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An Evaluation Of Determinants Of Fed Cattle Basis And Competing Forecasting Models
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Book Synopsis An Evaluation of Determinants of Fed Cattle Basis and Competing Forecasting Models by : Jeremiah McElligott
Download or read book An Evaluation of Determinants of Fed Cattle Basis and Competing Forecasting Models written by Jeremiah McElligott and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this analysis is to develop econometric models for forecasting fed cattle basis as well as compare these models with historic averaging methods of forecasting basis popular in existing literature. The econometric analysis also aims to identify important determinants of fed cattle basis. Both monthly and weekly models were assessed with data provided by the Livestock Marketing Information Center. All models analyzed the three regions of Nebraska, Kansas, and Texas. Monthly historic average approaches utilized historic fed cattle futures and fed cattle cash price series from January of 1995 through December of 2010. Weekly historic average approaches utilized historic fed cattle futures and fed cattle cash prices series from June of 2001 through December 2010. Data collected post mandatory price reporting implementation in 2001 was used in all econometric models. Overall lags of fed cattle basis, the spread between the nearby live cattle futures contract and the next deferred futures contract, and seasonality regularly proved to explain much of the variation in fed cattle basis in the econometric modeling. Multiple historic average based models were examined on both monthly and weekly frequencies. Once all competing models were estimated in-sample, out-of sample testing was conducted. The forecasting errors of all weekly models were compared to determine which methods prove to be dominant forecasters of fed cattle basis. This testing suggests historic averaging methods outperform the alternate econometric models in out-of-sample work. The econometric models helped to reveal some of the important factors determining fed cattle basis, however lags in collecting data on these factors may inhibit the forecaster's ability to use these techniques in real time. One interesting revelation in regards to historic averages is the potential of Olympic averages as forecasters. These methods have not been explored in previous academic literature but tend to perform quite well in comparison with other methods explored.
Book Synopsis Structural Changes in Fed Cattle Basis and the Implications on Basis Forecasting by : Brian James Highfill
Download or read book Structural Changes in Fed Cattle Basis and the Implications on Basis Forecasting written by Brian James Highfill and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The past several years has marked one of the most heightened periods of fed cattle basis volatility since the installment of live cattle futures contracts. Understanding basis, the difference between local cash price and the futures contract price, is imperative when making marketing and procurement decisions. In the face of increased volatility, the ability to produce accurate basis expectations is no simple task. The purpose of these analyses was to develop econometric models to determine the greatest influencers of fed cattle basis, to test the presence of structural changes in the determinants of fed cattle basis, and to compare out-of-sample forecasting performance. This study analyzed in-sample econometric models using monthly data from January 2003 through September 2016, then compared the results of the competing models. Using the same time period, we then identified the presence of structural breaks in the data. Furthermore, this study analyzed the out-of-sample forecasting performance for January 2012 through September 2016. The out-of-sample results were then compared to in-sample estimations and historical average basis models. The in-sample estimations indicated the important factors that influence fed cattle basis. The results indicate that there are multiple structural breaks present in the determinants of fed cattle basis examined during this study. We can robustly conclude that there was a market structural break present in the fourth quarter of 2013 and within the 2005-2006 time period. The results indicate that the out-of-sample regression estimations were outperformed by historical average models and did not improve our ability to accurately forecast basis. Overall, a 3 or 4 year historical average model should be preferred over econometric estimations when forecasting fed cattle basis.
