This research examines the lead-lag relationships between futures prices, prices from a cash forward market, and spot prices for two forest product markets. Results suggest that for 2x4 lumber, the forward market provides some level of price discovery, but futures play a dominant price discovery...

A battery of time series methods are compared for forecasting basis levels in the soybean futures complex: soybeans, soybean meal, and soybean oil. Specifically, nearby basis forecasts are generated with exponential smoothing techniques, autoregression moving average (ARMA), and vector...

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...

One-step-ahead forecasts of quarterly live cattle, live hog, and broiler prices are evaluated under two general approaches: accuracy-based measures and classification based measures which test the ability to categorize price movements directionally or within a forecasted range. Results suggest...

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...

United States Department of Agriculture (USDA) livestock production forecasts are evaluated for their information content across multiple forecast horizons using the direct test developed by Vuchelen and Gutierrez (2005). Forecasts are explicitly tested for rationality (unbiased and efficient)...

The successful introduction of futures contracts to industries unfamiliar with futures markets is likely to become increasingly important as futures exchanges move to alternative governance structures (e.g., for-profit corporations), trading platforms evolve (i.e., electronic|Internet trading),...

The traditional necessary condition for futures market inefficiency is the existence of alternative forecasting methods that produce mean squared forecast errors smaller than the futures market. Here, a more exacting requirement for futures market efficiency is proposedforecast encompassing....

One-step-ahead forecasts of quarterly beef, pork, and poultry production are examined and evaluated based on traditional criteria for optimality-efficiency and unbiasedness-as well as their performance versus a univariate time-series model. However, traditional regression methodology for...