Smart Money? The Forecasting Ability of CFTC Large Traders

The forecasting ability of the Commodity Futures Trading Commission’s Commitment’s of Traders data set is investigated. Bivariate Granger causality tests show very little evidence that traders’ positions are useful in forecasting (leading) market returns. However, there is substantial evidence that traders respond to price changes. In particular, non-commercial traders display a tendency for trend-following. The other trader classifications display mixed styles, perhaps indicating that those trader categories capture a variety of traders. The results generally do not support the use of the Commitment’s of Traders data in predicting market movements.Commitment’s of Traders, futures markets, forecasting, Agricultural Finance, Financial Economics,

Smart Money: The Forecasting Ability of CFTC Large Traders in Agricultural Futures Markets

The forecasting content of the Commodity Futures Trading Commission’s Commitments of Traders (COT) report is investigated. Bivariate Granger causality tests show very little evidence that traders’ positions are useful in forecasting (leading) returns in 10 agricultural futures markets. However, there is substantial evidence that traders respond to price changes. In particular, noncommercial traders display a tendency for trend following. The other trader classifications display mixed styles, perhaps indicating those trader categories capture a variety of traders. The results generally do not support use of the COT data in predicting price movements in agricultural futures markets.agricultural futures markets, commitments of traders, forecasting, prices, Agribusiness, Agricultural Finance,

A Speculative Bubble in Commodity Futures Prices? Cross-Sectional Evidence

Recent accusations against speculators in general and long-only commodity index funds in particular, include: increasing market volatility, distorting historical price relationships, and fueling a rapid increase and decrease in commodity inflation. Some researchers have argued that these market participants—through their impact on market prices—may inadvertently prevented the efficient distribution of food aid to deserving groups. Certainly, this result—if substantiated— would counter the classical argument that speculators make prices more efficient and thus improve the economic efficiency of the agricultural and food marketing system. Given the very important policy implications, it is crucial to develop a more thorough understanding of long-only index funds and their potential market impact. Here, we review the criticisms (and rebuttals) levied against (and for) commodity index funds in recent U.S. Congressional testimonies. Then, additional empirical evidence is added regarding cross-sectional market returns and the relative levels of long-only index fund participation in 12 commodity futures markets. The results suggest that index fund positions across futures markets have no impact on relative price changes across those markets. The empirical results provide no evidence that long-only index funds impact commodity futures prices.Commitment’s of Traders, index funds, commodity futures markets, Agribusiness, Agricultural Finance, Farm Management, Financial Economics, Research Methods/ Statistical Methods, Risk and Uncertainty,

Crop Insurance, Disaster Payments and Land Use Change: The Effect of Sodsaver on Incentives for Grassland Conversion

Subsidized crop insurance may encourage conversion of native grassland to cropland. The Sodsaver provision of the 2008 farm bill could deny crop insurance on converted land in the Prairie Pothole states for 5 years. Supplemental Revenue Assistance payments, which are linked to crop insurance purchases, could also be withheld. Using representative farms, we estimate that Sodsaver would reduce expected crop revenue by up to 8% and expected net return by up to 20%, while increasing the standard deviation of revenue by as much as 6% of market revenue. Analysis based on elasticities from the literature suggests that Sodsaver would reduce grassland conversion by 9% or less.bootstrap, crop insurance, grassland, joint densities, Sodsaver, Supplemental Revenue Assistance, Agricultural and Food Policy, Production Economics, Risk and Uncertainty, Q2,

Advanced supersonic technology propulsion system study

This study had the objectives of determining the most promising conventional and variable cycle engine types; the effect of design cruise Mach number (2.2, 2.7 and 3.2) on a commercial supersonic transport; effect of advanced engine technology on the choice of engine cycle; and effect of utilizing hydrogen as the engine fuel. The technology required for the engines was defined, and the levels of development to ensure availability of this technology in advanced aircraft propulsion systems were assessed. No clearcut best conventional or variable cycle engine was identified. The dry bypass turbojet and the duct burning turbofans were initially selected as the best conventional engines, but later results, utilizing augmentation at takeoff, added the mixed-flow augmented turbofan as a promising contender. The modulating air flow, three-rotor variable cycle engine identified the performance features desired from VCE concepts (elimination of inlet drag and reduction in afterbody drag), but was a very heavy and complex engine

The impact of dairy policy-regulations on structural change, production costs, milk quality and N-excretion: evidence for the Flemish dairy sector

Since 1987, the EU allows dairy quota transfers within member states, but the trading rules differ across member states and in time. In the Flanders case, before 1996, quota transactions happened in a free market with high quota prices, from 1996 to 2004 they have been centrally organised with a fixed lower price. This study uses a Markov chain model to quantify observed quota transactions and the resulting structural development of the Flemish dairy sector. The results show that structural development is higher during the free market period and that this has also an influence on the aggregate sector performance with respect to total production cost, nitrate emission and milk quality. With the free quota market policy, structural development would lead in 2014 to a decline of the total production costs of 3.04%, a reduction of milk quality penalty points of 20% and a decrease in the N- excretion of 2.95%. With a restricted quota mobility, structural development resulted only in improvements of 2.58% (-15.1%), 14.26% (-28.7%) and 2.20 % (-25.4%) respectively