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A NONLINEAR MODEL OF INFORMATION AND COORDINATION IN HOG PRODUCTION: TESTING THE COASIAN-FOWLERIAN DYNAMIC HYPOTHESES AgEcon
Ruth, Matthias; Cloutier, L. Martin; Garcia, Philip.
The pig-cycle 'explanation' expunded by Coase and Fowler followed a well-integrated economic logic and provides tremendous insight into our understanding of commodity cycles. The paper presents a simulation model that replicates all of Coase and Fowler's results and tests its robustness with an application to U.S. hog production.
Tipo: Conference Paper or Presentation Palavras-chave: Livestock Production/Industries; Research Methods/ Statistical Methods.
Ano: 1998 URL: http://purl.umn.edu/20971
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Accounting for Heterogeneity in Hedging Behavior: Comparing & Evaluating Grouping Methods AgEcon
Pennings, Joost M.E.; Garcia, Philip; Irwin, Scott H..
Heterogeneity, i.e., the notion that individuals respond differently to economic stimuli, can have profound consequences for the interpretation of behavior and the formulation of agricultural policy. This paper compares and evaluates three grouping techniques that can be used to account for heterogeneity in financial behavior. Two are well established: company-type grouping and cluster analysis. A third, the generalized mixture regression model, has recently been developed and is worth considering as market participants are grouped such that their response to the determinants of economic behavior is similar. We evaluate the grouping methods in a hedging framework by assessing their ability to reflect relationships consistent with theory. The empirical...
Tipo: Conference Paper or Presentation Palavras-chave: Economic behavior; Heterogeneity; Hedging; Methods; Risk and Uncertainty; A10; B40; C1; D0; G0; L2; Q13.
Ano: 2011 URL: http://purl.umn.edu/114787
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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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Basis Risk and Weather Hedging Effectiveness AgEcon
Woodard, Joshua D.; Garcia, Philip.
Basis risk has been cited as a primary concern for implementing weather hedges. This study investigates several dimensions of weather basis risk for the U.S. corn market at various levels of aggregation. The results suggest that while the degree of geographic basis risk may be significant in some instances, it should not preclude the use of geographic cross-hedging. In addition, the degree to which geographic basis risk impedes effective hedging diminishes as the level of spatial aggregation increases. In fact, geographic basis risk is actually negative in the case most representative of a reinsurance hedge, and the reduction in risk from employing straightforward temperature derivatives is significant. Finally, precipitation hedges are found to introduce...
Tipo: Conference Paper or Presentation Palavras-chave: Weather Derivatives; Basis Risk; Spatial Aggregation; Insurance; Hedging Effectiveness; Agricultural Finance; Marketing; Risk and Uncertainty.
Ano: 2007 URL: http://purl.umn.edu/9254
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Bid-Ask Spreads, Volume, and Volatility: Evidence from Livestock Markets AgEcon
Frank, Julieta; Garcia, Philip.
Understanding the determinants of liquidity costs in agricultural futures markets is hampered by a need to use proxies for the bid-ask spread which are often biased, and by a failure to account for a jointly determined micro-market structure. We estimate liquidity costs and its determinants for the live cattle and hog futures markets using alternative liquidity cost estimators, intraday prices and micro-market information. Volume and volatility are simultaneously determined and significantly related to the bid-ask spread. Daily volume is negatively related to the spread while volatility and volume per transaction display positive relationships. Electronic trading has a significant competitive effect on liquidity costs, particularly in the live cattle...
Tipo: Conference Paper or Presentation Palavras-chave: Bayesian estimation; Bid-ask spread determinants; Liquidity cost; Livestock Production/Industries; Marketing.
Ano: 2009 URL: http://purl.umn.edu/49575
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Cash Settlement of Lean Hog Futures Contracts Reexamined AgEcon
Frank, Julieta; Gomez, Miguel I.; Kunda, Eugene L.; Garcia, Philip.
In 1997 the Chicago Mercantile Exchange replaced its live hog futures contract with a cash settlement mechanism based on a Lean Hog Index. Although cash settlement was expected to increase the use of the contract as a hedging tool, producers and packers are concerned that convergence between cash and futures prices is not occurring and that the volatility of the lean hog contract basis has increased in recent years. The purpose of the paper is to reexamine cash settlement of lean hog futures contracts as a hedging tool, focusing on basis behavior and management of basis risk. We also investigate alternative hedging instruments that take into account location differences between regional cash prices and the CME lean hog index. Our results indicate that...
Tipo: Conference Paper or Presentation Palavras-chave: Basis behavior; Cash settlement; Ex-ante basis risk; Lean hogs futures contract; Regional basis; Agricultural Finance.
