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Registros recuperados: 33 | |
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Power, Gabriel J.; Turvey, Calum G.. |
Both prices and the volatility of storable agricultural commodity futures contracts have been rising since 2005 and particularly since 2007. This paper aims to answer two principal questions: (i) How has the behavior of these futures prices over time and across maturities changed with the rise of biofuels and their demand-side pres- sure on corn and related crops?, and (ii) Is there now stronger or weaker evidence of the Kaldor-Working convenience yield-storage hypothesis, whereby futures price backwardation can be explained by the high value of remaining inventory stocks when these are near stockouts? The empirical application is to Chicago Board of Trade corn, wheat and soybeans futures. To make use of all available futures data rather than only the... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Agricultural Finance; C52; C53; G12; G13; Q13; Q14. |
Ano: 2008 |
URL: http://purl.umn.edu/37608 |
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Witzke, Heinz Peter; Britz, Wolfgang. |
In the context of a long run agricultural outlook on behalf of the European Environmental Agency a new methodology has been developed to systematically integrate external forecasts into a quite detailed agricultural sector model. External forecasts usually provide estimates for the exogenous variables in modelling work and frequently they are also used for comparisons and potential reassessment of empirical specifications. The innovative characteristic of this study is that expert forecasts have been used to specify parameter changes expressing structural change affecting behavioural functions. The outlook was therefore set up as a simultaneous estimation and forecasting effort which permitted to integrate various, usually contradictory expert forecasts... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Agricultural outlook; Forecasting; Modelling; Expert information; Agricultural and Food Policy; C15; C53; Q11; Q19; Q21. |
Ano: 2005 |
URL: http://purl.umn.edu/24666 |
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Flury, Christian; Mack, Gabriele; Rieder, Peter; Pfefferli, S.. |
Switzerland aims to liberalise the milk market by 2011. This will result in distinctive changes in the basic conditions for agriculture. The impacts of the liberalisation are investigated with a composite model obtained by combining an optimization model for the agricultural sector and a dynamic simulation model for the milk and meat market. The calculations with the composite model indicate that the milk price depends strongly on the phasing out of market support, while the abolition of milk quotas in 2009 is less decisive. An introduction of a dairy cow premium leads to a higher milk production, especially with abolished milk quotas. In this case the European milk price level represents the lower limit for the milk price in Switzerland. Compared to the... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Dynamic simulation; Sectoral optimisation; Milk market; Milk quota; Agribusiness; C53; C61; O21; Q13; Q18. |
Ano: 2005 |
URL: http://purl.umn.edu/24507 |
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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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Power, Gabriel J.; Turvey, Calum G.. |
Long memory, and more precisely fractionally integration, has been put forward as an explanation for the persistence of shocks in a number of economic time series data as well as to reconcile misleading findings of unit roots in data that should be stationary. Recent evidence suggests that long memory characterizes not commodity futures prices but rather price volatility (generally defined as $L_p$ norms of price logreturns). One implication of long memory in volatility is the mispricing of options written on commodity futures, the consequence of which is that fractional Brownian motion should replace geometric Brownian motion as the building block for option pricing solutions. This paper asks whether findings of long memory in volatility might be spurious... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Q13; Q14; Marketing; C52; C53; G12; G13. |
Ano: 2007 |
URL: http://purl.umn.edu/9782 |
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Bastianin, Andrea. |
In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the marginals? (ii) are there nonnormalities in the dependence structure? (iii) is it worth modelling these nonnormalities in risk- management applications? (iv) do complicated models perform better than simple models? As for questions (i) and (ii) I have shown that the data do deviate from the null of normality at the univariate, as well as at the multivariate level. When considering the dependence structure of the data I have found that asymmetries show up in their... |
Tipo: Working or Discussion Paper |
Palavras-chave: Copula functions; Forecasting; Value-At-Risk; Risk and Uncertainty; C32; C52; C53; G17; Q43. |
Ano: 2009 |
URL: http://purl.umn.edu/50452 |
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Ghermandi, Andrea; Nunes, Paulo A.L.D.. |
The welfare dimension of the recreational services provided by global coastal ecosystems is examined through a meta-analytical regression-based valuation approach. First, we construct a global, state-of-the-art database of stated and revealed preference estimates on coastal recreation, which includes also the grey literature and with the latest entry updated to February 2010. Second, the profile of each of the 253 observations of our dataset, which correspond to individual value estimates, was further enriched with characteristics of the built coastal environment (site accessibility, anthropogenic pressure, level of human development), characteristics of the natural coastal environment (presence of protected area, type of ecosystem, and marine... |
Tipo: Working or Discussion Paper |
Palavras-chave: Built Coastal Environment; Natural Coastal Environment; Ecosystem Service Valuation; Geographic Information Systems; Mapping Ecosystem Values; Marine Biodiversity; Scaling up; Spatial Analysis; Spatial Economic Valuation; Value Transfer; Environmental Economics and Policy; C53; Q26; Q57; R12. |
Ano: 2011 |
URL: http://purl.umn.edu/108205 |
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Sanders, Dwight R.; Manfredo, Mark R.. |
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 |
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Registros recuperados: 33 | |
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