One step-ahead forecasts of quarterly live cattle, live hog, and broiler prices are evaluated under two general approaches: accuracy-based measures and the ability to categorize price movements directionally or within a forecasted range. Results suggest USDA price forecasts are not optimal....

In traditional tests of forecast rationality, price forecasts are usually differenced to obtain stationarity. However, this data transformation may ignore important long-run information contained in forecasted price levels. Here, the concept of forecast consistency is paired with rationality...

One step-ahead forecasts of quarterly live cattle, live hog, and broiler prices are evaluated under two general approaches: accuracy-based measures and the ability to categorize price movements directionally or within a forecasted range. Results suggest USDA price forecasts are not optimal....

This paper presents a general method for pricing weather derivatives. Specification tests find that a temperature series for Fresno, California follows a mean-reverting Brownian motion process with discrete jumps and ARCH errors. Based on this process, we define an equilibrium pricing model for...

The informational content in live cattle and hog deferred futures prices is assessed using a direct test of incremental forecast ability for two- to twelve-month horizons. For 1976-2007, the results indicate that hog futures prices add incremental information at all horizons, but unique...

USDA and Cooperative Extension Service forecasts of hog prices are directly tested for incremental value vis-à-vis futures-based forecasts in a forecast encompassing framework. At horizons less than six months, the lean hog futures-based forecast is found to be more accurate than both the USDA...

Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series...

Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series...

A model is developed using basis values (cash prices less futures), marketing weights, and a composite of monthly futures and cash prices to forecast the season-average U.S. corn farm price. Forecast accuracy measures include the absolute percentage error, mean absolute percentage error, squared...

The oilseed products complex is an important component of the U.S. agricultural sector. In 2000, almost 75 million acres were planted to soybeans, representing over 29 percent of total planted acreage, making soybeans second only to corn in terms of acreage (ERS/USDA, 2000). Soybean acreage has...