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Risk Management In Agricultural Markets: A Survey

  • Tomek, William G.
  • Peterson, Hikaru Hanawa

This paper surveys and evaluates the current state of knowledge about marketing strategies to manage price and revenue risk for farm commodities. What does existing research tell about the benefits and costs of alternative risk management strategies? What are the limitations of this research? What are the gaps in our knowledge?

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File URL: http://purl.umn.edu/19580
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Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2000 Producer marketing and Risk Management Conference, January 13-14, Orlando, FL with number 19580.

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Date of creation: 2000
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Handle: RePEc:ags:aae08p:19580
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  1. Bessler, David A. & Brandt, Jon A., 1992. "An analysis of forecasts of livestock prices," Journal of Economic Behavior & Organization, Elsevier, vol. 18(2), pages 249-263, July.
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  3. Lapan, Harvey E. & Moschini, GianCarlo & Hanson, Steven D., 1991. "Production Hedging and Speculative Decisions with Options and Future Markets," Staff General Research Papers 10810, Iowa State University, Department of Economics.
  4. Randal R. Rucker & Oscar R. Burt & Jeffrey T. LaFrance, 1984. "An Econometric Model of Cattle Inventories," Monash Economics Working Papers archive-25, Monash University, Department of Economics.
  5. Sakong, Yong & Hayes, Dermot J. & Hallam, Arne, 1993. "Hedging Production Risk with Options," Staff General Research Papers 559, Iowa State University, Department of Economics.
  6. Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-73, July.
  7. Ng, Serena, 1996. "Looking for evidence of speculative stockholding in commodity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 20(1-3), pages 123-143.
  8. Lester G. Telser, 1958. "Futures Trading and the Storage of Cotton and Wheat," Journal of Political Economy, University of Chicago Press, vol. 66, pages 233.
  9. Trapp, James N., 1989. "A Commodity Market Simulation Game For Teaching Market Risk Management," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 21(01), July.
  10. Angus Deaton & Guy Laroque, 1990. "On The Behavior of Commodity Prices," NBER Working Papers 3439, National Bureau of Economic Research, Inc.
  11. Kastens, Terry L. & Dhuyvetter, Kevin C., 1999. "Post-Harvest Grain Storing And Hedging With Efficient Futures," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 24(02), December.
  12. Hennessy, David A. & Wahl, Thomas I., 1996. "Effects of Decisionmaking on the Futures Price Volatility, The," Staff General Research Papers 5031, Iowa State University, Department of Economics.
  13. Jim Dayton & E. Dean Baldwin, 1989. "Policy and risk implications for an individual grain farm," Agribusiness, John Wiley & Sons, Ltd., vol. 5(2), pages 181-195.
  14. Deaton, Angus & Laroque, Guy, 1996. "Competitive Storage and Commodity Price Dynamics," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 896-923, October.
  15. Jackson, Thomas E. & Irwin, Scott H. & Good, Darrel L., 1997. "1995 Pricing Performance Of Market Advisory Services For Corn And Soybeans," AgMAS Project Research Reports 14790, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  16. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
  17. Taylor, Patricia D. & Tomek, William G., 1984. "Forecasting the Basis for Corn in Western New York," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 13(1:), April.
  18. Sergio H. Lence & Yong Sakong & Dermot J. Hayes, 1993. "Multiperiod Production with Forward and Options Markets," Center for Agricultural and Rural Development (CARD) Publications 93-wp112, Center for Agricultural and Rural Development (CARD) at Iowa State University.
  19. Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
  20. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
  21. Lence, Sergio H., 1995. "The Economic Value of Minimum-Variance Hedges," Staff General Research Papers 5053, Iowa State University, Department of Economics.
  22. Feder, Gershon & Just, Richard E & Schmitz, Andrew, 1980. "Futures Markets and the Theory of the Firm under Price Uncertainty," The Quarterly Journal of Economics, MIT Press, vol. 94(2), pages 317-28, March.
  23. Roy Bailey and Marcus Chambers, . "A Theory of Commodity Price Fluctuations," Economics Discussion Papers 432, University of Essex, Department of Economics.
