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Registros recuperados: 121
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The Impact of Measurement Error on Estimates of the Price Reaction to USDA Crop Reports AgEcon
Aulerich, Nicole M.; Irwin, Scott H.; Nelson, Carl H..
This paper investigates the impact of USDA crop production reports in corn and soybean futures markets. The analysis is based on all corn and soybean production reports released over 1970-2006. The empirical analysis compares the typical OLS event study approach to the new Identification by Censoring (ITC) technique. Corn and soybean production reports are analyzed both separately and together for impact in corn and soybean futures prices. ITC proves to be the more useful method because it avoids the pitfalls of errors in variables that cause downward bias in OLS coefficients. Price reaction coefficients estimated via ITC are one to four times larger than OLS estimates for a one price and one event analysis. In the two price, two event case, ITC estimates...
Tipo: Conference Paper or Presentation Palavras-chave: Event study; USDA Crop Production reports; Measurement error; Identification Through Censoring.
Ano: 2007 URL: http://purl.umn.edu/37579
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Hedging Effectiveness in a Vertical Marketing Channel for Two Periods AgEcon
Baldwin, E. Dean; Irwin, Scott H.; Ahmed, Hassan; Rye, Rob.
Tipo: Journal Article Palavras-chave: Marketing; Research Methods/ Statistical Methods.
Ano: 1990 URL: http://purl.umn.edu/60385
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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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Accuracy Trends and Sources of Forecast Errors in WASDE Balance Sheet Categories for Corn and Soybeans AgEcon
Botto, Augusto C.; Isengildina, Olga; Irwin, Scott H.; Good, Darrel L..
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2006 URL: http://purl.umn.edu/21332
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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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Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting AgEcon
Brittain, Lee; Garcia, Philip; Irwin, Scott H..
This paper examines returns from holding 30- and 90-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets. Implied volatility is an upwardly biased and inefficient predictor of realized volatility, with bias most pronounced in live cattle. While significant returns exist from several positions, strategies are strongly affected by drifts in futures prices. However, returns from live cattle puts are persistent, and evidence from 30-day straddle returns indicates the live cattle market overprices volatility. Overpricing is consistent with volatility risk, the effect of which is magnified by extreme market conditions.
Tipo: Journal Article Palavras-chave: Feeder cattle; Live cattle; Options; Returns; Risk; Volatility forecasting; Livestock Production/Industries; Risk and Uncertainty.
Ano: 2011 URL: http://purl.umn.edu/105515
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IMPROVING THE RELEVANCE OF RESEARCH ON PRICE FORECASTING AND MARKETING STRATEGIES AgEcon
Brorsen, B. Wade; Irwin, Scott H..
Agricultural economists' research on price forecasting and marketing strategies has been used little by those in the real world. We argue that fresh approaches to research are needed. First, we argue that we need to adopt a new theoretical paradigm, noisy rational expectations. This paradigm suggests that gains from using price forecasting models with public data or from using a marketing strategy are not impossible, but any gains are likely to be small. We need to conduct falsification tests; to perform confirmation and replication; to adjust research to reflect structural changes, such as increased contracting; and always to conduct statistical tests. We also provide a modest agenda for changing our research and extension programs.
Tipo: Journal Article Palavras-chave: Demand and Price Analysis; Marketing.
Ano: 1996 URL: http://purl.umn.edu/31655
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Should Farmers Follow the Recommendations of Market Advisory Services? A Bayesian Approach to Performance Evaluation AgEcon
Cabrini, Silvina M.; Good, Darrel L.; Irwin, Scott H..
This paper employs a Bayesian hierarchical approach to estimate individual expected performance of market advisory programs in corn and soybeans. This estimation procedure is a conservative approach compared to traditional estimation, since it reduces estimation error in the expected gains from following top-performing advisory programs. Three versions of the model are estimated. The first combines information across the entire sample, while the second includes skeptical beliefs based on the efficient market hypothesis. The third divides programs into two groups based on the degree of activeness in marketing recommendations. Results indicate that even when skeptical beliefs are incorporated into the model a few programs in corn and several programs in...
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2006 URL: http://purl.umn.edu/19002
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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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Efficient Portfolios of Market Advisory Services: An Application of Shrinkage Estimators AgEcon
Cabrini, Silvina M.; Irwin, Scott H.; Good, Darrel L..
A Bayesian hierarchical model was employed to estimate individual expected pricing performance for market advisory programs in corn and soybeans. Performance is defined as the difference between the price/revenue obtained by following the program's marketing recommendations and the average price/revenue offered by the market along the marketing window. The estimates obtained from this model are weighted averages of traditional separate and pooled estimates. Based on the sample employed, the most reasonable individual estimates for expected pricing performance imply a substantial shrinkage towards pooled values. The Bayesian estimates for expected pricing performance range from ¢9/bu to ¢9/bu for corn, from ¢11/bu to ¢17/bu for soybeans and $0.4/acre to...
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2005 URL: http://purl.umn.edu/19469
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Portfolios of Agricultural Market Advisory Services: How Much Diversification is Enough? AgEcon
Cabrini, Silvina M.; Stark, Brian G.; Irwin, Scott H.; Good, Darrel L.; Martines-Filho, Joao Gomes.
This study analyzes the potential risk-reduction gains from naïve diversification among market advisory services for corn and soybeans. The total possible decrease in risk through naïve diversification is small, mainly because advisory prices are highly correlated on average. Moreover, because marginal risk-reduction benefits decrease rapidly with size and the cost of holding the portfolios increases linearly due to services’ subscription fees, it is optimal to limit portfolio size to a few advisory programs. Based on certainty equivalent measures and two representative risk-aversion levels, preferred portfolio sizes are between one and three programs.
