Agricultural risk managers need forecasts of price volatility that are accurate and meaningful. This is especially true given the greater emphasis on firm level risk measurement and management (e.g., Value-at-Risk and Enterprise Risk Management). Implied volatility is known to provide a readily...

Cash forward contracting is a common, and often preferred, means of managing price risk for agribusinesses. Despite this, little is known about the performance of cash forward markets, in particular the role they play in price discovery. The lumber market provides a unique case for examining...

Myers and Thompson (1989) pioneered the concept of a generalized approach to estimating hedge ratios, pointing out that the model specification could have a large impact on the hedge ratio estimated. While a huge empirical literature exists on estimating hedge ratios, the literature is lacking a...

The Commodity Futures Trading Commission's Commitments of Traders data are examined. Non-commercial positions are thought to contain the least amount of measurement error. Although non-commercials comprise a relatively small percent of the tested markets' open interest (10% to 22%), they have...

It is commonly asserted that speculative buying by index funds in commodity futures andover–the–counter derivatives markets created a ‘‘bubble’’ in commodity prices, with the resultthat prices, and crude oil prices, in particular, far exceeded fundamental values at the peak.The...

Please contact William Allender (William.Allender@asu.edu) for a copy of the manuscript that goes with this poster.

Policymakers have suggested the use of taxes to raise the relative cost of buying fast food. Yet, little is known of the structure of demand for food-away-from-home (FAFH) in general. This study provides estimates of the price-elasticity of demand for four different types of FAFH using a new...

The first decade of the 21st century has perhaps witnessed more structural change in commodity futures markets than all previous decades combined. Not only have trading volumes and open interest increased markedly, but this time period also saw historic changes in both trading and participants....