of payoffs using U.S. firm-level panel data. We estimate the relationship between the firm’s investment to capital ratio and the interest rate, while controlling for investment opportunities, real option values, uncertainty and profitability. The results indicate the investment demand curve is a backward-bending function of the interest rate; at low interest rates, an increase in the interest rate leads to increased investment by increasing the cost of postponing investment. Firm investment behavior is also consistent with real options behavior. The investment behavior of agribusiness firms is significantly different from firms in other sectors.
Tipo: Conference Paper or Presentation
Palavras-chave: Investment demand; Irreversible investment; Real options; Agribusiness; Agricultural Finance; Financial Economics; D81; D92; Q13.
Ano: 2010
URL: http://purl.umn.edu/61293

What Explains High Commodity Price Volatility? Estimating a Unified Model of Common and Commodity-Specific, High- and Low-Frequency Factors
Provedor de dados: 31
Autores: Karali,   Berna; Power,   Gabriel J.
We estimate a model of common and commodity-specific, high- and low-frequency factors, built on the spline-GARCH model of Engle and Rangel (2008) to explain the period of exceptionally high price volatility in commodity markets during 2006-2008. We find that decomposing realized volatility into high- and low-frequency components reveals the impact of slowly-evolving macroeconomic variables on the price volatility. Further, we find that while macroeconomic variables have similar effects within the same commodity category (e.g., storable agricultural), they have different effects across commodity groups (e.g., live stock versus energy).
Tipo: Conference Paper or Presentation
Palavras-chave: Volatility; Spline-GARCH; Futures markets; Agricultural Finance; Demand and Price Analysis.
Ano: 2009
URL: http://purl.umn.edu/49576

Type I and Type II Errors in the Unit Root Determination of a Fractional Brownian Motion
Provedor de dados: 31
Autores: Wongsasutthikul,   Paitoon; Turvey,   Calum G.; Power,   Gabriel J.
Economists who deal with time-series data usually take the unit root test as the ‘prerequisite’ test for a Brownian motion. It is typical for any researchers to apply a battery of well-known unit root tests to their models to confirm stationarity in the model specification. Nonetheless, often times, we see a conclusion that fail to reject the null in favor of the existence of unit root even though the model specification is such that the lag coefficients of an AR(q) process do not sum up to unity. In this study, we show that having the sum of the lag coefficients equals to unity is indeed a necessary and sufficient condition for the existence of a unit root. Hence, the aforementioned incident will lead to a type II error in the unit root determination. On...
Tipo: Conference Paper or Presentation
Palavras-chave: Unit root; Hurst exponent; Fractional Brownian Motion; Financial Economics; Risk and Uncertainty.
Ano: 2010
URL: http://purl.umn.edu/60984

Risk-Reducing Effectiveness of Revenue versus Yield Insurance in the Presence of Government Payments
Provedor de dados: 31
Autores: Vedenov,   Dmitry V.; Power,   Gabriel J.
Government farm support programs such as Loan Deficiency Payments (LDP) and Counter-Cyclical Payments (CCP) have payoff structures that effectively make them costless price insurance instruments. A combination of these payments with yield insurance may provide a viable alternative to revenue insurance. This paper finds that, contrary to expectations, the revenue product analyzed is uniformly superior to yield insurance under both current (2002) and proposed (2008) Farm Bill structures of government payments. Given minor adjustments, however, yield insurance combined with government payments can provide more effective risk management than revenue insurance in production areas with low yield–price correlation.
Tipo: Journal Article
Palavras-chave: Copulas; Crop insurance; Farm bill; Government payments; Agribusiness; Agricultural and Food Policy; Crop Production/Industries; Q14; Q18.
Ano: 2008
URL: http://purl.umn.edu/46982