  24. Weninger, Quinn & Just, Richard E., 1999. "Are Crop Yields Normally Distributed?," Staff General Research Papers 5064, Iowa State University, Department of Economics.
  25. Lapan, Harvey E. & Moschini, GianCarlo, 1994. "Futures Hedging Under Price, Basis and Production Risk," Staff General Research Papers 10041, Iowa State University, Department of Economics.
  26. Westcott, Paul C. & Hoffman, Linwood A., 1999. "Price Determination for Corn and Wheat: The Role of Market Factors and Government Programs," Technical Bulletins 33581, United States Department of Agriculture, Economic Research Service.
  27. Brorsen, B. Wade & Irwin, Scott H., 1996. "Improving The Relevance Of Research On Price Forecasting And Marketing Strategies," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 25(1), April.
  28. Myers, Robert J., 1994. "Time Series Econometrics and Commodity Price Analysis: A Review," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 62(02), August.
  29. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  30. Kevin McNew & Bruce Gardner, 1999. "Income Taxes and Price Variability in Storable Commodity Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 81(3), pages 544-552.
  31. Scott H. Irwin & Carl R. Zulauf & Thomas E. Jackson, 1996. "Monte Carlo Analysis of Mean Reversion in Commodity Futures Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(2), pages 387-399.
  32. repec:cup:cbooks:9780521326162 is not listed on IDEAS
  33. Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-17, June.
  34. Hranaiova, Jana & Tomek, William G., 1999. "The Timing Option In Futures Contracts And Price Behavior At Contract Maturity," 1999 Annual meeting, August 8-11, Nashville, TN 21677, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  35. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  36. Bessembinder, Hendrik, et al, 1995. " Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure," Journal of Finance, American Finance Association, vol. 50(1), pages 361-75, March.
  37. Hranaiova, Jana & Tomek, William G., 1999. "The Timing Option In Futures Contracts And Price Behavior At Contract Maturity," Working Papers 14740, Cornell University, Department of Applied Economics and Management.
  38. Tomislav Vukina & Dong-feng Li & Duncan M. Holthausen, 1996. "Hedging with Crop Yield Futures: A Mean-Variance Analysis," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(4), pages 1015-1025.
  39. Richard E. Just & Linda Calvin & John Quiggin, 1999. "Adverse Selection in Crop Insurance: Actuarial and Asymmetric Information Incentives," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 81(4), pages 834-849.
  40. Carter, Colin A., 1999. "Commodity futures markets: a survey," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 43(2).
  41. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
  42. Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-24, April-Jun.
  43. Jackson, Thomas E. & Irwin, Scott H. & Good, Darrel L., 1998. "1996 Pricing Performance Of Market Advisory Services For Corn And Soybeans," AgMAS Project Research Reports 14787, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  44. Harrison, R. Wes & Bobst, Barry W. & Benson, Fred J. & Meyer, Lee, 1996. "Analysis Of The Risk Management Properties Of Grazing Contracts Versus Futures And Option Contracts," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 28(02), December.
  45. Jimmy E. Hilliard & Jorge A. Reis, 1999. "Jump Processes in Commodity Futures Prices and Options Pricing," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 81(2), pages 273-286.
  46. Paul, Allen B. & Wesson, William T., 1967. "Pricing Feedlot Services Through Cattle Futures," Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, issue 2.
  47. Harwood, Joy L. & Heifner, Richard G. & Coble, Keith H. & Perry, Janet E. & Somwaru, Agapi, 1999. "Managing Risk in Farming: Concepts, Research, and Analysis," Agricultural Economics Reports 34081, United States Department of Agriculture, Economic Research Service.
  48. Tomek, William G. & Myers, Robert J., 1993. "Empirical Analysis Of Agricultural Commodity Prices: A Viewpoint," Working Papers 6847, Cornell University, Department of Applied Economics and Management.
  49. David A. Hennessy & Thomas I. Wahl, 1996. "The Effects of Decision Making on Futures Price Volatility," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(3), pages 591-603.
  50. B. Wade Brorsen & John Coombs & Kim Anderson, 1995. "The cost of forward contracting wheat," Agribusiness, John Wiley & Sons, Ltd., vol. 11(4), pages 349-354.
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