Hedging Effectiveness around USDA Crop Reports

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 hedging effectiveness.Agribusiness, Research Methods/ Statistical Methods,

Hedging Break-Even Biodiesel Production Costs Using Soybean Oil Futures

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.biodiesel, hedging, poultry fat, soybean oil, Agribusiness, Demand and Price Analysis, Environmental Economics and Policy,

Volatility Surface and Skewness in Live Cattle Futures Price Distributions with Application to North American BSE Announcements

options markets, live cattle, volatility, pricing density function, Financial Economics, Livestock Production/Industries, Risk and Uncertainty,

The Broiler-Corn Ratio: Is it an Indicator of Fattened Broiler Profits?

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.Livestock Production/Industries,

A Comparative Assessment of the Broiler:Corn Ratio and Its Impact on Broiler Processors' Profitability

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.Demand and Price Analysis, Livestock Production/Industries,

Alternative Model Selection Using Forecast Error Variance Decompositions in Wholesale Chicken Markets

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.broiler markets, DAGs, forecasting, market structure, VAR, Agribusiness, Demand and Price Analysis, Livestock Production/Industries, Risk and Uncertainty, C53, D4, L1, Q00,

LL601 Contamination and Its Impact on U.S. Rice Prices

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.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,

Is There Co-Movement of Agricultural Commodities Futures Prices and Crude Oil?

Demand and Price Analysis, Risk and Uncertainty,