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Registros recuperados: 121
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OPTIMAL HEDGING WITH VIEWS: A BAYESIAN APPROACH AgEcon
Shi, Wei; Irwin, Scott H..
The optimal hedging model has become the standard theoretical model of normative hedging behavior due to its intuitive tradeoff of expected return with risk, its effcient use of information and its easy implementation. In practice, the model can be easily implemented with the Parameter Certainty Equivalent procedure, which substitutes sample estimates for the true but unknown model parameters. But subjective views, which refer to opinions concerning the directions of market returns of the assets involved in hedging decisions, are either completely ignored or handled in an ad hoc and unsatisfactory manner within the optimal hedging model. Given the widespread use of subjective views in hedging practice and the potential economic benefit of selective...
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2004 URL: http://purl.umn.edu/19009
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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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PORTFOLIOS OF AGRICULTURAL MARKET ADVISORY SERVICES: HOW MUCH DIVERSIFICATION IS ENOUGH? AgEcon
Stark, Brian G.; Cabrini, Silvina M.; Irwin, Scott H.; Good, Darrel L.; Martines-Filho, Joao Gomes.
Agricultural market advisory services offer specific advice to farmers on how to market their commodities. Farmers can subscribe to one or more of these services and follow their advice as a way of managing price risk. According to portfolio theory, a combination of these services may have risk/return benefits compared to individual services. This report analyzes the potential risk reduction gains from naïve diversification among market advisory services for corn and soybeans. Results show that increasing the number of (equal-weighting) services reduces portfolio expected risk, but the marginal decrease in risk from adding a new service decreases rapidly with portfolio size. The risk reduction benefits of naïve diversification among advisory services...
Tipo: Working or Discussion Paper Palavras-chave: Marketing.
Ano: 2003 URL: http://purl.umn.edu/14774
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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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PRE-HARVEST PRICING STRATEGIES IN OHIO CORN MARKETS: THEIR EFFECT ON RETURNS AND CASH FLOW AgEcon
Zulauf, Carl R.; Larson, Donald W.; Alexander, Christopher K.; Irwin, Scott H..
This paper contributes to the debate on whether pre-harvest pricing strategies can improve returns over cash sales at harvest. It also examines cash flow needs of such strategies. The analysis is conducted for Ohio corn produced from 1986 through 1999. The pre-harvest strategies evaluated (short futures, long put, synthetic long put, put-call fence) did not statistically improve returns over cash sales at harvest. However, if implemented during or before planting, these naïve strategies reduced the standard deviation of annual gross income. Substantial cash flow may be incurred, either to establish the strategy or meet margin calls. Therefore, assessments of pre-harvest pricing strategies should include cash flow needs, along with return and risk....
Tipo: Journal Article Palavras-chave: Cash flow risk; Pre-harvest pricing strategies; Price risk.; Marketing.
Ano: 2001 URL: http://purl.umn.edu/15299
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PUTTING THE RISK PROTECTION ACT OF 2000 TO WORK: APPLIED MARKETING STRATEGIES (PowerPoint Presentation) AgEcon
Irwin, Scott H.; Good, Darrel L.; Martines-Filho, Joao Gomes.
POWERPOINT PRESENTATION
Tipo: Conference Paper or Presentation Palavras-chave: Marketing; Risk and Uncertainty.
Ano: 2001 URL: http://purl.umn.edu/33092
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Quantile Regression Estimates of Confidence Intervals for WASDE Price Forecasts AgEcon
Isengildina-Massa, Olga; Irwin, Scott H.; Good, Darrel L..
This study uses quantile regressions to estimate historical forecast error distributions for WASDE forecasts of corn, soybean, and wheat prices, and then compute confidence limits for the forecasts based on the empirical distributions. Quantile regressions with fit errors expressed as a function of forecast lead time are consistent with theoretical forecast variance expressions while avoiding assumptions of normality and optimality. Based on out-of-sample accuracy tests over 1995/96–2006/07, quantile regression methods produced intervals consistent with the target confidence level. Overall, this study demonstrates that empirical approaches may be used to construct accurate confidence intervals for WASDE corn, soybean, and wheat price forecasts.
