China has been rapidly increasing its consumption and imports of dairy products in recent years. A two-stage demand system was estimated for livestock product consumption in urban China over the 1990s. Total expenditure elasticities for the livestock commodity group and expenditure elasticities...

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...

We theoretically examine a farmer’s coverage demand with area and individual insurance plans as either separate or integrated options. The individual and area losses are assumed to be imperfectly and positively correlated. With actuarially fair rates, the farmer will fully insure with the...

This paper investigates the dynamics of sequential decision-making in agricultural futures andoptions markets using a quantile regression framework. Analysis of trading records of 12 traderssuggests that there is great heterogeneity in individual trading behavior. Traders responddifferently to...

We study the difference in the volatility dynamics of CBOT corn, soybeans, and oatsfutures prices across different delivery horizons via the smoothed Bayesian estimatorof Karali, Dorfman, and Thurman (2010). We show that the futures price volatilitiesin these markets are affected by the...

The paper examines empirical returns from holding thirty- and ninety-day call and put positions,and the forecasting performance of implied volatility in the live and feeder cattle optionsmarkets. In both markets, implied volatility is an upwardly biased and inefficient predictor ofrealized...

Taken together, studies that examine how well commodity futures marketsperform find that risk premiums are common—and so unbiasedness is not—and marketsare not uniformly efficient across commodities or forecast horizons. This large body ofresearch sheds important light on whether and to what...