SABIIA - Sistema Aberto e Integrado de Informação em Agricultura (Sabiia)

This research compares partial equilibrium and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when hedging commodity price risk using a simple derivative with a linear payoff function (a futures contract). For various methods of parameter estimation and inference, we find that the partial equilibrium models cannot out-perform the time series model. The partial equilibrium models unpalatable assumptions of deterministically evolving futures volatility seems to impede their hedging effectiveness, even when potentially foresighted option-implied volatility term...

Representative Farms Economic Outlook for the December 2007 FAPRI/AFPC Baseline

Palavras-chave: Marketing.

Ano: 2003

URL: http://purl.umn.edu/18972

Richardson, James W.; Outlaw, Joe L.; Knapek, George M.; Raulston, J. Marc; Herbst, Brian K.; Fumasi, Roland J.; Anderson, David P.; Bryant, Henry L.; Klose, Steven L.; Zimmel, Peter.

The farm level economic impacts of the Farm Security and Rural Investment Act of 2002 (2002 Farm Bill) on representative crop, dairy, and livestock operations are projected in this report. The analysis was conducted over the 2007-2012 planning horizon using FLIPSIM, AFPC’s whole farm simulation model. Data to simulate agricultural operations in the nation’s major production regions came from two sources: • Producer panel cooperation to develop economic information to describe and simulate representative crop, livestock, and dairy farms. • Projected prices, policy variables, and input inflation rates from the Food and Agricultural Policy Research Institute (FAPRI) December 2007 Baseline. The FLIPSIM policy simulation model incorporates the historical risk...

Tradeoffs in Production, Pricing, and Cropping Patterns (PowerPoint)

Ano: 2007

URL: http://purl.umn.edu/37977

Bryant, Henry L..

Palavras-chave: Crop Production/Industries; Demand and Price Analysis.

Ano: 2007

URL: http://purl.umn.edu/8093

Rice World Market Prices

Bryant, Henry L.; Outlaw, Joe L.; Anderson, David P..

The marketing loan program associated with rice features benefits calculated using a USDA-announced World Market Price (WMP) rather than the posted county prices that are used for most other commodities. This results in reduced risk protection for producers relative to other crops, and greater difficulty in making optimal use of program benefits. This research investigates the rice WMP, identifying the relative importance of various foreign prices and other potential influencing factors. The results of this research have important implications for financial planning and optimal risk management strategies for rice producers.

Land Use Implications of Expanding Biofuel Demand

Palavras-chave: Agricultural and Food Policy.

Ano: 2005

URL: http://purl.umn.edu/19178

Dicks, Michael R.; Campiche, Jody L.; Torre Ugarte, Daniel de la; Hellwinckel, Chad M.; Bryant, Henry L.; Richardson, James W..

The Renewable Fuel Standard mandates in the Energy Independence and Security Act of 2007 will require 36 billion gallons of ethanol to be produced in 2022. The mandates require that 16 of the 36 billion gallons must be produced from cellulosic feedstocks. The potential land use implications resulting from these mandates were examined using two methods, the POLYSYS model and a general equilibrium model. Results of the POLYSYS analysis indicated that 72.1 million tons of corn stover, 23.5 million tons of wheat straw, and 24.7 million acres would be used to produce 109 million tons of switchgrass in 2025 to meet the mandate. Results of the CGE analysis indicated that 10.9 billion bushels of corn grain, 71 million tons of corn stover, and 56,200 tons of...

Tipo: Journal Article

Palavras-chave: Cellulosic ethanol; Corn stover; Grain ethanol; Renewable fuel standard; Switchgrass; Crop Production/Industries; Demand and Price Analysis; Environmental Economics and Policy; Land Economics/Use; Resource /Energy Economics and Policy; Q15; Q42.

Ano: 2009

URL: http://purl.umn.edu/53091

Effects of Recent Fossil Energy Market Developments on U.S. Ethanol

Bryant, Henry L.; Outlaw, Joe L.; Richardson, James W.; Higgins, Lindsey M.; Campiche, Jody L..

After several months of increases, fossil fuel prices decreased substantially in August and September of 2006. • Crude oil prices directly affect gasoline prices, which are an important determinant of ethanol demand. Natural gas prices are an important cost of ethanol production. • This briefing paper provides projections of ethanol and corn prices, production, and use, given recent developments in fossil fuel markets.

BID-ASK SPREADS IN COMMODITY FUTURES MARKETS

Ano: 2006

URL: http://purl.umn.edu/42093

Issues of recent interest and controversy regarding bid-ask spreads in commodity futures markets are investigated. First we apply competing spread estimators to open outcry transactions data and compare resulting estimates to observed spreads. This enables market microstructure researchers, regulators, exchange officials, and traders the opportunity to evaluate the usefulness and accuracy of bid-ask estimators in markets that do not report bid and ask data, providing an idea of the "worst-case" transaction costs that are likely to be incurred. We also compare spreads observed before and after trading was automated (and made anonymous) on commodity futures markets, and discover that spreads have generally widened since trading was automated, and that they...

