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| Registros recuperados: 49 | |
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| Manfredo, Mark R.; Sanders, Dwight R.. |
| An empirical methodology is developed for statistically testing the hedging effectiveness among competing futures contracts. The presented methodology is based on the encompassing principle, widely used in the forecasting literature, and applied here to minimum variance hedging regressions. Intuitively, the test is based on an alternative futures contract's ability to reduce residual basis risk by offering either diversification or a smaller absolute level of basis risk than a preferred futures contract. The methodology is also easily extended to cases involving multiple hedging instruments and general hedge ratio models. The methodology is demonstrated by evaluating the hedging effectiveness of Chicago Board of Trade's (CBOT) corn futures versus the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Encompassing; Hedging effectiveness; Corn futures; Agribusiness. |
| Ano: 2003 |
URL: http://purl.umn.edu/22247 |
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| Sanders, Dwight R.; Irwin, Scott H.; Merrin, Robert P.. |
| The objective of this report is to re-visit the “adequacy of speculation” debate in agricultural futures markets. The Commodity Futures Trading Commission makes available the positions held by index funds and other large traders in their Commitment of Traders reports. The results suggest that after an initial surge from early 2004 through mid-2005, index fund positions have stabilized as a percent of total open interest. Traditional speculative measures do not show any material changes or shifts over the sample period. In most markets, the increase in long speculative positions was equaled or surpassed by an increase in short hedging. So, even after adjusting speculative indices for index fund positions, values are within the historical ranges reported in... |
| Tipo: Report |
Palavras-chave: Commitment’s of Traders; Index funds; Commodity futures markets; Agricultural Finance; Financial Economics. |
| Ano: 2008 |
URL: http://purl.umn.edu/37512 |
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| Irwin, Scott H.; Sanders, Dwight R.; Merrin, Robert P.. |
| It is commonly asserted that speculative buying by index funds in commodity futures and over–the–counter derivatives markets created a ‘‘bubble’’ in commodity prices, with the result that prices, and crude oil prices, in particular, far exceeded fundamental values at the peak. The purpose of this paper is to show that the bubble argument simply does not withstand close scrutiny. Four main points are explored. First, the arguments of bubble proponents are conceptually flawed and reflect fundamental and basic misunderstandings of how commodity futures markets actually work. Second, a number of facts about the situation in commodity markets are inconsistent with the existence of a substantial bubble in commodity prices. Third, available statistical evidence... |
| Tipo: Journal Article |
Palavras-chave: Commodity; Futures; Index fund; Market; Speculation; Agribusiness; Demand and Price Analysis; Financial Economics; Marketing; Q11; Q13. |
| Ano: 2009 |
URL: http://purl.umn.edu/53083 |
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| Atkinson, Rebecca; Sanders, Dwight R.; Jones, Karen; Altman, Ira J.. |
| The selection of herd bulls is important in determining profitability of commercial ranchers and cow-calf operators as well as purebred producers. In this research, the key attributes of bulls – based on visual, performance, and ultrasound data – are valued using a traditional hedonic pricing model. The data are collected from the annual bull test trial and sale at Southern Illinois University Carbondale. The results suggest that buyers at the SIUC Beef Evaluation Station are willing to pay more for bull characteristics associated with calving ease and weaning weights. For instance bulls with a combination of both lower birth weight Expected Progeny Differences (EPDs) and high yearling weight EPDs than average can command premiums of over $1,150 per head... |
| Tipo: Journal Article |
Palavras-chave: Livestock Production/Industries. |
| Ano: 2010 |
URL: http://purl.umn.edu/96418 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| USDA livestock production forecasts are evaluated for information across multiple horizons using the direct test developed by Vuchelen and Gutierrez. Forecasts are explicitly tested for rationality (unbiased and efficient) as well as for incremental information out to three quarters ahead. The results suggest that although the forecasts are often not rational, they typically do provide the forecast user with unique information at each horizon. Turkey and milk production forecasts tended to provide the most consistent performance, while beef production forecasts provided little information beyond the two quarter horizon. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Livestock Production/Industries. |
| Ano: 2006 |
URL: http://purl.umn.edu/18997 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| Cash forward contracting is a common, and often preferred, means of managing price risk for agribusinesses. Despite this, little is known about the performance of cash forward markets, in particular the role they play in price discovery. The lumber market provides a unique case for examining this issue. The Bloch Lumber Company maintains an active cash forward market for many lumber products, and publishes benchmark forward prices on their website and disseminates these prices to data vendors. Focusing on 2x4 random lengths lumber and 7/16 oriented strand board, this research examines the lead-lag relationships between the three-month forward prices published by Bloch Lumber and representative spot prices. Results suggest that at least for 2x4 random... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/19049 |