Ano: 2008 URL: http://purl.umn.edu/37611
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COMBINING ECONOMIC AND BIOLOGICAL DATA TO ESTIMATE THE IMPACT OF POLLUTION ON CROP PRODUCTION AgEcon
Dixon, Bruce L.; Garcia, Philip; Adams, Richard M.; Mjelde, James W..
Duality methods utilizing a profit function framework are employed to estimate the output elasticity of ambient ozone levels on cash grain farms in Illinois. While duality methods have been recommended as a cure to many of the statistical problems of direct estimation of production functions, multicollinearity may still be a problem. A method for utilizing stochastic information on parameters of a seemingly unrelated system of equations, which is implied by profit function estimation, is developed and applied to measuring the impact of ozone. Such an approach may be necessary in measuring other environmental effects because of a lack of regressor variability.
Tipo: Journal Article Palavras-chave: Crop Production/Industries; Environmental Economics and Policy.
Ano: 1984 URL: http://purl.umn.edu/32140
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Commodity Storage under Backwardation: Does the Working Curve Still Work? AgEcon
Joseph, Kishore; Irwin, Scott H.; Garcia, Philip.
We investigate storage in the presence of backwardation and the existence of the Working curve for CBOT corn, soybeans, and wheat markets and the KCBOT wheat market using recent data, 1990-2010. Incorporating Telser’s concept of the cost of carry, we employ two measures of the spread—the percent of full carry for futures-futures and futures-spot (maximum) spreads which are adjusted for interest and storage rates. Both spreads are calculated relative to the next nearby futures contract and are matched with closest weekly deliverable stock information available at the delivery locations for the contracts. Our findings indicate that storage at a loss is pervasive both in terms of the percent of observations that exhibited storage at a loss, and the magnitude...
Tipo: Working or Discussion Paper Palavras-chave: Storage; Backwardation; CBOT; KCBOT; Corn; Soybean; Wheat.; Agribusiness; Demand and Price Analysis.
Ano: 2011 URL: http://purl.umn.edu/103888
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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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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
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Do Interest Rates Explain Disaggregate Commodity Price Growth? AgEcon
Franken, Jason R.V.; Garcia, Philip; Irwin, Scott H..
The storage at a loss paradox - inventories despite an inadequate spot-futures price spread to cover storage costs— - is an unresolved issue of long-standing interest to economists. Alternative explanations include risk premiums for futures market speculators, convenience yields from holding inventories, and mismeasurement/aggregation of data. Statistical analyses of regional- and elevator-level data suggest that aggregation can impact results, and that soybean price behavior is generally consistent with inter-temporal arbitrage conditions, while corn price behavior points to convenience yields at longer horizons.
Tipo: Conference Paper or Presentation Palavras-chave: Risk and Uncertainty.
Ano: 2006 URL: http://purl.umn.edu/21319
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Do Transaction Costs and Risk Preferences Influence Marketing Arrangements in the Illinois Hog Industry? AgEcon
Franken, Jason R.V.; Pennings, Joost M.E.; Garcia, Philip.
Risk reduction and transaction costs are often used to explain contracting in the U.S. hog industry with little empirical support. Using a unified conceptual framework that draws from risk behavior and transaction cost theories, in combination with unique survey and accounting data, we demonstrate that risk preferences and asset specificity impact Illinois producers’ use of contracts and spot markets. In particular, producers’ investments in specific hog genetics and human capital are related to selection of long-term marketing contracts over spot markets. Producers who perceive greater levels of price risk and/or are more averse are more (less) likely to use contracts (spot markets).
Tipo: Report Palavras-chave: Asset specificity; Contracts; Hogs; Risk attitude; Risk behavior; Risk perception; Transaction costs economics; Livestock Production/Industries; Risk and Uncertainty.
Ano: 2009 URL: http://purl.umn.edu/54548
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Do Transaction Costs and Risk Preferences Influence Marketing Arrangements in the Illinois Hog Industry? AgEcon
Franken, Jason R.V.; Pennings, Joost M.E.; Garcia, Philip.
Studies of hog industry structure often invoke risk reduction and transaction costs explanations for empirical observations but fail to directly examine the core concepts of risk behavior and transaction costs theories. Using a more unified conceptual framework and unique survey and accounting data, this study demonstrates that that risk preferences and asset specificity impact Illinois producers’ use of contracts and spot markets as suggested by theory. Factor analytic methods limit measurement error for indirectly observable risk and transaction costs variables employed in logit regressions. In particular, related investments in specific hog genetics and specific human capital regarding the production process increase the probability of selecting...
