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Registros recuperados: 12
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An Evaluation of Crop Forecast Accuracy for Corn and Soybeans: USDA and Private Information Agencies AgEcon
Egelkraut, Thorsten M.; Garcia, Philip; Irwin, Scott H.; Good, Darrel L..
Using 1971-2000 data, we examine the accuracy of corn and soybean production forecasts provided by the USDA and two private agencies. All agencies improved their forecasts as the harvest progressed, and forecast errors were highly correlated and unbiased. The relative forecast accuracy of the agencies varied by crop and month. For corn, USDA’s forecasts ranked as most accurate of the three agencies in all periods except for august during the recent period and improved most markedly as harvest progressed. For soybeans, forecast errors were very similar, with the private agencies ranking as most accurate for August and September and making largest relative improvements for August during the recent period. The USDA forecasts were dominant for October and...
Tipo: Journal Article Palavras-chave: Corn; Private agencies; Production forecasts; Soybeans; USDA; Q11; Q13; C82; Q18.
Ano: 2003 URL: http://purl.umn.edu/37835
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AN EVALUATION OF CROP FORECAST ACCURACY FOR CORN AND SOYBEANS: USDA AND PRIVATE INFORMATION SERVICES AgEcon
Egelkraut, Thorsten M.; Garcia, Philip; Irwin, Scott H.; Good, Darrel L..
Using 1971-2000 data, we examine the accuracy of corn and soybean production forecasts provided by the USDA and two private services. All agencies improved their forecasts as the harvest progressed, and forecast errors across the agencies were highly correlated. Relative accuracy varied by crop and month. In corn, USDA 's forecasts ranked as most accurate in all periods except in August during recent times, and improved more markedly as harvest progressed. In soybeans, forecast errors were very similar with the private agencies ranking as most accurate in August and September and making largest relative improvements in August during recent times. The USDA provided the most accurate October and November forecasts.
Tipo: Conference Paper or Presentation Palavras-chave: Crop Production/Industries.
Ano: 2002 URL: http://purl.umn.edu/19068
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Biofuel Economics in a Setting of Multiple Objectives & Unintended Consequences AgEcon
Jaeger, William K.; Egelkraut, Thorsten M..
This paper examines biofuels from an economic perspective and evaluates the merits of promoting biofuel production in the context of the policies’ multiple objectives, life-cycle implications, pecuniary externalities, and other unintended consequences. The policy goals most often cited are to reduce fossil fuel use and to lower greenhouse gas emissions. But the presence of multiple objectives and various indirect effects complicates normative evaluation. To address some of these complicating factors, we look at several combinations of policy alternatives that achieve the same set of incremental gains along the two primary targeted policy dimensions, making it possible to compare the costs and cost-effectiveness of each combination of policies. For example,...
Tipo: Working or Discussion Paper Palavras-chave: Biofuel; Biodiesel; Cost-Effectiveness; Indirect Land Use Change Effects; Net Energy; Multiple Objectives; Ethanol; Ghg; Resource /Energy Economics and Policy; Q42; Q48; Q54.
Ano: 2011 URL: http://purl.umn.edu/108203
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Farmers’ Subjective Perceptions of Yield and Yield Risk AgEcon
Egelkraut, Thorsten M.; Sherrick, Bruce J.; Garcia, Philip; Pennings, Joost M.E..
Using survey responses of Illinois corn farmers to differently framed yield questions, we examine their subjective information by relating stated yields and risk to the corresponding objective county measures. The results show that farm-level yields can be best characterized by soliciting probabilistic information, which provides more accurate yield assessments than an open-ended frame and consistent estimates of producers’ subjective risk. Moreover, we find that overconfidence can be confused with differences in relevant information and that using recent data may be more appropriate in examining subjective risk statements. Our results are important for agricultural policy-makers and researchers, particularly those who work with surveys that include...
Tipo: Conference Paper or Presentation Palavras-chave: Crop Production/Industries.
Ano: 2006 URL: http://purl.umn.edu/18991
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Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options AgEcon
Egelkraut, Thorsten M.; Garcia, Philip.
Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical volatility information, but that the predictive accuracy is affected by the commodity's characteristics. Unbiased and efficient corn and soybeans market forecasts are attributable to the well-established volatility during crucial growing periods. For soybean meal, wheat, and hogs, volatility is less predictable and investors appear to demand a risk premium for bearing volatility risk.
Tipo: Journal Article Palavras-chave: Agricultural commodity; Efficiency; Forecasts; Implied forward volatility; Options; Marketing.
Ano: 2006 URL: http://purl.umn.edu/8637
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Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options AgEcon
Egelkraut, Thorsten M.; Garcia, Philip.
Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical volatility information, but that the predictive accuracy is affected by the commodity's characteristics. Unbiased and efficient corn and soybeans market forecasts are attributable to the well-established volatility during crucial growing periods. For soybean meal, wheat, and hogs volatility is less predictable, and investors appear to demand a risk premium for bearing volatility risk.
