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

Altman, Ira J.; Bergtold, Jason S.; Sanders, Dwight R.; Johnson, Thomas G..

This paper presents research results based on data from two biomass producer surveys collected from mid Missouri and southern Illinois. Specific topics of interest include the effect of price and producer characteristics on willingness to supply, assets producers currently own and services they may be willing to provide if bioenergy industries develop. A series of censored tobit regressions are utilized to analyze willingness to supply results under three price scenarios. Marginal effects of a one dollar change in the biomass price are shown to increase the willingness to supply by 0.5 to 2 percent.

Do Analysts’ Earnings Per Share Forecasts Contain Valuable Information Beyond One Quarter? The Case of Publicly Traded Agribusiness Firms

Palavras-chave: Biomass; Willingness to supply; Agribusiness.

Ano: 2011

URL: http://purl.umn.edu/98804

Lewis, Daniel; Manfredo, Mark R.; Sanders, Dwight R.; Scott, Winifred.

Analysts’ forecasting of earnings per share for multiple quarter time horizons of eleven agribusiness companies is evaluated using a mean absolute scaled error and a direct test. Results illustrate that unique information is consistently found. Rational and efficient expectations are formed periodically. Analysts’ performance declines as the time horizon increases.

Tipo: Presentation

Palavras-chave: Agribusiness; Agricultural Finance; Industrial Organization.

Ano: 2012

URL: http://purl.umn.edu/124480

Rationality of U.S. Department of Agriculture Livestock Price Forecasts: A Unified Approach

Is the Local Basis Really Local?

This research presents a systematic and unified approach to evaluating forecast rationality that considers the potential of nonstationarity in forecasts and realized values. The approach is applied to one-quarter ahead U.S. Department of Agriculture livestock price forecasts from 1982 through 2004. Results show that forecasts and realized prices are integrated of the same order, and those that are nonstationary are cointegrated. However, the stationary price forecasts for hogs, turkeys, eggs, and milk are biased and improperly scaled, and forecast errors tend to be repeated. Similarly, nonstationary forecasts for cattle and broilers are also biased and irrational in the long run, but short-run dynamics are rational.

Tipo: Journal Article

Palavras-chave: Forecast evaluation; Livestock prices; Rationality; Livestock Production/Industries; C53; Q13.

Ano: 2007

URL: http://purl.umn.edu/6658

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...

Forecasting Basis Levels in the Soybean Complex: A Comparison of Time Series Methods

Palavras-chave: Marketing.

Ano: 2006

URL: http://purl.umn.edu/19001

The Value of Public Price Forecasts: Additional Evidence in the Live Hog Market

A battery of time series methods are compared for forecasting basis levels in the soybean futures complex: soybeans, soybean meal, and soybean oil. Specifically, nearby basis forecasts are generated with exponential smoothing techniques, autoregression moving average (ARMA), and vector autoregression (VAR) models. The forecasts are compared to those of the 5-year average, year ago, and no change methods. Using the 5-year average as the benchmark method, the forecast evaluation results suggest that alternative naive techniques may produce better forecasts, and the improvement gained by time series modeling is relatively small. In this sample, there is little evidence that the basis has become systematically more difficult to forecast in recent years.

Tipo: Journal Article

Palavras-chave: Basis forecasts; Time series models; Soybean complex; Risk and Uncertainty; C53; Q13.

Ano: 2006

URL: http://purl.umn.edu/43790

Manfredo, Mark R.; Sanders, Dwight R..

USDA and Cooperative Extension Service forecasts of hog prices are directly tested for incremental value vis-à-vis futures-based forecasts in a forecast encompassing framework. At horizons less than six months, the lean hog futures-based forecast is found to be more accurate than both the USDA and Extension Service forecasts, and the difference in forecasting performance is statistically significant. Not only are the agency forecasts less accurate, but neither the USDA nor the Extension Service forecasts add incremental information relative to the futures forecast. The results suggest that extension forecasters may want to refocus forecasting efforts on basis relationships, longer forecast horizons, or commodities without active futures markets.

