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A Comparative Assessment of the Broiler:Corn Ratio and Its Impact on Broiler Processors' Profitability AgEcon
Hamm, Sandra J.; Goodwin, Harold L., Jr.; McKenzie, Andrew M..
Input prices for broiler production, particularly corn, are becoming increasingly volatile due to increasing competition for corn from ethanol and biofuels production suggesting volatility in poultry profits will follow indicator of profits relating feed input prices and broiler meat output prices, such as a Broiler:corn ratios. Total chicken exports, total chicken ready-to-cook production, number of eggs set, number of chicks placed, and cold storage chicken inventory are used to estimate. Utilizing a distributed lag model, seventeen years of data for three Broiler:corn ratios, broiler exports, egg set, chick placements, cold storage stocks, and ready-to-cook broiler production were utilized to estimate stock share price for four major broiler producers.
Tipo: Conference Paper or Presentation Palavras-chave: Demand and Price Analysis; Livestock Production/Industries.
Ano: 2008 URL: http://purl.umn.edu/6665
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AJAE Appendix: Pre-Harvest Expectations for Corn: The Informational Content of USDA Reports on New Crop Futures AgEcon
McKenzie, Andrew M..
The material contained herein is supplementary to the article named in the title and published in the American Journal of Agricultural Economics.
Tipo: Journal Article Palavras-chave: Crop Production/Industries.
Ano: 2008 URL: http://purl.umn.edu/7089
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Alternative Model Selection Using Forecast Error Variance Decompositions in Wholesale Chicken Markets AgEcon
McKenzie, Andrew M.; Goodwin, Harold L., Jr.; Carreira, Rita I..
Although Vector Autoregressive models are commonly used to forecast prices, specification of these models remains an issue. Questions that arise include choice of variables and lag length. This article examines the use of Forecast Error Variance Decompositions to guide the econometrician’s model specification. Forecasting performance of Variance Autoregressive models, generated from Forecast Error Variance Decompositions, is analyzed within wholesale chicken markets. Results show that the Forecast Error Variance Decomposition approach has the potential to provide superior model selections to traditional Granger Causality tests.
Tipo: Journal Article Palavras-chave: Broiler markets; DAGs; Forecasting; Market structure; VAR; Agribusiness; Demand and Price Analysis; Livestock Production/Industries; Risk and Uncertainty; C53; D4; L1; Q00.
Ano: 2009 URL: http://purl.umn.edu/48750
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Hedging Break-Even Biodiesel Production Costs Using Soybean Oil Futures AgEcon
Graf, Johannes; McKenzie, Andrew M.; Popp, Michael P..
The effectiveness of hedging volatile input prices for biodiesel producers is examined over one- to eight-week time horizons. Results reveal that hedging break-even soybean costs with soybean oil futures offers significant reductions in input price risk. The degree of risk reduction is dependent upon type of hedge, naïve or risk-minimizing, and upon time horizon. In contrast, cross-hedging break-even poultry fat costs with soybean oil futures failed to reduce input price risk.
Tipo: Journal Article Palavras-chave: Biodiesel; Hedging; Poultry fat; Soybean oil; Agribusiness; Demand and Price Analysis; Environmental Economics and Policy.
Ano: 2008 URL: http://purl.umn.edu/90553
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Hedging Effectiveness Around U.S. Department of Agriculture Crop Reports AgEcon
McKenzie, Andrew M.; Singh, Navinderpal.
It is well documented that ‘‘unanticipated’’ information contained in United States Department of Agriculture (USDA) crop reports induces large price reactions in corn and soybean markets. Thus, a natural question that arises from this literature is: To what extent are futures hedges able to remove or reduce increased price risk around report release dates? This paper addresses this question by simulating daily futures returns, daily cash returns, and daily hedged returns around report release dates for two storable commodities (corn and soybeans) in two market settings (North Central Illinois and Memphis, Tennessee). Various risk measures, including ‘‘Value at Risk,’’ are used to determine hedging effectiveness, and ‘‘Analysis of Variance’’ is used to...
