The value of land dominates the financial structure of most American agricultural production firms, and land values are an important factor in long-term agricultural planning and risk management. As the primary source of collateral for farm loans, farmland values have significant implications...

A new stochastic process is introduced where permanent changes occur following a Poisson jump process and temporary changes occur following a normal distribution. The model is estimated using hard wheat basis data and is used to explain why the optimal length of moving average to forecast basis...

Many previous studies provide pricing models of options on futures spreads. However, none of them fully reflect the economic reality that spreads can stay near full carry for long periods of time. We suggest a new option pricing model that assumes that convenience yield follows arithmetic...

USDA data are commonly used to determine producers' returns to storage. Aggregating data may result in a loss of information, leading to underestimated returns. This study compares USDA and elevator data from Oklahoma to determine how much USDA data underestimates returns. Results indicate USDA...

The major finding is that liquidity costs in futures options market are two to three times higher thanliquidity costs in the futures market. Liquidity cost is one potential factor to consider when choosingbetween hedging with a futures contract or with an option contract. While there is...

Futures prices when combined with a basis forecast provide a reliable way to forecast cashprices. The most popular method of forecasting basis is historical moving averages. Given therecent failure of longer moving averages proposed by previous studies, this research reassessespast...

A Cox test with parametric bootstrap is developed to select between the linearized version of the First-Difference Almost Ideal Demand System (FDAIDS) and the Rotterdam model. A Cox test with parametric bootstrap has been shown to be more powerful than encompassing tests like those used in past...