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Registros recuperados: 121
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Understanding USDA Corn and Soybean Production Forecasts: Methods, Performance and Market Impacts over 1970 - 2004 AgEcon
Good, Darrel L.; Irwin, Scott H..
The purpose of this report is to improve understanding of USDA crop forecasting methods, performance and market impact. A review of USDA's forecasting procedures and methodology confirmed the objectivity and consistency of the forecasting process over time. No changes in methodology occurred in 2004. Month-to-month changes in corn and soybean production forecasts from 1970 through 2004 indicated little difference in magnitude and direction of monthly changes over time. USDA production forecast errors were largest in August and smaller in subsequent forecasts. There appeared to be no trend in the size or direction of forecast errors over time. On average, USDA corn production forecasts were more accurate than private market forecasts over 1970-2004,...
Tipo: Working or Discussion Paper Palavras-chave: Crop Production/Industries; Marketing.
Ano: 2005 URL: http://purl.umn.edu/14785
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The Pricing Performance of Market Advisory Services in Corn and Soybeans Over 1995-2004: A Non-Technical Summary AgEcon
Irwin, Scott H.; Good, Darrel L.; Martines-Filho, Joao Gomes; Batts, Ryan M..
The purpose of this research report is to summarize the pricing performance of professional market advisory services for the 1995-2004 corn and soybean crops. On average, the results show that the frequency of advisory programs pricing in the top-third of the corn price range over 1995-2004 is modest, between 17 and 25%. By far the largest average frequency occurs in the middle third of the corn price range, ranging from 58 to 63%. Price range results for soybeans are similar to the results for corn. Average differences between 50/50 advisory revenue and benchmarks range from 5 to $7 per acre for market benchmarks and 8 to $12 per acre for farmer benchmarks. The average advisory return relative to the farmer benchmarks is about three percent of average...
Tipo: Report Palavras-chave: Agricultural Finance.
Ano: 2006 URL: http://purl.umn.edu/37456
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ADVISORY SERVICE MARKETING PROFILES FOR SOYBEANS OVER 1995-2000 AgEcon
Martines-Filho, Joao Gomes; Irwin, Scott H.; Good, Darrel L.; Cabrini, Silvina M.; Stark, Brian G.; Shi, Wei; Webber, Rick L.; Hagedorn, Lewis A.; Williams, Steven L..
This report presents marketing profiles and loan deficiency payment/marketing loan gain profiles for the advisory services followed by the AgMAS Project for the 1995 through 2000 soybean crops. Marketing profiles are constructed by plotting the cumulative net amount priced under each program's set of recommendations throughout a crop year. Loan deficiency payment/marketing loan gain (LDP/MLG) profiles are constructed by plotting the cumulative percentage of the crop on which the LDP/MLG was claimed during the crop year. Marketing profiles provide information to evaluate the style of advisory services in several ways. The percentage of crop priced is a measure of within-crop year price risk. The higher the proportion of a crop priced, the lower the...
Tipo: Working or Discussion Paper Palavras-chave: Marketing.
Ano: 2003 URL: http://purl.umn.edu/14791
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CROP INSURANCE VALUATION UNDER ALTERNATIVE YIELD DISTRIBUTIONS AgEcon
Zanini, Fabio C.; Sherrick, Bruce J.; Schnitkey, Gary D.; Irwin, Scott H..
Considerable disagreement exists about the most appropriate characterization of farm-level yield distributions. Yet, the economic importance of alternate yield distribution specifications on insurance valuation, product designs and farm-level risk management has not been investigated or documented. The results of this study demonstrate that large differences in expected payments from popular crop insurance products can arise solely from the parameterization chosen to represent yields. The results suggest that the frequently unexamined yield distribution specification may lead to incorrect conclusions in important areas of insurance and risk management research such as policy rating, and assessment of expected payments from policies.
Tipo: Conference Paper or Presentation Palavras-chave: Risk and Uncertainty.
Ano: 2001 URL: http://purl.umn.edu/18953
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Style and Performance of Agricultural Market Advisory Services AgEcon
Cabrini, Silvina M.; Irwin, Scott H.; Good, Darrel L..
This paper describes the degree of marketing activeness of market advisory programs for corn and soybeans, and analyzes the relationship between activeness degree and pricing performance. The data set employed consists of advisory programs tracked by the AgMAS Project at the University of Illinois between 1995 and 2001. Cluster analysis was conducted to group the programs according to their degree of activeness. Panel data regression models were estimated to evaluate the relationship between activeness degree and pricing performance. In the corn market, point estimates indicate a positive effect of the degree of activeness on pricing performance, but this effect is of small magnitude and statistically insignificant. For soybeans,there is a stronger...