Tipo: Journal Article Palavras-chave: Analysis of variance; Storage hedging; United States Department of Agriculture Crop Reports; Value at risk; Marketing; Risk and Uncertainty; Q13; D81.
Ano: 2011 URL: http://purl.umn.edu/100635
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Hedging Effectiveness around USDA Crop Reports AgEcon
McKenzie, Andrew M.; Singh, Navinderpal.
It is well documented that “unanticipated” information contained in USDA crop reports induces large price reactions in corn and soybean markets. Thus, a natural question that arises from this literature is: To what extent are futures hedges able to remove or reduce increased price risk around report release dates? This paper addresses this question by simulating daily futures returns, daily cash returns and daily hedged returns around report release dates for two storable commodities (corn and soybeans) in two market settings (North Central Illinois and Memphis Tennessee). Various risk measures, including “Value at Risk,” are used to determine hedging effectiveness, and “Analysis of Variance” is used to uncover the underlying factors that contribute to...
Tipo: Conference Paper or Presentation Palavras-chave: USDA Crop Reports; Storage Hedging; Value At Risk; Analysis of Variance; Agricultural Finance.
Ano: 2008 URL: http://purl.umn.edu/37617
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Hedging Effectiveness around USDA Crop Reports AgEcon
Singh, Navinderpal; McKenzie, Andrew M..
It is well documented that “unanticipated” information contained in USDA crop reports induces large price reactions in corn and soybean markets. Thus, a natural question that arises from this literature is: To what extent are futures hedges able to remove or reduce increased price risk around report release dates? This paper addresses this question by simulating daily futures returns, daily cash returns and daily hedged returns around report release dates for two storable commodities (corn and soybeans) in two market settings (North Central Illinois and Memphis Tennessee). Various risk measures, including “Value at Risk,” are used to determine hedging effectiveness, and “Analysis of Variance” is used to uncover the underlying factors that contribute to...
Tipo: Conference Paper or Presentation Palavras-chave: Agribusiness; Research Methods/ Statistical Methods.
Ano: 2008 URL: http://purl.umn.edu/6818
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INTEGRATION IN BENIN MAIZE MARKET: AN APPLICATION OF THRESHOLD COINTEGRATION ANALYSIS AgEcon
McKenzie, Andrew M.; Pede, Valerien O..
The degree to which markets are spatially efficient has important implications for market liberalization and other policy reforms. After several attempts to control and regulate the marketing of maize in Benin, a liberalized free-market system was finally adopted in 1990. It was assumed that a free-market system would perform more efficiently and enhance maize market integration compared with the more government oriented systems of the past. However, trade barriers still exist in the form of traders' associations across market locations. Recent market integration literature has focused on the influence of transaction costs and threshold effects on tests for integration. Hansen and Seo's two regime threshold cointegration model is used to analyze the degree...
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2005 URL: http://purl.umn.edu/19293
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Is There Co-Movement of Agricultural Commodities Futures Prices and Crude Oil? AgEcon
Natanelov, Valeri; Alam, Mohammad Jahangir; McKenzie, Andrew M.; Van Huylenbroeck, Guido.
Tipo: Conference Paper or Presentation Palavras-chave: Demand and Price Analysis; Risk and Uncertainty.
Ano: 2011 URL: http://purl.umn.edu/114626
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Linkage between World and Domestic Prices of Rice under the regime of Agricultural Trade Liberalization in Bangladesh AgEcon
Alam, Mohammad Jahangir; Buysse, Jeroen; McKenzie, Andrew M.; Wailes, Eric J.; Van Huylenbroeck, Guido.
The paper examines the relationship between the world market and domestic market prices of rice for Bangladesh in the regime of agricultural trade liberalization. The long run price relationship information is an important piece of information for the policy makers in formulating domestic polices and negotiating trade policies at the international level. The monthly data used for this study are taken from different sources, the Food outlook, FAO and Global Information and Early Warning System, FAO and the Bangladesh Bank for the period June 1998 to July 2007. Both Engle-Granger bi-variate and Johansen multivariate cointegration tests were used for the results sensitivity. We sequentially proceed to estimate the standard error correction model. The results...