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| Manfredo, Mark R.; Sanders, Dwight R.. |
| Conventional wisdom suggests the local cash - futures basis is determined from local supply and demand conditions. However, it may be the case that local elevators look to other locations, such as terminal locations, and adjust for transportation differentials when determining the basis for their particular market. If so, certain grain marketing locations (e.g., export and interior terminal locations) may play an important role in discovering and ultimately determining the basis for other local markets. This hypothesis is examined for the #2 yellow corn basis at various export terminal (Gulf; Toledo), river terminal (Illinois River; Omaha) and interior (S. Central Illinois; N. Central Iowa; Denver) locations. Specifically, if the basis calculated at one... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2006 |
URL: http://purl.umn.edu/19001 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| Conditional efficiency or forecast encompassing is tested among alternative pork production forecasts using the method proposed by Harvey and Newbold. One-, two-, and three-quarter ahead pork production forecasts made by the United States Department of Agriculture (USDA), the University of Illinois and Purdue University Cooperative Extension Service, and those produced by a univariate time series model are evaluated. The encompassing tests provide considerably more information about forecast performance than a simple pair-wise test for equality of mean squared errors. The results suggest that at a one-quarter horizon, the Extension service forecasts encompass the competitors, but at longer horizon, a composite forecast may provide greater accuracy. |
| Tipo: Journal Article |
Palavras-chave: Composite forecasts; Forecast encompassing; Pork production; C53; Q13. |
| Ano: 2004 |
URL: http://purl.umn.edu/43451 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| This paper examines USDA one-step ahead forecasts of quarterly beef, pork, and poultry production. The forecasts are evaluated based on traditional criteria for optimality-efficiency and unbiasedness-as well as their performance versus an univariate time series model. The results suggest that the USDA forecasts are unbiased; however, they are generally not efficient. That is, they do not fully incorporate the information contained in past forecasts. Moreover, the USDA predictions do not encompass all the information contained in forecasts generated by simple time series models. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Livestock Production/Industries. |
| Ano: 2001 |
URL: http://purl.umn.edu/18960 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| One-step-ahead forecasts of quarterly live cattle, live hog, and broiler prices are evaluated under two general approaches: accuracy-based measures and classification based measures which test the ability to categorize price movements directionally or within a forecasted range. Results suggest U.S. Department of Agriculture (USDA) price forecasts are not optimal. Broiler price forecasts are biased, and all the forecast series tend to repeat errors. While the USDA forecasts are more accurate than those of a univariate AR(4) time-series model, evidence suggests the USDA live cattle forecasts could be improved with a composite forecast that includes a time-series alternative. Despite this, the USDA correctly identifies the direction of price change in at... |
| Tipo: Journal Article |
Palavras-chave: Forecast efficiency; Forecast evaluation; Livestock prices; USDA forecasts; Livestock Production/Industries. |
| Ano: 2003 |
URL: http://purl.umn.edu/31101 |
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| Sanders, Dwight R.; Irwin, Scott H.; Merrin, Robert P.. |
| Long-only commodity index funds have been blamed by other futures market participants for inflating commodity prices, increasing market volatility, and distorting historical price relationships. Much of this criticism is leveled without any formal empirical support or even cursory data analyses. The Commodity Futures Trading Commission makes available the positions held by index funds and other large traders in their Commitment’s of Traders report. In this research, we make an initial assessment of the size and activity of index funds in traditional agricultural futures markets. The results suggest that after an initial surge from early 2004 through mid-2005, index fund positions have stabilized as a percent of total open interest. Speculative... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Commitment’s of Traders; Index funds; Commodity futures markets; Agricultural Finance. |
| Ano: 2008 |
URL: http://purl.umn.edu/37615 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| In traditional tests of forecast rationality, price forecasts are usually differenced to obtain stationarity. However, this data transformation may ignore important long-run information contained in forecasted price levels. Here, the concept of forecast consistency is paired with rationality concepts used in the market efficiency literature to develop a sequential testing procedure for forecast consistency and rationality. USDA quarterly livestock price forecasts do not demonstrate long-run consistency. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Demand and Price Analysis. |
| Ano: 2005 |
URL: http://purl.umn.edu/19042 |
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| Registros recuperados: 49 | |
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