Traditional break-even/fed cattle price projections do not provide adequate risk information to feeders, investors, lenders, and other stakeholders interested in cattle feeding decisions. The objectives of this study were two-fold: 1) develop a spreadsheet model that could estimate the net...

This research presents an intuitive interpretation and expression for pricing cash settled futures contracts. In particular, the choice of the averaging period for the underlying cash index is evaluated. For example, the averaging period for the Lean Hog futures contract is two days, whereas it...

The number of U.S. fed cattle marketed through a value based or grid marketing system is increasing dramatically. Most grids reward Choice or better quality grades and some pay premiums for red meat yield. The Choice-Select (C-S) price spread increased 55 percent, over $3/cwt between 1989-91 and...

Theoretical and simulation results clarify the role of procurement contracting in determining spot price levels and volatility. A generic model determines market share across quality. Actual supply is specified as price dependent and stochastic. Simulation examines the sensitivity of price level...

This research provides an overview of the development of the Tokyo Grain Exchange non-GMO soybean contract as an identity preserved futures contract. The development of this contract is unique, relative to the development of other new futures contracts, in that a mature conventional soybean...

A dynamic three-commodity rational-expectations storage model is used to compare the impact of the Federal Agricultural Improvement and Reform (FAIR) Act of 1996 with a free-market policy, and with the agricultural policies that preceded the FAIR Act. Results support the hypothesis that the...

We derive a new hedge ratio based on weighted expected utility. Weighted expected utility is a generalization of expected utility that permits non-linear probability weights. Generally speaking weighted expected utility hedge ratios are less than minimum variance hedge ratios and larger than...

The Commodity Futures Trading Commission's Commitments of Traders data are examined. Non-commercial positions are thought to contain the least amount of measurement error. Although non-commercials comprise a relatively small percent of the tested markets' open interest (10% to 22%), they have...

The choice of deflators of commodity prices can change the time-series properties of the original series. This is a specific application of the general phenomenon that various kinds of data transformations can create spurious cycles that did not exist in the original data. Different empirical...

A set of consumer-level characteristic demand models were estimated to determine the level of brand equity for pork and beef meat cuts. Results indicate that brand premiums and discounts vary by private, national, and store brands; and brand equity varies across meat cuts carrying the same brand...