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2005 URL: http://purl.umn.edu/19033
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OPTIONS-BASED FORECASTS OF FUTURES PRICES IN THE PRESENCE OF LIMIT MOVES AgEcon
Egelkraut, Thorsten M.; Garcia, Philip.
This analysis examines a simultaneous estimation option-based approach to forecast futures prices in the presence of daily price limit moves. The procedure explicitly allows for changing implied volatilities by estimating the implied futures price and the implied volatility simultaneously. Using 15 years of futures and futures options data for three agricultural commodities, we find that the simultaneous estimation approach accounts for the abrupt changes in implied volatility associated with limit moves and generates more accurate price forecasts than conventional methods that rely on only one implied variable.
Tipo: Conference Paper or Presentation Palavras-chave: Demand and Price Analysis; Marketing.
Ano: 2004 URL: http://purl.umn.edu/19021
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Portfolio Diversification with Commodity Futures: Properties of Levered Futures AgEcon
Egelkraut, Thorsten M.; Woodard, Joshua D.; Garcia, Philip; Pennings, Joost M.E..
This study extends previous work on the impact of commodity futures on portfolio performance by explicitly incorporating levered futures into the portfolio optimization problem. Using data on nine individual commodity futures and one aggregate index from 1994-2003, we find that collateralized and levered futures strategies perform similarly in an ex-post context. Significant differences between the approaches emerge however when constraints on investment behavior exist. Further, levered futures do not result in a prohibitive number of margin calls. The investment performances of the collateralized and the levered strategies vary little across different rebalancing intervals, and frequent portfolio rebalancing does not necessarily result in superior...
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2005 URL: http://purl.umn.edu/19047
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Producers' Yield and Yield Risk: Perceptions versus Reality and Crop Insurance Use AgEcon
Egelkraut, Thorsten M.; Garcia, Philip; Pennings, Joost M.E.; Sherrick, Bruce J..
Using survey data from 258 Illinois corn farmers, we investigate the relationship between subjective and objective yield measures and their effect on the use of crop insurance. Our findings show that producers view themselves as better than average with respect to yields and in terms of their variability, and that over- and underconfidence also influence their use of crop insurance. The effects are not symmetric, overconfidence is primarily reflected in the larger-than-average yield, while underconfidence emerges mainly in the larger-than-average variability. Crop insurance use is further affected by risk preferences and county yield variability.
Tipo: Conference Paper or Presentation Palavras-chave: Risk and Uncertainty.
Ano: 2006 URL: http://purl.umn.edu/21369
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Research in Agricultural Futures Markets: Integrating the Finance and Marketing Approach AgEcon
Pennings, Joost M.E.; Egelkraut, Thorsten M..
In a brief literature review, we discuss how our insight into the grounds of existence of futures markets has changed from the initial insurance perspective, to the arbitrage perspective, to the portfolio perspective, and to the current institutional perspective. We discuss futures market research within agricultural marketing, on the one hand, and within finance, on the other hand. The research within these two disciplines may be considered complementary. Subsequently, a new research model is presented which integrates both strains of research. The new research model is illustrated for the Dutch hog industry. This model is a powerful instrument in the development of new commodity futures contracts. Finally, a future research agenda for agricultural...
Tipo: Journal Article Palavras-chave: Agricultural futures markets; Research approaches; Financemarketing integration; Financial Economics.
Ano: 2003 URL: http://purl.umn.edu/97980
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THE TERM STRUCTURE OF IMPLIED FORWARD VOLATILITY: RECOVERY AND INFORMATIONAL CONTENT IN THE CORN OPTIONS MARKET AgEcon
Egelkraut, Thorsten M.; Garcia, Philip; Sherrick, Bruce J..
Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the implied forward volatility as a predictor of subsequent realized volatility. Using data from 1987-2001 and employing a flexible method to obtain the implied forward volatilities, two types of information are examined: 1) the market's estimate of future realized volatility for the nearby interval of the term structure and, 2) the market's expectation of the direction and magnitude of change of future realized volatility over time. In contrast to previous research, the results indicate that the implied...
Tipo: Conference Paper or Presentation Palavras-chave: Corn options; Implied forward volatility; Informational content; Term structure; Marketing.
Ano: 2003 URL: http://purl.umn.edu/18983
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Why Do Commodity Futures Markets Exist? Their Role in Managing Marketing Channel Relationships AgEcon
Pennings, Joost M.E.; Egelkraut, Thorsten M..
This paper advances a behavioral perspective on the existence of futures markets. The proposed approach extends and complements the existing framework by focusing on the interorganizational relationships between buyers and sellers. We show how decision-makers' risk attitudes and risk preferences determine contract preferences, and how potential conflicts in these contract preferences may hamper subsequent business relationships between parties. Futures markets can therefore be viewed as third-party services with the ability to solve potential conflicts in decision-makers' contract preferences. Our approach explains why we observe marketing channel structures despite the different contract preferences of the parties involved. The expansion of theory in...
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2005 URL: http://purl.umn.edu/19433
Registros recuperados: 12
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