ESTIMATING ACTUAL BID-ASK SPREADS IN COMMODITY FUTURES MARKETS

Palavras-chave: Marketing.

Ano: 2002

URL: http://purl.umn.edu/28587

Various bid-ask spread estimators are applied to transaction data from LIFFE commodity futures markets, and the resulting estimates are compared to observed actual bid-ask spreads. Results suggest that actual bid-ask spreads, unlike effective spreads, can be reasonably estimated using transaction data. Estimates of actual spreads gives market participants and researchers some idea of potential transaction costs, and will be useful for assessing the efficiency of electronic trading relative to open-outcry trading. Results indicate that estimators using averages of absolute price changes perform better at estimating actual bid-ask spreads in futures markets than estimators using the covariance of successive price changes

The Impact of Rising Energy Costs on Representative Farms

Palavras-chave: Marketing.

Ano: 2001

URL: http://purl.umn.edu/20707

Raulston, J. Marc; Knapek, George M.; Richardson, James W.; Outlaw, Joe L.; Bryant, Henry L..

Recent increases in natural gas and fossil fuel based energy sources have had a negative impact on the financial condition of agricultural producers across the nation. • In addition to higher fuel costs for trucks, equipment, and irrigation motors, the cost of nitrogen fertilizer is closely linked to energy prices and has also increased significantly. • This study quantifies the impacts of these increases on the economic viability of representative farms located throughout the United States for the years 2005 and 2006.

Examining the Evolving Correspondence Between Petroleum Prices and Agricultural Commodity Prices

Palavras-chave: Crop Production/Industries.

Ano: 2005

URL: http://purl.umn.edu/42108

Campiche, Jody L.; Bryant, Henry L.; Richardson, James W.; Outlaw, Joe L..

Over the last few years, the production of renewable fuels has increased dramatically. Rising oil prices, limited supplies of fossil fuel, and increased concerns about global warming have created a growing demand for renewable energy sources. Both the ethanol and biodiesel industries have experienced tremendous growth in the past few years. The production of these fuels is highly dependent on the availability of agricultural feedstocks. This research examined the covariability between crude oil prices and corn, sorghum, sugar, soybeans, soybean oil, and palm oil prices during the 2003-2007 time period. Johansen cointegration tests revealed no cointegrating relationships during the 2003-2005 time frame. However, corn prices and soybean prices were...

Aggregate Milk Supply Response to the Milk Income Loss Contract Program

Palavras-chave: Energy; Ethanol; Biodiesel; Renewable fuels; Crude oil prices; Cointegration; Demand and Price Analysis; Q11; Q13; Q42.

Ano: 2007

URL: http://purl.umn.edu/9881

Bryant, Henry L.; Outlaw, Joe L.; Anderson, David P..

This research tests for changes in aggregate milk production due to the operation of the Milk Income Loss Contract (MILC) program since 2002. Aggregate production is decomposed into the size of the dairy herd and milk production per cow. We find no statistically significant response in either variable. This finding implies that the simultaneous operation of income and price support programs in the United States has not, thus far, proven self-defeating.

Tipo: Journal Article

Palavras-chave: Dairy; Income support; Policy; Price support; Agribusiness; Livestock Production/Industries.

Ano: 2007

URL: http://purl.umn.edu/62292

BEYOND THE MODEL SPECIFICATION PROBLEM: MODEL AND PARAMETER AVERAGING USING BAYESIAN TECHNIQUES

Bryant, Henry L.; Davis, George C..

The model specification problem is perhaps the Achilles heel of applied econometrics. Rather than test down to a single model as is usually done, we estimate 72 different demand systems and use Bayesian averaging procedures over all 72 systems to generate meta estimates of the parameters (e.g., elasticities) of interest.

Estimating Actual Bid-Ask Spreads in Commodity Futures Markets

Palavras-chave: Research Methods/ Statistical Methods.

Ano: 2001

URL: http://purl.umn.edu/20689

Various bid-ask spread estimators are applied to transaction data from LIFFE cocoa and coffee futures markets, and the resulting estimates are compared to observed actual bid-ask spreads. Results suggest that actual bid-ask spreads, which are not reported by most open-outcry futures markets, can be reasonably estimated using readily available transaction data. This is especially important since recent research seems to indicate that efforts to estimate effective spreads using data commonly available from futures markets have not been successful. Thus estimates of actual spreads can give market participants and researchers some idea of potential transaction costs. Accurate estimates of bid-ask spreads will also be needed to assess the relative efficiency...