Tipo: Conference Paper or Presentation Palavras-chave: Agribusiness; Marketing.
Ano: 2005 URL: http://purl.umn.edu/19037
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The Adequacy of Speculation in Agricultural Futures Markets:Too Much of a Good Thing? AgEcon
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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THE PROFITABILITY OF TECHNICAL TRADING RULES IN US FUTURES MARKETS: A DATA SNOOPING FREE TEST AgEcon
Park, Cheol-Ho; Irwin, Scott H..
Numerous empirical studies have investigated the profitability of technical trading rules in a wide variety of markets, and many of them found positive profits. Despite positive evidence about profitability and improvements in testing procedures, skepticism about technical trading profits remains widespread among academics mainly due to data snooping problems. This research tries to mitigate the problems by confirming the results of a previous study and then replicating the original testing procedure on new data. Results indicate that for various futures contracts and technical trading systems tested, technical trading profits have gradually declined over time. In general, substantial technical trading profits in the early 1980s are no longer available in...
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2004 URL: http://purl.umn.edu/19011
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HOW TO GROUP MARKET PARTICIPANTS? HETEROGENEITY IN HEDGING BEHAVIOR AgEcon
Pennings, Joost M.E.; Garcia, Philip; Irwin, Scott H.; Good, Darrel L..
Using a generalized mixture model, we model individual heterogeneity by identifying groups of participants that respond in a similar manner to the determinants of economic behavior. The procedure emphasizes the role of theory as the determinants of behavior are used to simultaneously explain market activities and to discriminate among groups of market participants. We show the appealing properties of this modeling approach by comparing it with two often used grouping methods in an empirical study in which we estimate the factors affecting market participants' hedging behavior.
Tipo: Conference Paper or Presentation Palavras-chave: Institutional and Behavioral Economics.
Ano: 2003 URL: http://purl.umn.edu/21963
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Hog Options: Contract Redesign and Market Efficiency AgEcon
Urcola, Hernan A.; Irwin, Scott H..
This article tests the efficiency of the hog options market and assesses the impact of the 1996 contract redesign on efficiency. We find that the hog options market is efficient, but some options yielded excess returns during the live hogs period but not during the lean hogs period. Our findings indicate that the hog options market is efficient and is consistent with the new contract improving the efficiency of the market. However, other market conditions such as lower transaction costs during the lean hogs period can also contribute to reduce expected option returns during the latter period.
Tipo: Journal Article Palavras-chave: Hog options; Mispricing perceptions; Contract redesign; Trading returns; Agribusiness; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Farm Management; Financial Economics; Livestock Production/Industries; Marketing; Production Economics; Productivity Analysis; Public Economics; Research Methods/ Statistical Methods; C15; G12; G14; Q13.
Ano: 2010 URL: http://purl.umn.edu/100518
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Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting AgEcon
Brittain, Lee; Garcia, Philip; Irwin, Scott H..
The paper examines empirical returns from holding thirty- and ninety-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets. In both markets, implied volatility is an upwardly biased and inefficient predictor of realized volatility, with bias most prominent in live cattle. While significant returns exist holding several market positions, most strategies are strongly affected by a drift in futures market prices. However, the returns from selling live cattle puts are persistent, and evidence from straddle returns identifies that the market overprices volatility. This overpricing is consistent with a short-term risk premium whose effect is magnified by extreme changes in market conditions.
Tipo: Conference Paper or Presentation Palavras-chave: Live cattle; Feeder cattle; Options; Returns; Risk; Volatility forecasting; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Community/Rural/Urban Development; Farm Management; Financial Economics; Livestock Production/Industries; Marketing; Research Methods/ Statistical Methods.
Ano: 2009 URL: http://purl.umn.edu/53038
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1999 PRICING PERFORMANCE OF MARKET ADVISORY SERVICES FOR CORN AND SOYBEANS AgEcon
Martines-Filho, Joao Gomes; Good, Darrel L.; Irwin, Scott H..
The purpose of this research report is to present an evaluation of advisory service pricing performance in the 1999 crop year for corn and soybeans. Specifically, the average price received by a subscriber to an advisory service is calculated for corn and soybean crops harvested in 1999. The average net advisory price across all 26 corn programs in 1999 is $2.02 per bushel, three cents below the market benchmark price. The range of net advisory prices for corn is substantial, with a minimum of $1.66 per bushel and a maximum of $2.49 per bushel. The average net advisory price across all 25 soybean programs in 1999 is $5.67 per bushel, seventeen cents above the market benchmark. As with corn, the range of net advisory prices for soybeans is substantial,...