Tipo: Conference Paper or Presentation Palavras-chave: Market integration; Domestic price; World price; Error correction model; Marketing.
Ano: 2010 URL: http://purl.umn.edu/58878
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LL601 Contamination and Its Impact on U.S. Rice Prices AgEcon
Li, Yarui; Wailes, Eric J.; McKenzie, Andrew M.; Thomsen, Michael R..
LL601 is a genetically modified rice variety and unapproved for commercial use. Its presence was found in commercial shipments of U.S. rice in 2006. This article explores its impact on prices and volume marketed for both the United States and Thailand, the major export competitor. The results show a significantly adverse but short duration effect on the U.S. rice market and little to no effect on the Thai rice market.
Tipo: Journal Article Palavras-chave: Cointegration; Error correction model; Event study analysis; GM contamination; LibertyLink Rice 601; U.S. rice exports; Agribusiness; Agricultural and Food Policy; Crop Production/Industries; Food Consumption/Nutrition/Food Safety; International Relations/Trade; Research and Development/Tech Change/Emerging Technologies; C10; C32; Q11; A52.
Ano: 2010 URL: http://purl.umn.edu/57154
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Managing Price Risk in Volatile Grain Markets, Issues and Potential Solutions AgEcon
McKenzie, Andrew M.; Kunda, Eugene L..
During 2008 extreme price volatility in grain markets led to country elevators incurring unprecedentedly large margin calls on their futures hedges. As a result elevators’ traditional liquidity sources and lines of credit were stretched to breaking point. This article explores the potential liquidity benefits of making available an Over-the-Counter Margin Credit Swap contract to grain hedgers. The swap would enable hedgers to draw upon sources of capital outside the farm credit system to provide liquidity needed to make margin calls. Simulation results clearly show that a Margin Credit Swap contract would provide significant liquidity benefits to hedgers during volatile periods.
Tipo: Journal Article Palavras-chave: Elevator; Hedging; Margin; Swap; Agribusiness; Agricultural Finance; Crop Production/Industries; Risk and Uncertainty; G32; G13; Q14.
Ano: 2009 URL: http://purl.umn.edu/53081
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MARKET EFFICIENCY IN AGRICULTURAL FUTURES MARKETS AgEcon
McKenzie, Andrew M.; Holt, Matthew T..
This paper tests for both long run and short run market efficiency and unbiasedness in five agricultural futures markets. The possible existence of constant and time varying risk premia are taken into account using cointegration procedures and error correction models within a GARCH framework.
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 1998 URL: http://purl.umn.edu/20933
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Measuring Market Integration in the Presence of Threshold Effect: The Case of Bangladesh Rice Markets AgEcon
Alam, Mohammad Jahangir; McKenzie, Andrew M.; Buysse, Jeroen; Begum, Ismat Ara; Wailes, Eric J.; Van Huylenbroeck, Guido.
Spatial price integration among five major Bangladesh rice markets is examined in the presence of threshold effects to account for the impact of transaction costs in the price adjustment process. Hansen and Seo (2002) threshold cointegration tests and threshold vector error correction models confirm the presence of threshold effects. Results highlight the importance of directing policy goals towards reducing transaction cost to engender greater pricing efficiency in Bangladesh rice markets.
Tipo: Presentation Palavras-chave: Market integration; Rice markets; Transaction cost; Bangladesh; Agribusiness; Agricultural and Food Policy; Demand and Price Analysis; International Development.
Ano: 2012 URL: http://purl.umn.edu/124435
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Testing Asymmetric Price Transmission in the Vertical Supply Chain in De-regulated Rice Markets in Bangladesh AgEcon
Alam, Mohammad Jahangir; Begum, Ismat Ara; Buysse, Jeroen; McKenzie, Andrew M.; Wailes, Eric J.; Van Huylenbroeck, Guido.