Tipo: Journal Article

Palavras-chave: Forecast encompassing; Hog prices; Public forecasts; Demand and Price Analysis; Research Methods/ Statistical Methods.

Ano: 2004

URL: http://purl.umn.edu/59395

USDA PRODUCTION FORECASTS FOR PORK, BEEF, AND BROILERS: AN EVALUATION

Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)

One-step-ahead forecasts of quarterly beef, pork, and poultry production are examined and evaluated based on traditional criteria for optimality-efficiency and unbiasedness-as well as their performance versus a univariate time-series model. However, traditional regression methodology for evaluating forecasts is avoided due to interpretive issues. Instead, an empirical framework focusing on forecast errors in employed. Results suggest USDA forecasts are unbiased, but generally not efficient. That is, they do not fully incorporate the information contained in past forecasts. Moreover, USDA's predictions do not encompass all the information contained in forecasts generated by simple time-series models. Thus, practitioners who use the USDA forecasts may...

Tipo: Journal Article

Palavras-chave: Agribusiness.

Ano: 2002

URL: http://purl.umn.edu/31080

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

USDA Livestock Price Forecasts: A Comprehensive Evaluation

Predicting Pork Supplies: An Application of Multiple Forecast Encompassing

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

THE THEORY OF CONTRARY OPINION: A TEST USING SENTIMENT INDICES IN FUTURES MARKETS

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

Sanders, Dwight R.; Irwin, Scott H.; Leuthold, Raymond M..

The theory of contrary opinion predicts price reversals following extremes in market sentiment. This research tests a survey-based sentiment index's usefulness as a contrary indicator across 28 U.S. futures markets. Using rigorous time-series tests, the sentiment index displays only a sporadic and marginal ability to predict returns, and in those instances the pattern is one of return continuation--not reversals. Therefore, futures traders who rely solely upon sentiment indices as contrary indicators may be misguided.

Tipo: Journal Article

Palavras-chave: Bullish consensus; Contrary opinion; Market sentiment; Marketing.

Ano: 2003

URL: http://purl.umn.edu/14673

HEDGING SPOT CORN: AN EXAMINATION OF THE MINNEAPOLIS GRAIN EXCHANGE'S CASH SETTLED CORN CONTRACT

Sanders, Dwight R.; Greer, Tracy D..

This research examines the potential basis behavior and hedging effectiveness for the Minneapolis Grain Exchange's (MGE) cash settled corn contract. MGE futures cash settle to the National Corn Index (NCI) calculated by Data Transmission Network (DTN). Focusing on seven regions in Illinois, the data suggest that NCI Futures offer potential advantages over the existing Chicago Board of Trade (CBOT) corn futures. In particular, nearby basis variability could be reduced by nearly one-half from 8.8 cents per bushel to 4.5 cents per bushel, and hedging effectiveness may increase from an average of 80% for the CBOT to 93% for the NCI.

WEATHER DERIVATIVES: MANAGING RISK WITH MARKET-BASED INSTRUMENTS

Palavras-chave: Crop Production/Industries; Marketing.

Ano: 2002

URL: http://purl.umn.edu/19064

Richards, Timothy J.; Manfredo, Mark R.; Sanders, Dwight R..

Accurate pricing of weather derivatives is critically dependent upon correct specification of the underlying weather process. We test among six likely alternative processes using maximum likelihood methods and data from the Fresno, CA weather station. Using these data, we find that the best process is a mean-reverting geometric Brownian process with discrete jumps and ARCH errors. We describe a pricing model for weather derivatives based on such a process.

An Evaluation of Purebred Bull Pricing: Implications for Beef Herd Management

Palavras-chave: Risk and Uncertainty.

Ano: 2002

URL: http://purl.umn.edu/19074

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

Cross-Hedging Fishmeal: Exploring Corn and Soybean Meal Futures Contracts

Parcell, Joseph L.; Boessen, Christian R.; Altman, Ira J.; Sanders, Dwight R..

During 2006 the fishmeal price nearly doubled from $500MT to over $900MT. The objective of this research is to determine the optimal cross-hedge ratio between fishmeal and soybean meal and corn, and corresponding hedging weight between corn and soybean. Results indicate all hedging weight should be placed on the corn futures contract. This is an interesting result since prior fishmeal cross-hedging research has not analyzed the corn futures contract as a risk management mechanism.

