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Registros recuperados: 29
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A BEHAVIORAL APPROACH TOWARDS FUTURES CONTRACT USAGE. AgEcon
Pennings, Joost M.E.; Leuthold, Raymond M..
We propose a behavioral decision-making model to investigate what factors, observable as well as unobservable, owner-managers consider regarding futures contract usage. The conceptual model consists of two phases, reflecting the two-stage decision structure of manager’s use of futures. In the first phase owner-managers consider whether futures are within the market choice set for the enterprise. In the second phase the owner-manager decides whether or not to initiate a futures position when confronted with a concrete choice situation. In both phases owner-manager’s beliefs and perceptions play an important role. The proposed model is tested on a data set of Dutch farmers, based on computer-assisted personal interviews. Because we incorporate latent...
Tipo: Working or Discussion Paper Palavras-chave: Hedging; Futures; Structural equation modeling; Behavioral models; Futures exchanges; Choice models; Farmers; Institutional and Behavioral Economics.
Ano: 2001 URL: http://purl.umn.edu/46448
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Assessing Future Ecosystem Services: a Case Study of the Northern Highlands Lake District, Wisconsin Ecology and Society
Peterson, Garry D; McGill University; garry.peterson@mcgill.ca; Beard Jr., T. Douglas; Wisconsin Department of Natural Resources; BEARDT@dnr.state.wi.us; Beisner, Beatrix E; University of Wisconsin-Madison; bebeisner@facstaff.wisc.edu; Bennett, Elena M; University of Wisconsin-Madison; embennett@wisc.edu; Carpenter, Stephen R; University of Wisconsin-Madison; srcarpen@wisc.edu; Cumming, Graeme; University of Florida; cummingg@wec.ufl.edu; Dent, C. Lisa; University of Wisconsin-Madison; ldent@facstaff.wisc.edu,; Havlicek, Tanya D; University of Wisconsin-Madison; TDHAVLIC@students.wisc.edu.
The Northern Highlands Lake District of Wisconsin is in transition from a sparsely settled region to a more densely populated one. Expected changes offer benefits to northern Wisconsin residents but also threaten to degrade the ecological services they rely on. Because the future of this region is uncertain, it is difficult to make decisions that will avoid potential risks and take advantage of potential opportunities. We adopt a scenario planning approach to cope with this problem of prediction. We use an ecological assessment framework developed by the Millennium Ecosystem Assessment to determine key social and ecological driving forces in the Northern Highlands Lake District. From these, we describe three alternative scenarios to the year 2025 in which...
Tipo: Peer-Reviewed Reports Palavras-chave: Northern Highlands Lake District; Wisconsin; Assessment; Ecosystem services; Freshwater; Futures; Prediction; Scenario planning.
Ano: 2003
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Commodity Markets: Rational Expectations in Markets With Irrational Investors AgEcon
Wong, Teddy T.; Smith, Aaron D..
The "financialization" of commodity markets have become a concern for policy makers and market participants. What was once a market for the hedging of holding physical commodities has expanded to become a market for the diversification of financial assets. When financial assets diversification goals are decoupled from the fundamental factors that affect producers and consumers of physical goods futures markets may not be as efficient in aggregating information concerning the economics of the underlying commodity. Theoretical understanding of whether commodity futures market function well under exogenous shifts in demand for futures contracts depend on our assumptions of how market participants behave, including their level of risk aversion. This paper...
Tipo: Working or Discussion Paper Palavras-chave: Commodity; Futures; Financialization; Competitive storage; Rational expectations; Agricultural and Food Policy; Agricultural Finance; Financial Economics; Risk and Uncertainty.
Ano: 2010 URL: http://purl.umn.edu/61526
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Cooperative Risk Management: Rationale and Effectiveness AgEcon
Manfredo, Mark R.; Richards, Timothy J..
Agricultural cooperatives tend to be riskier than investor-oriented firms, both in a business and financial sense. However, cooperative managers are often reluctant to actively manage risk. Although the “risk management irrelevance proposition” suggests that cooperative managers should be unable to add shareholder value through risk management activities, this study argues that there are several reasons why this is not likely to be the case for cooperatives. Several empirical examples are provided through numerical simulation of pro-forma financial statements from representative agricultural cooperatives. Using mean variance, expected utility and value-at-risk metrics, the results of these simulations show that various risk management strategies can...
Tipo: Working or Discussion Paper Palavras-chave: Cooperative; Expected utility; Futures; Option; Risk management; Value at risk.; Risk and Uncertainty.