Market liberalization at the domestic level and at the boarder level has been a dominant feature of market reforms in most developing countries including Bangladesh during the last two decades. A pre-requisite for producers and consumers to benefit from this new and changing market environment is the ability of market to function efficiently at their spatial or through the value chain dimensions which are very often constrained by different factors. The vertical integration of grain markets plays a crucial role in improving the welfare of the producers and the consumers. Therefore, the better the market integration, the lesser the intervention required by the government. There was a widely-held belief about the domestic markets in Bangladesh on possible...
Tipo: Conference Paper or Presentation Palavras-chave: Agricultural economics; Agricultural marketing; Agribusiness; Agricultural and Food Policy; Demand and Price Analysis; Marketing.
Ano: 2010 URL: http://purl.umn.edu/61374
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The Broiler-Corn Ratio: Is it an Indicator of Fattened Broiler Profits? AgEcon
Goodwin, Harold L., Jr.; McKenzie, Andrew M.; Hamm, Sandra J..
As consumers eat healthier and obesity concerns increase, the poultry industry continues growth in sales and revenues. Data reflect ten years of broiler prices, exports, egg and chick production, cold storage stocks, company earnings and stock price. Expected results suggest a broiler-corn ratio is an indicator of company profits.
Tipo: Conference Paper or Presentation Palavras-chave: Livestock Production/Industries.
Ano: 2007 URL: http://purl.umn.edu/9746
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THE EFFECT OF E. COLI O157:H7 ON BEEF PRICES AgEcon
McKenzie, Andrew M.; Thomsen, Michael R..
Using an event study, we examine the impact of recalls for E. Coli O157:H7 on wholesale and farm-level beef prices. Prices for boneless beef, a high-volume product primarily used for processing into ground beef, react negatively to recalls, suggesting incentives exist for packing firms to adopt measures that reduce the risk of contamination. However, there is no reaction in live cattle prices and very little reaction in boxed beef prices to recall events. This suggests short-run price responses found at the wholesale level for boneless beef do not transmit back to the farm level.
Tipo: Journal Article Palavras-chave: Demand and Price Analysis.
Ano: 2001 URL: http://purl.umn.edu/31038
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The Effect of Food Scares on Risk Aversion: Implied Estimates from BSE Shocks on Cattle Futures Options (PowerPoint) AgEcon
Power, Gabriel J.; Thomsen, Michael R.; McKenzie, Andrew M.; Vedenov, Dmitry V..
PowerPoint Presentation
Tipo: Conference Paper or Presentation Palavras-chave: Risk and Uncertainty; D81.
Ano: 2009 URL: http://purl.umn.edu/48905
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Volatility Surface and Skewness in Live Cattle Futures Price Distributions with Application to North American BSE Announcements AgEcon
Thomsen, Michael R.; McKenzie, Andrew M.; Power, Gabriel J..
Tipo: Conference Paper or Presentation Palavras-chave: Options markets; Live cattle; Volatility; Pricing density function; Financial Economics; Livestock Production/Industries; Risk and Uncertainty.
Ano: 2009 URL: http://purl.umn.edu/49354
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Which Broiler Part is the Best Part? AgEcon
Goodwin, Harold L., Jr.; McKenzie, Andrew M.; Djunaidi, Harjanto.
Predominance of production and marketing contracts in the broiler industry suggests a traditional analysis of price relationships might no longer be appropriate. In this study, markets for broiler cuts are defined as spatial. Results of a vector autoregressive regression analysis of monthly USDA data from 1987 to 2000 verify the price relationship between white meat and whole broiler prices. Price shocks in the boneless skinless breast market have a greater effect than dark meat shocks, suggesting this market is most important in price transmission. These results will assist industry participants to form more effective marketing and pricing strategies, thus adding efficiency to the market.
Tipo: Journal Article Palavras-chave: Broiler markets; Market structure; Marketing contracts; Price transmission; C4; D4; L1; Q0.
Ano: 2003 URL: http://purl.umn.edu/43151
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