Tipo: Working or Discussion Paper Palavras-chave: Marketing.
Ano: 2000 URL: http://purl.umn.edu/14779
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To What Surprises Do Hog Futures Markets Respond? AgEcon
Frank, Julieta; Garcia, Philip; Irwin, Scott H..
We reassess the effect of new information in the Hogs and Pigs Reports (HPR) focusing on announcements’ rationality and alternative surprises. HPR announcements are irrational estimates of final estimates, and market expectations are irrational estimates of HPR numbers. Using the market’s best forecast and incorporating final estimates, we modify conventional information measures. Despite differences as large as 33 cents/cwt in price response, findings suggest there is little to differentiate among surprise measures. Regardless, the message that HPR provides new information to the market is strongly supported. On balance, marketing (breeding) information has a larger effect on short-term (long-term) price changes.
Tipo: Journal Article Palavras-chave: HPR; New information; Rationality; Two-limit tobit; USDA announcements; Agribusiness; Agricultural Finance; C24; Q13.
Ano: 2008 URL: http://purl.umn.edu/45046
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The Value of USDA Situation and Outlook Information in Hog and Cattle Markets AgEcon
Good, Darrel L.; Irwin, Scott H.; Isengildina, Olga.
This study investigates the impact of six major USDA reports in hog and cattle markets: Cattle; Cattle on Feed; Cold Storage; Hogs and Pigs; Livestock, Dairy, and Poultry Outlook (LDPO); and World Agricultural Supply and Demand Estimates (WASDE). A TARCH-in-mean model, with dummy variables to measure the impact of USDA reports and other external factors, is used to model close-to-open live-lean hog and live cattle futures returns from January 1985 through December 2004. The analysis revealed a statistically significant impact of all but Cattle and Cold Storage reports in live/lean hog futures, and all but Cold Storage reports in live cattle futures. Hogs and Pigs reports had the highest impact on live/lean hog returns by increasing conditional standard...
Tipo: Journal Article Palavras-chave: Cattle; Event study; Hogs; Livestock; Public information; TARCH model; USDA reports; Livestock Production/Industries; Marketing.
Ano: 2006 URL: http://purl.umn.edu/8614
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1997 PRICING PERFORMANCE OF MARKET ADVISORY SERVICES FOR CORN AND SOYBEANS AgEcon
Jackson, Thomas E.; Irwin, Scott H.; Good, Darrel L..
The purpose of this research report is to present an evaluation of advisory service pricing performance in 1997 for corn and soybeans. Specifically, the average price received by a subscriber to an advisory service is calculated for corn and soybean crops harvested in 1997. The average net advisory price across all 23 corn programs is $2.32 per bushel. The net advisory prices for corn range from a minimum of $2.00 per bushel to a maximum of $2.74 per bushel. The average net advisory price across all 21 soybean programs is $6.40 per bushel. The net advisory prices for soybeans range from a minimum of $6.08 per bushel to a maximum of $6.99 per bushel.
Tipo: Working or Discussion Paper Palavras-chave: Evaluation of advisory services; Pricing performance; Soybeans; C8; D4; D8; L1; M3; Q0; Z0; Marketing.
Ano: 1999 URL: http://purl.umn.edu/14780
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THE MARKETING STYLE OF ADVISORY SERVICES FOR CORN AND SOYBEANS IN 1995 AgEcon
Bertoli, Roberto; Zuluaf, Carl R.; Irwin, Scott H.; Jackson, Thomas E.; Good, Darrel L..
The 1995 marketing styles for the 25 market advisory service programs included in the AgMAS Project were developed in two steps. The first step was the construction of a detailed "menu" of the tools and strategies used by each of the advisory programs in marketing corn and soybeans. The menu describes the type of pricing tool, frequency of transactions, and magnitude of transactions. The second step was the development of a daily index of the net amount sold by each market advisory program. To construct such an index, the various futures, options, and cash positions recommended for a program on a given day were weighted by the respective position "delta." When the daily values of the index were plotted for the entire marketing period, the marketing...
Tipo: Working or Discussion Paper Palavras-chave: Advisory services; Pricing tools; Pricing strategies; Assessment of recommendations; D4; C8; D8; M3; Q0; Marketing.
Ano: 1999 URL: http://purl.umn.edu/14792
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Market Instability in a New Era of Corn, Soybean, and Wheat Prices AgEcon
Irwin, Scott H.; Good, Darrel L..
