Hedging effectiveness is the proportion of price risk removed through hedging. Empiricalhedging studies typically estimate a set of risk minimizing hedge ratios, estimate the hedgingeffectiveness statistic, apply the estimated hedge ratios to a second group of data, and examinethe robustness of...

The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been asource of hardship for traditional commodity market participants such as producers andmerchant/shippers. The usefulness of futures markets has been called into question, especiallygiven that some market...

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...

This paper investigates whether the accuracy of outlook hog price forecasts can be improvedusing composite forecasts in an out-of-sample context. Price forecasts from four wellrecognizedoutlook programs are combined with futures-based forecasts, ARIMA, andunrestricted Vector Autoregressive (VAR)...

Portfolio managers favor long-term investment horizons. Their performance is usually forecasted using either the arithmetic mean or the geometric mean. The harmonic mean is generally ignored as an instrument of financial and/or portfolio management. We examine the performance of the harmonic...

During the last two decades, Post Keynesian/Kaleckian distribution and growth models have gradually focused their attention on the effects that monetary policy and financial variables are likely to have on the macroeconomy. These models usually rely on the influence of debt, debt services and...