Ano: 2003 URL: http://purl.umn.edu/28540
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Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust) AgEcon
Irwin, Scott H.; Sanders, Dwight R.; Merrin, Robert P..
It is commonly asserted that speculative buying by index funds in commodity futures and over–the–counter derivatives markets created a ‘‘bubble’’ in commodity prices, with the result that prices, and crude oil prices, in particular, far exceeded fundamental values at the peak. The purpose of this paper is to show that the bubble argument simply does not withstand close scrutiny. Four main points are explored. First, the arguments of bubble proponents are conceptually flawed and reflect fundamental and basic misunderstandings of how commodity futures markets actually work. Second, a number of facts about the situation in commodity markets are inconsistent with the existence of a substantial bubble in commodity prices. Third, available statistical evidence...
Tipo: Journal Article Palavras-chave: Commodity; Futures; Index fund; Market; Speculation; Agribusiness; Demand and Price Analysis; Financial Economics; Marketing; Q11; Q13.
Ano: 2009 URL: http://purl.umn.edu/53083
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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 PROFITABLE GRAIN MARKETING STRATEGIES EXIST FOR KANSAS CROPS? AgEcon
O'Brien, Daniel M..
The issue of whether profitable preharvest and postharvest marketing strategies exist relative to harvest sales for Kansas crops for the 1985-1998 marketing years is addressed. Practical application of market efficiency concepts is discussed. Nonharvest wheat marketing strategies offered less opportunity relative to harvest sales than for feedgrains and especially soybeans.
Tipo: Conference Paper or Presentation Palavras-chave: Grain marketing; Efficient markets; Futures; Options; Marketing strategies; Crop Production/Industries; Marketing.
Ano: 2000 URL: http://purl.umn.edu/21758
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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 Costs of Subsidy Rules for Crop Insurance AgEcon
Wang, H. Holly; Hanson, Steven D.; Black, J. Roy.
Participation in federal crop insurance programs has been encouraged through premium subsidies. The current subsidy depends on contract features as well as coverage levels. This type of subsidy rule causes farmers to choose contract designs and coverages that are not efficient for managing risk, in order to capture subsidy. Farmers are found to be as well off with a flat subsidy that is up to 25% less than the value of the current regressive proportional subsidy.
Tipo: Journal Article Palavras-chave: Crop insurance; Futures; Risk management; Subsidy; Risk and Uncertainty.
Ano: 2003 URL: http://purl.umn.edu/30717
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Exploring the usefulness of scenario archetypes in science-policy processes: experience across IPBES assessments ArchiMer
Sitas, Nadia; Harmáčková, Zuzana V.; Anticamara, Jonathan A.; Arneth, Almut; Badola, Ruchi; Biggs, Reinette; Blanchard, Ryan; Brotons, Lluis; Cantele, Matthew; Coetzer, Kaera; Dasgupta, Rajarshi; Den Belder, Eefje; Ghosh, Sonali; Guisan, Antoine; Gundimeda, Haripriya; Hamann, Meike; Harrison, Paula A.; Hashimoto, Shizuka; Hauck, Jennifer; Klatt, Brian J.; Kok, Kasper; Krug, Rainer M.; Niamir, Aidin; O'Farrell, Patrick J.; Okayasu, Sana; Palomo, Ignacio; Pereira, Laura M.; Riordan, Philip; Santos-martín, Fernando; Selomane, Odirilwe; Shin, Yunne-jai; Valle, Mireia.
Scenario analyses have been used in multiple science-policy assessments to better understand complex plausible futures. Scenario archetype approaches are based on the fact that many future scenarios have similar underlying storylines, assumptions, and trends in drivers of change, which allows for grouping of scenarios into typologies, or archetypes, facilitating comparisons between a large range of studies. The use of scenario archetypes in environmental assessments foregrounds important policy questions and can be used to codesign interventions tackling future sustainability issues. Recently, scenario archetypes were used in four regional assessments and one ongoing global assessment within the Intergovernmental Science-Policy Platform for Biodiversity...
Tipo: Text Palavras-chave: Assessment; Biodiversity; Decision making; Ecosystem services; Futures; Nature; Regional; Scenarios.
Ano: 2019 URL: https://archimer.ifremer.fr/doc/00516/62748/67140.pdf
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Forward Pricing Behavior of Corn and Soybean Producers AgEcon
Davis, Todd D.; Patrick, George F.; Coble, Keith H.; Knight, Thomas O.; Baquet, Alan E..
