Temporal Relationships Among Futures Prices: Comment

Heifner, Richard G.

doi:10.2307/1237464

Cited by 4 publications

(5 citation statements)

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“…Heifner [12], on the other hand, stressed government policies, e.g., price support programs, as being responsible for the contrasting behavior.' 4 R. G. Heifner, commenting on the Tomek and Gray paper, stressed that the United States Government price support programs (and the attendant information about support levels) for corn, wheat, and soybeans account for the marked contrasting behavior between these commodities and potatoes.…”

Section: Differences In Variable Emphasismentioning

confidence: 99%

“…4 R. G. Heifner, commenting on the Tomek and Gray paper, stressed that the United States Government price support programs (and the attendant information about support levels) for corn, wheat, and soybeans account for the marked contrasting behavior between these commodities and potatoes. Tomek and Gray, in a reply to Heifner's paper, argue that support programs did not account for the contrasting behavior and that, moreover, soybean prices have been typically above support levels [12,23]. performance test, the "qualities" of several variables that contribute to pricing efficiency are being indirectly compared.…”

Section: Differences In Variable Emphasismentioning

confidence: 99%

“…76-78, 129-132]. 12 Production forecasts for most perennial or tree-crops are inaccurate. Quantitative attempts at estimating the supply function for cocoa have not proved very successful [20,1,3].…”

Section: Contrasting the Performance Of Commodity Futures Marketsmentioning

confidence: 99%

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A Framework for Comparing the Efficiency of Futures Markets

Kofi

1973

American J Agri Economics

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Empirical observation and theoretical analyses show that the allocative and forward pricing functions of futures markets are more reliable for continuous than for discontinuous inventory markets. This emphasis on the importance of carry-over inventory in affecting day-to-day price spreads is extended to take into account other factors which contribute to pricing efficiency. By examination of the characteristic behavior of the life cycle of a futures contract, a framework is developed to test, analyze, and contrast the performance of futures markets, i.e., how reliable futures quotations are as predictors of spot (cash) prices. Policy and theoretical implications are given.

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Section: Differences In Variable Emphasismentioning

confidence: 99%

Section: Differences In Variable Emphasismentioning

confidence: 99%

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A Framework for Comparing the Efficiency of Futures Markets

Kofi

1973

American J Agri Economics

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“…Furthermore, it is also relevant for the private sector to study the differences in price volatility among products for production and marketing decision (Heifner and Kinoshita, 1994; Jordaan et al ., 2007). On the other hand, several study results indicated that agricultural price variability has a major impact on food security (El-Rasoul and Tolba, 2018), so it is extremely necessary to provide decision-makers with a database of future agricultural price to deal with any food crisis.…”

Section: Resultsmentioning

confidence: 99%

“…Then forecasting agricultural prices is an essential requirement for decision-makers to develop suitable agricultural policies in both short and long term, in the fields of production, consumption, marketing and trade (Lama et al, 2015;Solanki and Sharma, 2016). Furthermore, it is also relevant for the private sector to study the differences in price volatility among products for production and marketing decision (Heifner and Kinoshita, 1994;Jordaan et al, 2007). On the other hand, several study results indicated that agricultural price variability has a major impact on food security (El-Rasoul and Tolba, 2018), so it is extremely necessary to provide decision-makers with a database of future agricultural price to deal with any food crisis.…”

Section: Price Volatility Of Some Export Cropsmentioning

confidence: 99%

Forecasting agricultural price volatility of some export crops in Egypt using ARIMA/GARCH model

Agbo

2023

REPS

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PurposeThis study focuses on forecasting the price of the most important export crops of vegetables and fruits in Egypt from 2016 to 2030.Design/methodology/approachThe study applied generalized autoregressive conditional heteroskedasticity (GARCH) model and autoregressive integrated moving average (ARIMA) model.FindingsThe results show that ARIMA (1,1,1), ARIMA (2.1,2), ARIMA (1,1,0), ARIMA (1,1,2), ARIMA (0,1,0) and ARIMA (1,1,1) are the most appropriate fitted models to evaluate the volatility of price of green beans, tomatoes, onions, oranges, grapes and strawberries, respectively. The results also revealed the presence of ARCH effect only in the case of Potatoes, hence it is suggested that the GARCH approach be used instead. The GARCH (1,1) is found to be a better model in forecasting price of potatoes.Originality/valueThe study of food price volatility in developing countries is essential, since a significant share of household budgets is spent on food in these economies, so forecasting agricultural prices is a substantial requirement for drawing up many economic plans in the fields of agricultural production, consumption, marketing and trade.

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A reappraisal of the forecasting performance of corn and soybean new crop futures

Zulauf

Irwin

Ropp³

et al. 1999

J. Fut. Mark.

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ESO 2310This analysis evaluates the forecasting ability of the December corn futures contract and November soybean futures contracts during the previous spring. A regression equation is estimated which accounts for the well-known non-stationarity of commodity prices over the period 1952-1995. Results of this regression imply that the spring-time quotes of the corn and soybean harvest futures contracts are unbiased estimates of the prices at harvest. In addition, since 1974 the spring-time quotes are able to significantly predict the harvesttime quotes. This finding implies that farmers and others can use harvest futures at planting as a source of information concerning prices at harvest. Furthermore, in accordance with Stein, because the futures contracts are unbiased forecasts of realized prices, then the corn and soybean futures markets are functioning well in the sense that only unavoidable social loss exits. Magnitude of the unavoidable loss is measured by R 2 • R 2 increased for corn but decreased for soybeans between 1952-72 and 1974-95. These findings suggest that unavoidable social loss has decreased in the corn market, but has increased in the soybean market. Last, since 1973, the spring quotes of the corn and soybean harvest futures were significantly less variable from year-to-year than the eventual harvest prices. This finding suggests that hedging expected corn and soybean production at planting can significantly reduce year-to-year variability in price received at harvest.

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Temporal Relationships Among Futures Prices: Comment

Cited by 4 publications

References 0 publications

A Framework for Comparing the Efficiency of Futures Markets

A Framework for Comparing the Efficiency of Futures Markets

Forecasting agricultural price volatility of some export crops in Egypt using ARIMA/GARCH model

A reappraisal of the forecasting performance of corn and soybean new crop futures

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