Book Synopsis An Econometric Model of Pacific Northwest Feeder Cattle Basis by : Cynthia Ann Vanderpool
Download or read book An Econometric Model of Pacific Northwest Feeder Cattle Basis written by Cynthia Ann Vanderpool and published by . This book was released on 1981 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fluctuating feeder cattle prices have a direct affect on the revenue variability of feeder cattle producers. Hedging in the commodity futures market is a marketing strategy which can, if properly used, reduce the financial risk of feeder cattle producers. If the closing basis value is known when a hedge is placed, a price can be established for the feeder cattle in advance. This fact prompted research in determining the factors which affect nearby feeder cattle basis in the Pacific Northwest. This research is an attempt to identify factors which influence the feeder cattle basis through their influence on the prices which compose the basis -i.e., the cash and futures prices. The feeder cattle cash price has been established as a function of the factors affecting the profit of feedlot operations. Controversy exists on the factors which influence the futures price of livestock products; however, the use of technical indicators is well established in the literature. For the purposes of this research feeder cattle basis is developed as a function of the profit factors and a lag-trend indicator along with dummy variables which influence feeder cattle futures contracts over time. The profit factors include expected slaughter price, corn price, and interest rate values. These profit factors are expected to influence the cash price of feeder cattle. The lag-trend indicator is a calculated trend of the basis over the past two time periods and is expected to represent the analysis made by traders in both the futures and cash markets of past events or prices. This analysis by traders in the futures market will be similar to their use of technical indicators. In specifying the model, two methods of analyzing the expected affects of the profit factors on the basis are acknowledged. In this research, the profit factors are assumed to influence only the cash price. Therefore, the effect of the factors on basis is hypothesized by making assumptions about the price movement of the feeder cattle futures price. The analyses produce various hypotheses about the expected effects of the profit factors on basis. The empirical results produce evidence that the estimated equations explain a good proportion of the Pacific Northwest basis of feeder cattle for light and heavy weight categories. After a close analysis of the profit factors, corn price is concluded to have a positive influence on 500-600 pound feeder cattle basis and a negative influence on 700-800 pound feeder cattle basis. However, due to the inability of the methods to hypothesize the effect of slaughter price on basis and/or to hypothesize, with consistency, the correct signs of the estimated interest rate coefficient, conclusions are not made about their influences on the basis. Feeder cattle producers can apply the information produced in this research in making hedging decisions. However, a thorough knowledge and analysis of hedging theory and market conditions should be undertaken first. Since a predicted closing basis is needed by feeder cattle producers to establish a "locked-in" cash price, further research in developing a forecasting model of feeder cattle basis is warranted.
Book Synopsis NCR-134 Conference by : NCR-134 (Committee : U.S.). Conference
Download or read book NCR-134 Conference written by NCR-134 (Committee : U.S.). Conference and published by . This book was released on 1997 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :United States. Cooperative State Research Service. Current Research Information System Publisher : ISBN 13 : Total Pages :940 pages Book Rating :4.:/5 (31 download)
Book Synopsis Swine Research by : United States. Cooperative State Research Service. Current Research Information System
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Book Synopsis Conomic Models of Cattle Prices by : Nancy R. Kingsbury
Download or read book Conomic Models of Cattle Prices written by Nancy R. Kingsbury and published by DIANE Publishing. This book was released on 2003-06 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reviews economic models, especially treatment of competition, marketing practices, and international trade effects on U.S. cattle prices and producers' incomes. The report addresses 3 questions: To what extent do these models incorporate structural changes -- specifically, market concentration in the meatpacking sector and the use of marketing agreements, forward contracts, and imports?; What are the most important factors that affect cattle prices and producers' incomes?; and What are the most significant data and modeling issues to be considered in developing a more comprehensive model, or logical framework, to explain cattle prices and producers' income? Makes recommendations about how to resolve issues and problems regarding cattle price modeling.
Book Synopsis Dissertation Abstracts International by :
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Book Synopsis Economic Models of Cattle Prices by : United States. General Accounting Office
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Book Synopsis Research Bulletin by : Herman J. Gorz
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Book Synopsis Comprehensive Dissertation Index, 1861-1972 by : Xerox University Microfilms
Download or read book Comprehensive Dissertation Index, 1861-1972 written by Xerox University Microfilms and published by . This book was released on 1973 with total page 814 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Comprehensive Dissertation Index, 1861-1972: Business and economics by : Xerox University Microfilms
Download or read book Comprehensive Dissertation Index, 1861-1972: Business and economics written by Xerox University Microfilms and published by . This book was released on 1973 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Project Report written by and published by . This book was released on 1991 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Comprehensive Dissertation Index by :
Download or read book Comprehensive Dissertation Index written by and published by . This book was released on 1973 with total page 838 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis National Economics Division News by : United States. Dept. of Agriculture. National Economics Division
Download or read book National Economics Division News written by United States. Dept. of Agriculture. National Economics Division and published by . This book was released on 1986 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