Tipo: Journal Article Palavras-chave: Commodity; Evaluating forecasts; Government forecasting; Judgmental forecasting; Prediction intervals; Price forecasting; Crop Production/Industries; Demand and Price Analysis.
Ano: 2010 URL: http://purl.umn.edu/99120
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Quantile Regression Methods of Estimating Confidence Intervals for WASDE Price Forecasts AgEcon
Isengildina-Massa, Olga; Irwin, Scott H.; Good, Darrel L..
This paper explores the use of quantile regression for estimation of empirical confidence limits for WASDE forecasts of corn, soybean, and wheat prices. Quantile regressions for corn, soybean, and wheat forecast errors over 1980/81 through 2006/07 were specified as a function of forecast lead time. Estimated coefficients were used to calculate forecast intervals for 2007/08. The quantile regression approach to calculating forecast intervals was evaluated based on out-of-sample performance. The accuracy of the empirical confidence intervals was not statistically different from the target level about 87% of the time prior to harvest and 91% of the time after harvest.
Tipo: Conference Paper or Presentation Palavras-chave: Demand and Price Analysis.
Ano: 2008 URL: http://purl.umn.edu/6409
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Recent Convergence Performance of CBOT Corn, Soybean, and Wheat Futures Contracts AgEcon
Irwin, Scott H.; Garcia, Philip; Good, Darrel L.; Kunda, Eugene L..
Tipo: Journal Article Palavras-chave: Crop Production/Industries; Risk and Uncertainty; Q11; Q13.
Ano: 2008 URL: http://purl.umn.edu/94645
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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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Smart Money? The Forecasting Ability of CFTC Large Traders AgEcon
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.
Tipo: Conference Paper or Presentation Palavras-chave: Commitment’s of Traders; Futures markets; Forecasting; Agricultural Finance; Financial Economics.
Ano: 2007 URL: http://purl.umn.edu/37556
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Smart Money: The Forecasting Ability of CFTC Large Traders in Agricultural Futures Markets AgEcon
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
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So How Do I Make Corn and Soybean Pricing Decisions? AgEcon
Good, Darrel L.; Irwin, Scott H..
Tipo: Report Palavras-chave: Agribusiness; Demand and Price Analysis; Financial Economics.
Ano: 2008 URL: http://purl.umn.edu/37498
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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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SURVEYING FARMERS: A RESEARCH NOTE AgEcon
Pennings, Joost M.E.; Irwin, Scott H.; Good, Darrel L..
Mail surveys are a very popular instrument for researchers as well as government agencies and commercial firms to obtain information about farmers. A large percentage of farmers do not respond to these mail surveys. To gain insight into why farmers do not respond and their preferences regarding mail surveys, farmers who did not respond to a mail survey were interviewed. From our field study it appears that a large proportion does not even read the questionnaire. Furthermore, the period in which the survey is sent along with the form and amount of compensation, the sender of the questionnaire, and the length of the questionnaire has a crucial impact on the willingness to participate.
Tipo: Working or Discussion Paper Palavras-chave: Research Methods/ Statistical Methods.
Ano: 1999 URL: http://purl.umn.edu/14781
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Testing for Yield Persistency: Is It Skill or is It Luck? AgEcon
Urcola, Hernan A.; Schnitkey, Gary D.; Irwin, Scott H.; Sherrick, Bruce J..
This study uses corn yield data from McLean County, Illinois to test whether farmer skill influences yields. This analysis is conducted by performing persistency tests on unadjusted, soil productivity adjusted (PA), and productivity and input intensity adjusted (PIA) yields. Correlation analysis and winner/loser tables indicate that unadjusted, PA, and PIA yields exhibit persistency across time. PIA yields exhibiting persistency is consistent with farmer skill influencing yield. Hence, our results support the hypothesis that farmer skill influences yields.
Tipo: Conference Paper or Presentation Palavras-chave: Crop Production/Industries.
Ano: 2004 URL: http://purl.umn.edu/19991
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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
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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..
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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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
Registros recuperados: 121
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