IDEAS home Printed from https://ideas.repec.org/a/oup/revage/v25y2003i1p145-153..html
   My bibliography  Save this article

Has the Market's Estimate of Crop Price Variability Increased since the 1996 Farm Bill?

Author

Listed:
  • Carl R. Zulauf
  • E. Neal Blue

Abstract

Following enactment of the 1996 Farm Bill, corn and soybean implied volatilities covering the preharvest and storage seasons increased 16–23% between 1987–1995 and 1997–2001. The increase was statistically significant at the 90% confidence level. Standard deviation of corn and soybean prices derived from the implied volatilities increased 7–25%, but only the increase for preharvest corn was statistically significant. Further muddling the picture is the decline in variability of annual U.S. average corn and soybean cash price. These mixed findings point to continuing disagreement about government's role in managing farm risk in the post-1996 Farm Bill world.

Suggested Citation

  • Carl R. Zulauf & E. Neal Blue, 2003. "Has the Market's Estimate of Crop Price Variability Increased since the 1996 Farm Bill?," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 25(1), pages 145-153.
    • Handle: RePEc:oup:revage:v:25:y:2003:i:1:p:145-153.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/1467-9353.00050
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Paul L. Fackler & Robert P. King, 1990. "Calibration of Option-Based Probability Assessments in Agricultural Commodity Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(1), pages 73-83.
    2. Collins, Keith J. & Glauber, Joseph W., 1998. "Will Policy Changes Usher In a New Era of Increased Agricultural Market Variability?," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, vol. 13(2), pages 1-4.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. McPhail, Lihong Lu & Babcock, Bruce A., 2012. "Impact of US biofuel policy on US corn and gasoline price variability," Energy, Elsevier, vol. 37(1), pages 505-513.
    2. Elanor Starmer & Aimee Witteman & Timothy A. Wise, "undated". "Feeding the Factory Farm: Implicit Subsidies to the Broiler Chicken Industry," GDAE Working Papers 06-03, GDAE, Tufts University.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ricardo Crisóstomo, 2021. "Estimating real‐world probabilities: A forward‐looking behavioral framework," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.
    2. Algieri, Bernardina & Leccadito, Arturo & Tunaru, Diana, 2021. "Risk premia in electricity derivatives markets," Energy Economics, Elsevier, vol. 100(C).
    3. Sherrick, Bruce J. & Irwin, Scott H. & Forster, D. Lynn, 1990. "Nonstationarity Of Soybean Futures Price Distributions: Option-Based Evidence," 1990 Annual meeting, August 5-8, Vancouver, Canada 270920, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    4. Umarov, Alisher & Sherrick, Bruce J., 2005. "Farmers' Subjective Yield Distributions: Calibration and Implications for Crop Insurance Valuation," 2005 Annual meeting, July 24-27, Providence, RI 19396, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. Trueblood, Michael & Shapouri, Shahla, 1999. "Trade Liberalization and the Sub-Sahara African Countries: Adjusting to the Challenges of Globalization," Miscellaneous Publications 330365, United States Department of Agriculture, Economic Research Service.
    6. David S. Bates, 1997. "Post-'87 Crash Fears in S&P 500 Futures Options," NBER Working Papers 5894, National Bureau of Economic Research, Inc.
    7. John B. Carlson & Ben R. Craig & William R. Melick, 2005. "Recovering market expectations of FOMC rate changes with options on federal funds futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(12), pages 1203-1242, December.
    8. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-079, New York University, Leonard N. Stern School of Business-.
    9. Schnitkey, Gary D. & Sherrick, Bruce J. & Irwin, Scott H., 2002. "Evaluation of Risk Reductions Associated with Multi-Peril Crop Insurance Products," 2002 Regional Committee NC-221, October 7-8, 2002, Denver, Colorado 132375, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
    10. Miranda, Mario J & Glauber, Joseph W, 1993. "Estimation of Dynamic Nonlinear Rational Expectations Models of Primary Commodity Markets with Private and Government Stockholding," The Review of Economics and Statistics, MIT Press, vol. 75(3), pages 463-470, August.
    11. Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
    12. Clement, E. & Gourieroux, C. & Monfort, A., 2000. "Econometric specification of the risk neutral valuation model," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 117-143.
    13. Buschena, David E. & Ziegler, Lee, 1999. "Reliability Of Options Markets For Crop Revenue Insurance Rating," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 24(2), pages 1-26, December.
    14. Schnepf, Randall D. & Goodwin, Barry K., 1999. "Long-Run Price Risk In U.S. Agricultural Markets," 1999 Annual meeting, August 8-11, Nashville, TN 21687, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    15. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
    16. Josep Puigvert-Gutiérrez & Rupert Vincent-Humphreys, 2012. "A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 2(1), pages 1-31, June.
    17. Silva, Elvria & Kahl, Kandice, 1991. "Reliability Of Soybean And Corn Option-Based Probability Assessments As Option Markets Mature," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271196, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    18. Gray, Allan W. & Boehlje, Michael & Gloy, Brent A. & Slinsky, Stephen P., 2002. "Government Program Payment Mechanisms, Crop Revenue Coverage Insurance, and the Return to Farm Land," 2002 Regional Committee NC-221, October 7-8, 2002, Denver, Colorado 132370, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
    19. Eidman, V., 1989. "Quantifying and managing risk in agriculture," 1989 Annual Conference, September 25-27, Bloemfontein, South Africa 314723, Agricultural Economics Association of South Africa (AEASA).
    20. Siddiqi, Hammad, 2015. "Analogy Based Valuation of Commodity Options," Risk and Sustainable Management Group Working Papers 197334, University of Queensland, School of Economics.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:revage:v:25:y:2003:i:1:p:145-153.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press or Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/aaeaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.