Forward pricing behavior of random samples of Indiana, Nebraska, and Mississippi crop producers was analyzed using Heckman’s two-step limited information maximum likelihood estimation procedure. Producers who forward priced during the 1995-1998 period generally expected to forward price in 1999 using similar techniques. Probit models were estimated for cash forward contracts and taking a direct position in futures or options separately and combined. Results provide limited support for the hypothesis that forward pricing should be analyzed as an adoption decision. Variables reflecting risk attitudes do affect the decision to use forward pricing, while variables to economic position affect the level of forward pricing.
Tipo: Journal Article Palavras-chave: Forward contracts; Futures; Grain marketing; Heckman procedure; Crop Production/Industries; Marketing; Production Economics; Q130; Q120.
Ano: 2005 URL: http://purl.umn.edu/43722
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FUTURES AND OPTIONS MARKETS, BASIS, AND THE TIMING OF GRAIN SALES IN MONTANA AgEcon
Mastel, Mike; Buschena, David E..
The performance of the grain transportation industry, historically low real grain prices, and decreasing government support for grain prices have renewed interest in local grain prices and shipping costs. An understanding of the relationship between local cash prices and futures prices is an important part of minimizing the price risk associated with growing and merchandising grain. The ability to recognize the seasonal patterns between these prices offers improved profit potential for marketing grain. A Montana producer's decision of when and how to market his/her crop can have a great impact on net profit. Farm managers can use cash sales at or after harvest, forward contracting with a local grain elevator, or hedging with the use of futures and options...
Tipo: Working or Discussion Paper Palavras-chave: Grain marketing; Futures; Basis; Freight rates; Marketing strategies; Marketing; Q1.
Ano: 2000 URL: http://purl.umn.edu/29176
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HEDGING WITH FUTURES AND OPTIONS: A DEMAND SYSTEMS APPROACH AgEcon
Frechette, Darren L..
The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is non-zero. Futures and options are treated as substitute goods, and properties of the resulting hedging demand system are explained. The overall optimal hedge ratio is shown to increase when the marginal cost of trading options is reduced. The overall optimal hedge ratio is shown to decrease when the marginal cost of trading futures is decreased. The implication is that hedging demand can be stimulated by reducing the perceived cost of trading options, by educating hedgers about options and by initiating programs like the Dairy Options Pilot Program. The demand systems approach is applied to estimate optimal...
Tipo: Conference Paper or Presentation Palavras-chave: Hedging; Options; Futures; Marketing.
Ano: 2000 URL: http://purl.umn.edu/18941
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HEDGING WITH FUTURES AND OPTIONS UNDER A TRUNCATED CASH PRICE DISTRIBUTION AgEcon
Hanson, Steven D.; Myers, Robert J.; Hilker, James H..
Many agricultural producers face cash price distributions that are effectively truncated at a lower limit through participation in farm programs designed to support farm prices and incomes. For example, the 1996 Federal Agricultural Improvement Act (FAIR) makes many producers eligible to obtain marketing loans which truncate their cash price realization at the loan rate, while allowing market prices to freely equilibrate supply and demand. This paper studies the effects of truncated cash price distributions on the optimal use of futures and options. The results show that truncation in the cash price distribution facing an individual producer provides incentives to trade options as well as futures. We derive optimal futures and options trading rules under...
Tipo: Journal Article Palavras-chave: Farm programs; Futures; Hedging; Options; Truncation; Marketing.
Ano: 1999 URL: http://purl.umn.edu/15152
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How Market Efficiency and the Theory of Storage Link Corn and Ethanol Markets AgEcon
Mallory, Mindy L.; Hayes, Dermot J.; Irwin, Scott H..
In this article we use the theories of market efficiency and supply of storage to develop a conceptual link between the corn and ethanol markets and explore statistical evidence for the link. We propose that a long-run no-profit condition is established in distant futures markets for ethanol, corn, and natural gas and then use the theory of storage to define an inter-temporal equilibrium among these prices. The relationship shows that under certain conditions, future price expectations will influence current spot prices and that a short-term relationship between input and output prices will exist. This short-term relationship will contain fixed costs. We demonstrate validity of the theory using a structural price model and then by means of time-series...
Tipo: Working or Discussion Paper Palavras-chave: Arbitrage; Cointegration; Corn; Energy; Ethanol; Futures; Price-analysis; Storage.; Crop Production/Industries; Demand and Price Analysis; Marketing; Risk and Uncertainty.
Ano: 2010 URL: http://purl.umn.edu/97611
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How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market AgEcon
Colino, Evelyn V.; Irwin, Scott H.; Garcia, Philip.
