This study examines the long run relationship between 1-day and 3-month futures prices for five metals at the London Metal Exchange (LME) and further investigates the role of interest rates in this relationship. A battery of stationarity tests and cointegration tests are applied to a simple cost...

Farmers and other buyers and sellers of commodities use options in their marketing strategies. A cost of buying put and call options is the decay in option premium that occurs from the time an option position is established until the time the option position is closed out. This article finds...

This study uses quantile regressions to estimate historical forecast error distributions forWASDE forecasts of corn, soybean, and wheat prices, and then compute confidencelimits for the forecasts based on the empirical distributions. Quantile regressions with fiterrors expressed as a function of...

This article tests the efficiency of the hog options market and assesses the impact of the 1996 contract redesign on efficiency. We find that the hog options market is efficient, but some options yielded excess returns during the live hogs period but not during the lean hogs period. Our findings...

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...

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...

This paper explores the use of quantile regression for estimation of empirical confidence limits for WASDE forecasts of corn, soybean, and wheat prices. Quantile regressions for corn, soybean, and wheat forecast errors over 1980/81 through 2006/07 were specified as a function of forecast lead...

The USDA WASDE (World Agricultural Supply and Demand Estimates) price forecasts are published in the form of an interval, but typically analyzed as point estimates. Thus, all information about uncertainty imbedded in the forecast is ignored. The purpose of this paper is to evaluate the accuracy...

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...