This preliminary study examines the impact of index and swap fund participation in agricultural and energy commodity futures markets. Based on new data and empirical analysis the study finds that index funds did not cause a bubble in agricultural futures prices. Using Granger causality methods...

This report presents marketing profiles and loan deficiency payment/marketing loan gain profiles for the advisory services followed by the AgMAS Project for the 1995 through 2000 corn crops. Marketing profiles are constructed by plotting the cumulative net amount priced under each program's set...

The purpose of this report is to address two basic performance questions for market advisory services in wheat: 1) Do market advisory services, on average, outperform an appropriate market benchmark? and 2) Do market advisory services exhibit persistence in their performance from year-to-year?...

The purpose of this research report is to summarize the features of several types of "new generation" grain marketing contracts. Over the last several years, new types of grain marketing contracts have been developed by the grain industry in an attempt to improve the results of the marketing...

The purpose of this research report is to evaluate the pricing performance of market advisory services for the 1995-2001 corn and soybean crops. The results for 1995-2000 were released in earlier AgMAS research reports, while results for the 2001 crop year are new. Certain explicit assumptions...

The purpose of this report is to improve understanding of USDA crop forecasting methods, performance and market impact. A review of USDA's forecasting procedures and methodology confirmed the objectivity and consistency of the forecasting process over time. No changes in methodology occurred in...

This report presents marketing profiles and loan deficiency payment/marketing loan gain profiles for the advisory services followed by the AgMAS Project for the 1995 through 2000 soybean crops. Marketing profiles are constructed by plotting the cumulative net amount priced under each program's...

The forecasting ability of the Commodity Futures Trading Commission’s Commitment’s of Traders data set is investigated. Bivariate Granger causality tests show very little evidence that traders’ positions are useful in forecasting (leading) market returns. However, there is substantial...

We re-assess the effect of new information contained in the Hogs and Pigs Reports (HPR) focusing on the rationality of the announcements. We find that HPR preliminary numbers are irrational estimates of the final numbers and market expectations before the announcements are also irrational...

The noise trader sentiment model of De Long, Shleifer, Summers, and Waldmann (1990a) is applied to futures markets. The theoretical results predict that overly optimistic (pessimistic) noise traders result in market prices that are greater (less) than fundamental value. Thus, returns can be...