Tipo: Journal Article Palavras-chave: Grain; Price; Increase; Trend; Demand and Price Analysis; Marketing; Q11; Q13.
Ano: 2009 URL: http://purl.umn.edu/94694
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Advisory Service Marketing Profiles for Soybeans over 2002-2004 AgEcon
Colino, Evelyn V.; Cabrini, Silvina M.; Aulerich, Nicole M.; Brandenberger, Tracy L.; Merrin, Robert P.; Shi, Wei; Irwin, Scott H.; Good, Darrel L.; Martines-Filho, Joao Gomes.
This report presents marketing profiles and loan deficiency payment/marketing loan gain profiles for the advisory services followed by the AgMAS Project for the 2002, 2003 and 2004 soybean crops. Marketing profiles are constructed by plotting the cumulative net amount priced under each program’s set of recommendations throughout the crop year. Loan deficiency payment/marketing loan gain (LDP/MLG) profiles are constructed by plotting the cumulative percentage of the crop on which the LDP/MLG was claimed during the crop year. Marketing profiles provide information to evaluate the style of advisory services in several ways. The percentage of crop priced is a measure of within-crop year price risk. The higher the proportion of a crop priced, the lower the...
Tipo: Report Palavras-chave: Agricultural Finance.
Ano: 2006 URL: http://purl.umn.edu/37485
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Outlook vs. Futures: Three Decades of Evidence in Hog and Cattle Markets AgEcon
Colino, Evelyn V.; Irwin, Scott H..
The purpose of this paper is to provide a comprehensive evaluation of the accuracy of outlook forecasts relative to futures prices in hog and cattle markets. Published forecasts from four prominent livestock outlook programs are available for analysis. Most of the series begin in the mid- to late-1970s and end in 2006. Root mean squared error (RMSE) comparisons indicate, with one exception, no meaningful differences in forecast accuracy between outlook forecasts and futures prices. The null hypothesis that futures prices encompass outlook forecasts is rejected in 9 of 11 cases for hogs and 7 of 8 cases for cattle, clearly indicating that outlook forecasts provide incremental information not contained in futures prices. The magnitude of decline in RMSE from...
Tipo: Conference Paper or Presentation Palavras-chave: Cattle; Encompassing; Forecast; Futures price; Hogs; Outlook; RMSE.
Ano: 2007 URL: http://purl.umn.edu/37577
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Complex Choices: Producers Risk Management Strategies AgEcon
Pennings, Joost M.E.; Isengildina, Olga; Irwin, Scott H.; Good, Darrel L.; Garcia, Philip; Frank, Julieta; Kuiper, W. Erno.
Producers have a wide variety of risk management instruments available. How do producers make a choice of risk management instruments? Using the recently developed choice bracketing framework, we examine what risk management strategies producers use and identify the factors that drive their risk management decisions. Our results identify that producers use a wide variety of combinations of risk management instruments and that they bracket their choices into sets of alternative risk management instruments. Using multinomial logit models to estimate the choice process provides information about the factors that influence producers' decision making. The results show that broad bracketing producers use different risk management instruments than narrow...
Tipo: Conference Paper or Presentation Palavras-chave: Risk and Uncertainty.
Ano: 2005 URL: http://purl.umn.edu/19550
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THE 1995 THROUGH 1998 PRICING PERFORMANCE OF MARKET ADVISORY SERVICES FOR WHEAT AgEcon
Jirik, Mark A.; Irwin, Scott H.; Good, Darrel L.; Jackson, Thomas E.; Jirik, Mark A.; Martines-Filho, Joao Gomes.
The purpose of this research report is to present an evaluation of advisory service pricing performance from 1995 through 1998 for wheat. The average net advisory price across all 24 wheat programs in 1995 is $3.79 per bushel, $0.18 above the market benchmark price. The range in 1995 is $3.01 to $4.71 per bushel. The average net advisory service price for 23 wheat programs in 1996 is $3.82 per bushel, $0.13 below the market benchmark. The range in 1996 is $2.74 to $4.94 per bushel. The average net advisory price for all 20 wheat programs in 1997 is $2.64 per bushel, $0.58 below the market benchmark. The range in 1997 is $1.34 to $3.90 per bushel. Finally, the average net advisory price across all 21 services in 1998 is $2.36 per bushel, $0.54 below...
Tipo: Working or Discussion Paper Palavras-chave: Marketing.
Ano: 2000 URL: http://purl.umn.edu/14777
Registros recuperados: 121
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