Information Content in Deferred Futures Prices: Live Cattle and Hogs

Palavras-chave: Crop Production/Industries; Risk and Uncertainty.

Ano: 2008

URL: http://purl.umn.edu/6763

Sanders, Dwight R.; Garcia, Philip; Manfredo, Mark R..

The marginal forecast information contained in deferred futures prices is evaluated using the direct test of Vuchelen and Gutierrez. In particular, the informational role of deferred futures contracts in live cattle and hogs is assessed from the two- to twelve-month horizons. The results indicate that unique information is contained in live cattle futures prices out through the ten-month horizon, while hog futures prices add incremental information at all tested horizons. Practitioners using futures-based forecasting methods are well-served by deferred hog futures prices; however, live cattle futures listed beyond the 10 month horizon are not adding incremental information.

Smart Money? The Forecasting Ability of CFTC Large Traders

Palavras-chave: Forecast information; Forecast evaluation; Livestock futures.

Ano: 2007

URL: http://purl.umn.edu/37562

Sanders, Dwight R.; Irwin, Scott H.; Merrin, Robert P..

The forecasting ability of the Commodity Futures Trading Commission’s Commitment’s of Traders data set is investigated. Bivariate Granger causality tests show very little evidence that traders’ positions are useful in forecasting (leading) market returns. However, there is substantial evidence that traders respond to price changes. In particular, non-commercial traders display a tendency for trend-following. The other trader classifications display mixed styles, perhaps indicating that those trader categories capture a variety of traders. The results generally do not support the use of the Commitment’s of Traders data in predicting market movements.

Smart Money: The Forecasting Ability of CFTC Large Traders in Agricultural Futures Markets

Palavras-chave: Commitment’s of Traders; Futures markets; Forecasting; Agricultural Finance; Financial Economics.

Ano: 2007

URL: http://purl.umn.edu/37556

Sanders, Dwight R.; Irwin, Scott H.; Merrin, Robert P..

The forecasting content of the Commodity Futures Trading Commission’s Commitments of Traders (COT) report is investigated. Bivariate Granger causality tests show very little evidence that traders’ positions are useful in forecasting (leading) returns in 10 agricultural futures markets. However, there is substantial evidence that traders respond to price changes. In particular, noncommercial traders display a tendency for trend following. The other trader classifications display mixed styles, perhaps indicating those trader categories capture a variety of traders. The results generally do not support use of the COT data in predicting price movements in agricultural futures markets.

Tipo: Report

Palavras-chave: Agricultural futures markets; Commitments of traders; Forecasting; Prices; Agribusiness; Agricultural Finance.

Ano: 2009

URL: http://purl.umn.edu/54547

Generalized Hedge Ratio Estimation with an Unknown Model

Dorfman, Jeffrey H.; Sanders, Dwight R..

Myers and Thompson (1989) noted that the model specification could have a large impact on the hedge ratio estimated. A huge literature exists on estimating hedge ratios, but the literature is lacking a formal treatment of model specification uncertainty. This research accomplishes that task by taking a Bayesian approach to hedge ratio estimation, where specification uncertainty is explicitly modeled. The methodology is applied to data on hedging of corn and soybeans and on cross-hedging of corn oil using soybean oil futures. Results show the potential benefits and insights gained from such an approach.

KEEP UP THE GOOD WORK? AN EVALUATION OF THE USDA'S LIVESTOCK PRICE FORECASTS

Palavras-chave: Marketing.

Ano: 2005

URL: http://purl.umn.edu/19268

One step-ahead forecasts of quarterly live cattle, live hog, and broiler prices are evaluated under two general approaches: accuracy-based measures and the ability to categorize price movements directionally or within a forecasted range. Results suggest 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 that those of a univariate AR(4) time series model, the evidence suggests that live cattle forecasts could be improved with a composite forecast. However, the USDA correctly identifies the direction of price change in at least 70% of its forecasts. Prices fall within the USDA's forecasted range 48% of the time for broilers but only 35% for...