INFORMATION BASED MODEL AVERAGING AND INTERNAL METANALYSIS IN SEEMINGLY UNRELATED REGRESSIONS WITH AN APPLICATION TO A DEMAND SYSTEM

Palavras-chave: Marketing.

Ano: 2001

URL: http://purl.umn.edu/18958

Bryant, Henry L.; Davis, George C..

This paper presents an information based model averaging and internal meta-analysis procedure that is easily applied to a large model space. In the application, the procedure is used to investigate the efficacy of some recently contested commodity promotion programs. The investigated model space consists of 576 demand systems. The internal meta-analysis indicates that theoretical restrictions and evaluation points are more important than alternative functional forms and explanatory variables in determining the elasticity values. The model averaging weights strongly support the theoretically consistent classical demand systems without promotion. The weighted or meta-price and meta-expenditure elasticities are presented and discussed.

Disproving Causal Relationships Using Observational Data

Palavras-chave: Demand and Price Analysis.

Ano: 2003

URL: http://purl.umn.edu/21918

Bryant, Henry L.; Bessler, David A.; Haigh, Michael S..

Economic theory is replete with causal hypotheses that are scarcely tested because economists are generally constrained to work with observational data. This article describes the use of causal inference methods for testing a hypothesis that one random variable causes another. Contingent on a sufficiently strong correspondence between the hypothesized cause and effect, an appropriately related third variable can be employed for such a test. The procedure is intuitive, and is easy to implement. The basic logic of the procedure naturally suggests strong and weak grounds for rejecting the hypothesized causal relationship. Monte Carlo results suggest that weakly-grounded rejections are unreliable for small samples, but reasonably reliable for large...

Considerations in the Dairy Relocation Decision

Palavras-chave: Research Methods/ Statistical Methods.

Ano: 2006

URL: http://purl.umn.edu/21166

Herbst, Brian K.; Outlaw, Joe L.; Anderson, David P.; Bryant, Henry L..

Historically, U.S. dairymen have been thought to move to a new location to seek better economic opportunities or to leave an area that has become disadvantaged due to regulation or economics. Recently, there again have been major shifts in dairy production across the United States.

An Analysis of Cointegration: Investigation of the Cost-Price Squeeze in Agriculture

Palavras-chave: Livestock Production/Industries.

Ano: 2006

URL: http://purl.umn.edu/35363

Campiche, Jody L.; Bryant, Henry L.; Richardson, James W.; Outlaw, Joe L..

The differences in prices paid and prices received by farmers are examined using cointegration analysis. A Johansen cointegration test between prices paid and prices received revealed that the series were cointegrated. After accounting for technological change, we do not reject a long-run one-for-one correspondence between prices paid and prices received.

CAUSALITY IN FUTURES MARKETS

Palavras-chave: Demand and Price Analysis.

Ano: 2006

URL: http://purl.umn.edu/35357

Bryant, Henry L.; Bessler, David A.; Haigh, Michael S..

This research investigates various unresolved issues regarding futures markets, using formal methods appropriate for inferring causal relationships from observational data when some relevant quantities are hidden. We find no evidence supporting the generalized version of Keynes's theory of normal backwardation. We find no evidence supporting theories that predict that the level of activity of speculators or uninformed traders affects the level of price volatility, either positively or negatively. Our evidence strongly supports the mixture of distribution hypothesis (MDH) that trading volume and price volatility have one or more latent common causes, resulting in their positive correlation.

PRICE AND PRICE RISK DYNAMICS IN BARGE AND OCEAN FREIGHT MARKETS AND THE EFFECTS ON COMMODITY TRADING

Palavras-chave: Marketing.

Ano: 2003

URL: http://purl.umn.edu/28574

Haigh, Michael S.; Bryant, Henry L..

The effects of volatility of barge and ocean freight prices on prices throughout the international grain-marketing channel are analyzed using a Multivariate GARCH-M model. The model is used to infer the extent to which transportation price risk affects the level of international grain prices. Results indicate that both barge and ocean price volatility influence grain prices, but barge price volatility tends to have a greater impact on grain prices than that arising from ocean price volatility. The lack of a futures contract for barge rates may be partially responsible for its significant influence on grain price levels.

COMPARING THE PERFORMANCES OF THE PARTIAL EQUILIBRIUM AND TIME-SERIES APPROACHES TO HEDGING

Palavras-chave: Barge and ocean freight prices; Futures contracts; Multivariate GARCH-Models; Price volatility; International Relations/Trade.

Ano: 2000

URL: http://purl.umn.edu/18934

This research compares partial equilibrium and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when hedging commodity price risk using futures contracts. For various methods of parameter estimation and inference, we find that the partial equilibrium models cannot out-perform a vector error-correction model with a GARCH error structure. The partial equilibrium models' unpalatable assumption of deterministically evolving futures volatility seems to impede their hedging effectiveness, even when potentially foresighted option-implied volatility term structures are...