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The Volatility Spillover Effects and Optimal Hedging Strategy in the Corn Market

Wu, Feng; Guan, Zhengfei - Agricultural and Applied Economics Association - AAEA - 2009

This article examines the volatility spillovers from energy market to corn market. Using a volatility spillover model …

Persistent link: https://www.econbiz.de/10005012633

Price Volatility Transmission: Linking the U.S. Crude Oil, Corn and Plastics Markets

Jiang, Jingze; Marsh, Thomas L.; Tozer, Peter R. - Agricultural and Applied Economics Association - AAEA - 2014

study price transmission among markets in United States, especially price volatility spillover effects. We find that … exogenous to this system. We also show the existence of volatility spillover from crude oil futures price to corn futures price … from crude oil market to corn market is greater, and the significant bidirectional volatility transmission between corn …

Persistent link: https://www.econbiz.de/10011068799

Is Government Involvement Really Necessary: Implications for Systemic Risk and Crop Reinsurance Contracts

Feng, Xiaoguang; Hayes, Dermot - Agricultural and Applied Economics Association - AAEA - 2014

Persistent link: https://www.econbiz.de/10010936968

Tail Dependence is to be Expected Among Crop Yields

Du, Xiaodong; Hennessy, David; Feng, Hongli - Agricultural and Applied Economics Association - AAEA - 2014

Rate setting methods for crop yield and revenue contracts employ methods that presume that correlations are state invariant. Whether this is true matters. If yield-yield correlations strengthen when crops are subject to widespread stress then diversification opportunities for private insurers...

Persistent link: https://www.econbiz.de/10011069083

FORECASTING ACCURACY, RATIONAL EXPECTATIONS AND MARKET EFFICIENCY IN THE US BEEF CATTLE INDUSTRY

Schaefer, Matthew P.; Myers, Robert J. - Agricultural and Applied Economics Association - AAEA - 1999

Recent studies have tested whether futures prices respond to U.S. Department of Agriculture inventory reports in accordance with the efficient markets hypothesis. These studies use survey forecasts to identify the anticipated and unanticipated information contained in a report. However, this...

Persistent link: https://www.econbiz.de/10005338140

THE TRANSMISSION OF PRICE VOLATILITY IN THE BEEF MARKETS

Natcher, William C.; Weaver, Robert D. - Agricultural and Applied Economics Association - AAEA - 1999

This paper reconsiders the implications of efficient markets for transmission of price volatility across markets. Tests … of volatility transmission are based on conditional variances. Results are reported for key grain and beef markets …

Persistent link: https://www.econbiz.de/10005806420

Policy Uncertainty under Market-Based Regulations: Evidence from the Renewable Fuel Standard

Lade, Gabriel; Lin, C.-Y. Cynthia; Smith, Aaron - Agricultural and Applied Economics Association - AAEA - 2014

Tradeable credits are a central component of many market-based regulations. Whenever the market for compliance credits is efficient and policies are enforced over time, credit prices should reflect both current and expected future discounted marginal compliance costs, which are a function of...

Persistent link: https://www.econbiz.de/10011068895

Learning in Credence Good Markets: An Example of Vitamins

Demko, Iryna; Jaenicke, Edward - Agricultural and Applied Economics Association - AAEA - 2014

Unlike many studies of learning and pharmaceuticals, this paper considers credence goods such as vitamins and the role of consumer experience in resolving uncertainty when the user cannot observe the effects of the goods after consumption. The Homescan data justifies variations in the purchases:...

Persistent link: https://www.econbiz.de/10011068576

Consumer Preferences, Ecolabels, and the Effects of Negative Environmental Information

Chen, Xianwen; Alfnes, Frode; Rickertsen, Kyrre - Agricultural and Applied Economics Association - AAEA - 2014

Consumers prefer ecolabeled products. However, little is known about the effects of ecolabels when consumers are simultaneously exposed to negative environmental information. We conducted a stated choice experiment in France with eight fish products that were either ecolabeled or unlabeled. Four...

Persistent link: https://www.econbiz.de/10011068973

Interrelationship and Volatility Transmission between Grain and Oil Prices

Kong, Minji; Han, Doo Bong; Nayga Jr., Rodolfo M. - Agricultural and Applied Economics Association - AAEA - 2012

This study analyzes the interrelationship and volatility between grain and oil prices. Specifically, the objective of … this study is to investigate the volatility transmission mechanism of grain prices with oil prices, under the assumption …

Persistent link: https://www.econbiz.de/10010881165