Tipo: Journal Article Palavras-chave: Corn; Diversification; Market advisory service; Portfolio; Soybeans; Agricultural Finance; Crop Production/Industries; Marketing; G11; Q10; Q12; Q14.
Ano: 2005 URL: http://purl.umn.edu/43717
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PORTFOLIOS OF AGRICULTURAL MARKET ADVISORY SERVICES: HOW MUCH DIVERSIFICATION IS ENOUGH? AgEcon
Cabrini, Silvina M.; Stark, Brian G.; Irwin, Scott H.; Good, Darrel L.; Martines-Filho, Joao Gomes.
This study analyzes the potential risk reduction gains from naive diversification (equal-weighting) among market advisory services for corn and soybeans. The total possible decrease in risk through naive diversification is small, mainly because advisory prices are highly correlated on average. Moreover, since marginal risk reduction benefits decrease rapidly with size, and the cost of holding the portfolios increases linearly due to services' subscription fees, it is optimal to limit portfolio size to a few advisory programs. Based on certainty equivalent measures and two representative risk aversion levels, preferred portfolio sizes are between one and three services. Overall, there does not appear to be strong justification for farmers adopting...
Tipo: Conference Paper or Presentation Palavras-chave: Agribusiness; Agricultural Finance.
Ano: 2004 URL: http://purl.umn.edu/19013
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AN ANALYSIS OF THE PROFILES AND MOTIVATIONS OF HABITUAL COMMODITY SPECULATORS AgEcon
Canoles, W. Bruce; Thompson, Sarahelen R.; Irwin, Scott H.; France, Virginia G..
The focus of this study is the habitual speculator in commodity futures markets. The speculator's activity broadens a market, creates essential liquidity, and performs an irreplaceable pricing function. Working knowledge of the profiles and motivations of habitual speculators is essential to both market theorist and policy makers. Responses to a 73 question survey were collected directly from retail commodity brokers with offices in Alabama. Each questionnaire recorded information on an individual commodity client who had traded for an extended period of time. The typical trader studied is a married, white male, age 52. He is affluent and well educated. He is a self-employed business owner who can recover from financial setbacks. He is a politically right...
Tipo: Working or Discussion Paper Palavras-chave: Marketing.
Ano: 1997 URL: http://purl.umn.edu/14768
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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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Advisory Service Marketing Profiles for Corn 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 corn 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/37484
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Advisory Service Marketing Profiles for Soybeans in 2001 AgEcon
Colino, Evelyn V.; Cabrini, Silvina M.; Irwin, Scott H.; Good, Darrel L.; Joao, Martines-Filho.
This report presents marketing profiles and loan deficiency payment/marketing loan gain profiles for the advisory services followed by the AgMAS Project for the 2001 soybean crop. 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 sensitivity of the...
Tipo: Report Palavras-chave: Agricultural Finance; Financial Economics.
Ano: 2004 URL: http://purl.umn.edu/37507
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Advisory Service Marketing Profiles for Corn in 2001 AgEcon
Colino, Evelyn V.; Cabrini, Silvina M.; Irwin, Scott H.; Good, Darrel L.; Martines-Filho, Joao Gomes.
Tipo: Report Palavras-chave: Agricultural Finance.
Ano: 2004 URL: http://purl.umn.edu/37493
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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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How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market AgEcon
Colino, Evelyn V.; Irwin, Scott H.; Garcia, Philip.
This study investigates the predictability of outlook hog price forecasts released by Iowa State University relative to alternative market and time-series forecasts. The findings suggest that predictive performance of the outlook hog price forecasts can be improved substantially. Under RMSE, VARs estimated with Bayesian procedures that allow for some degree of flexibility and model averaging consistently outperform Iowa outlook estimates at all forecast horizons. Evidence from the encompassing tests, which are highly stringent tests of forecast performance, indicates that many price forecasts do provide incremental information relative to Iowa. Simple combinations of these models and outlook forecasts are able to reduce forecast errors by economically...
Tipo: Conference Paper or Presentation Palavras-chave: Forecast; Futures; Models; Prices; Time-series; Vector autoregression; Agricultural Finance.
Ano: 2008 URL: http://purl.umn.edu/37620
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Do Composite Procedures Really Improve the Accuracy of Outlook Forecasts? AgEcon
Colino, Evelyn V.; Irwin, Scott H.; Garcia, Philip.
This paper investigates whether the accuracy of outlook hog price forecasts can be improved using composite forecasts in an out-of-sample context. Price forecasts from four wellrecognized outlook programs are combined with futures-based forecasts, ARIMA, and unrestricted Vector Autoregressive (VAR) models. Quarterly data are available from 1975.I through 2007.IV, which allow for a relatively long out-of-sample evaluation period after permitting model specification and appropriate composite-weight training periods. Results show that futures and numerous composite procedures outperform outlook forecasts. At intermediate horizons, OLS composite procedures perform rather well. The superiority of futures and composite forecasts decreases at longer horizons...
Tipo: Conference Paper or Presentation Palavras-chave: Forecast combination; Outlook; Futures; Time-series; Out-of-sample; Agribusiness; Agricultural Finance; Financial Economics; Livestock Production/Industries; Marketing; Research Methods/ Statistical Methods.
Ano: 2009 URL: http://purl.umn.edu/53052
Registros recuperados: 121
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