Tipo: Conference Paper or Presentation Palavras-chave: Risk behavior; Transaction costs economics; Risk attitude and risk perception; Asset specificity; Contracts; Hogs; Agricultural Finance.
Ano: 2008 URL: http://purl.umn.edu/37599
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Dynamic Decision Making in Agricultural Futures and Options Markets AgEcon
Mattos, Fabio; Garcia, Philip; Pennings, Joost M.E..
This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets. Analysis of trading records of 12 traders identified considerable heterogeneity in individual dynamic trading behavior. Using risk measures derived from the deltas and vegas of trader’s portfolios, we find nearly half the traders behavior is consistent with a house-money effect and the other half with loss aversion. These findings correspond closely to expected behavior inferred from elicited utility and probability weighting functions. The results call into question more aggregate findings that discount probability weighting to develop risk measures which support the notion of more uniform, less heterogeneous, behavior. Understanding behavior in...
Tipo: Conference Paper or Presentation Palavras-chave: Loss aversion; House-money effect; Futures; Options; Agricultural Finance.
Ano: 2008 URL: http://purl.umn.edu/37605
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EFFICIENCY MEASURES USING THE RAY-HOMOTHETIC FUNCTION: A MULTIPERIOD ANALYSIS AgEcon
Neff, David L.; Garcia, Philip; Hornbaker, Robert H..
Recent investigations have provided mixed assessments of farm firm efficiency. This analysis examined the efficiency of a homogeneous sample of central Illinois grain farms over a six-year period. A best-practice frontier was constructed using the ray-homothetic function, which allowed optimal farm output to vary with factor intensity. Efficiency measures were found to increase with temporal aggregation. The ray-homothetic approach was found to attribute high scale inefficiencies to larger sample farms in cases where the factor shares did not vary appreciably across farms. The findings suggest that policy recommendations regarding farm efficiency must be made with care.
Tipo: Journal Article Palavras-chave: Agribusiness.
Ano: 1991 URL: http://purl.umn.edu/30053
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ENGAGING STUDENTS IN RESEARCH: THE USE OF STRUCTURED PROFESSIONAL DIALOGUE AgEcon
Garcia, Philip; Nelson, Carl H..
Graduate students frequently have difficulty defining, developing, and resolving research problems in a manner consistent with the agricultural economics community. Here, we report on a seminar designed to assist graduate students integrate subject matter courses into independent research proposals through participation in professional dialogue. Professional dialogue involves developing arguments to explain and resolve questions where the explanations are supported by warranted evidence and appropriately qualified. The premise of the seminar is that more active problem solvers are developed using professional dialogue to sharpen critical thinking and writing skills.
Tipo: Conference Paper or Presentation Palavras-chave: Teaching/Communication/Extension/Profession.
Ano: 2003 URL: http://purl.umn.edu/21894
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ESTIMATING CORN YIELD RESPONSE MODELS TO PREDICT IMPACTS OF CLIMATE CHANGE AgEcon
Dixon, Bruce L.; Hollinger, Steven E.; Garcia, Philip; Tirupattur, Viswanath.
Projections of the impacts of climate change on agriculture require flexible and accurate yield response models. Typically, estimated yield response models have used fixed calendar intervals to measure weather variables and omitted observations on solar radiation, an essential determinant of crop yield. A corn yield response model for Illinois crop reporting districts is estimated using field data. Weather variables are time to crop growth stages to allow use of the model if climate change shifts dates of the crop growing season. Solar radiation is included. Results show this model is superior to conventionally specified models in explaining yield variation in Illinois corn.
Tipo: Journal Article Palavras-chave: Crop Production/Industries.
Ano: 1994 URL: http://purl.umn.edu/31229
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Estimating Liquidity Costs in Agricultural Futures Markets using Bayesian Methods AgEcon
Frank, Julieta; Garcia, Philip.
Estimation of liquidity costs in futures markets is challenging because bid-ask spreads are usually not observed. Several estimators of liquidity costs exist that use transaction data, but there is little agreement on their relative accuracy and usefulness, and their performance has been questioned. We use a Bayesian method proposed by Hasbrouck which possesses conceptually desirable properties to estimate liquidity costs of six agricultural future contracts. The method builds on Roll’'s model and uses Markov Chain Monte Carlo estimation. Our Bayesian estimates are lower than more traditional estimates and as anticipated decrease even more when more realistic assumptions such as discreteness are incorporated. The findings demonstrate the need for further...
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2006 URL: http://purl.umn.edu/21331
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Evolving Market Performance in Brazilian Futures Contracts Using Relative Efficiency AgEcon
Mattos, Fabio; Garcia, Philip; Urso, Fabiana.
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2010 URL: http://purl.umn.edu/61586
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