This study investigates the predictability of outlook hog price forecasts released by Iowa State University relative to alternative market and time-series forecasts. The findings suggest that predictive performance of the outlook hog price forecasts can be improved substantially. Under RMSE, VARs estimated with Bayesian procedures that allow for some degree of flexibility and model averaging consistently outperform Iowa outlook estimates at all forecast horizons. Evidence from the encompassing tests, which are highly stringent tests of forecast performance, indicates that many price forecasts do provide incremental information relative to Iowa. Simple combinations of these models and outlook forecasts are able to reduce forecast errors by economically...
Tipo: Conference Paper or Presentation Palavras-chave: Forecast; Futures; Models; Prices; Time-series; Vector autoregression; Agricultural Finance.
Ano: 2008 URL: http://purl.umn.edu/37620
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Reallocation of price risk among members AgEcon
Pedersen, Michael Friis.
Marketing of milk and meat in Denmark is dominated by two large cooperatives, Arla Foods in the dairy sector and Danish Crown in the pork sector. Members in these cooperatives practically have no possibility for price risk management on their main product. Futures markets for dairy and pork are not utilised, and it is suggested that the reason is prohibitively large basis risk. The events following the global financial crisis suggest increased need for price risk management in Danish agriculture. Since futures markets do not seem to be a viable solution, the paper explores an alternative. Reallocation of price risk among members in marketing cooperatives. Endowing members with a forward contracted share of delivery, and allowing for transfer at a market...
Tipo: Presentation Palavras-chave: Futures; Hedging; Risk management; Marketing cooperatives; Agribusiness; Risk and Uncertainty; G13; G32; Q13; D61; D8.
Ano: 2012 URL: http://purl.umn.edu/122529
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Reconciling Theoretical Hedging Models with the Experience of Cotton Merchants in March 2008 AgEcon
Janzen, Joseph P..
Analysis of the cotton futures price spike and its effects on commercial hedgers suggest that we do not completely understand the behavior of markets and firms in periods of extreme volatility. After presenting the story of the cotton futures price spike, this paper argues that explanations related to the funding liquidity of firms and the liquidity of the markets themselves may help us better understand market volatility. A simple model of futures market equilibrium in the presence of liquidity constraints demonstrates how prices can spike as fast as they did and why such spikes can drive firms to exit.
Tipo: Conference Paper or Presentation Palavras-chave: Futures; Hedging; Liquidity constraints; Cotton; Agribusiness; Financial Economics.
Ano: 2010 URL: http://purl.umn.edu/61453
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Relative Forecasting and Hedging Efficiency of Agricultural Futures Markets in the European Union: Evidence for Slaughter Hog Contracts AgEcon
Loy, Jens-Peter.
The paper aims at analyzing the potentials for reducing income risk and income variation for slaughter hog producers in Germany and Holland by participating at futures markets in Amsterdam or Hannover. The relative market and hedging efficiency for the Amsterdam stock exchange markets is tested and the optimal hedge ratio is derived for minimizing risk and variance of slaughter hog gross margins (income). Relative market efficiency and a significant impact of hedging on income risk and variance can not be rejected. The results show that the optimal hedge ratio is smaller for variance compared to risk minimizing hedging strategy.
Tipo: Conference Paper or Presentation Palavras-chave: Futures; Pigs; Market Efficiency; Hedging; Marketing.
Ano: 2002 URL: http://purl.umn.edu/24849
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RISK BALANCING STRATEGIES IN THE FLORIDA DAIRY INDUSTRY: AN APPLICATION OF CONDITIONAL VALUE AT RISK AgEcon
Zylstra, Michael J.; Kilmer, Richard L.; Uryasev, Stanislav.
Legislation has prompted changes in milk price volatility. Milk price volatility impacts the producer's exposure to business risk which is compound by the firms financial risk. Financial risk is a function of the firms capital structure. In the short run it is difficult for the producer to significantly change the firms capital structure and therefore balance increased business risk with reduced financial risk. The producer can however reduce financial and business risk by using futures contracts to lock in a price for milk produced. The producer's risk preferences dictate the producer's hedge ratio. Using the return on equity as a profitability measure and the conditional value at risk as a risk measure the optimal hedge ratio is derived for various...
Tipo: Conference Paper or Presentation Palavras-chave: Conditional Value at Risk; CVaR; Risk Management; Futures; Dairy; Agricultural and Food Policy; Livestock Production/Industries; Risk and Uncertainty.
Ano: 2003 URL: http://purl.umn.edu/22021
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