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Dienen Terminmarktnotierungen Für Schlachtschweine Zur Prognose Zukünftiger Preisentwicklungen?

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  • Vollmer, Teresa
  • Holst, Carsten

Abstract

Im Bereich lagerfähiger Agrargüter wird Futures-Preisen eine hohe Bedeutung als Indikator zukünftiger Preisentwicklungen beigemessen. Handelt es sich jedoch um nicht-lagerfähige Güter wie Schlachtschweine, herrscht hinsichtlich der Prognoseeffizienz von Futures-Notierungen Uneinigkeit. In diesem Beitrag wird die Überlegenheit der Preisprognosen für den Kassamarkt für Schlachtschweine mittels Futures-Notierungen gegenüber der naiven Preiserwartung überprüft und zudem die Gleichgewichtsbeziehungen zwischen Futures- und Kassamarktpreisen analysiert. Dazu werden auf Notierungen des FHOG-Futures der Eurex Exchange und auf den Vereinigungspreis für Schlachtschweine der Vereinigung der Erzeu- gergemeinschaften für Vieh und Fleisch e.V. (VEZG) zurückgegriffen und neben der Berechnung von Prognosegütekennzahlen Preistransmissionsanalysen durchgeführt. Unsere Ergebnisse zeigen zum einen, dass Preisprognosen mittels Futures-Kursen treffendere Ergebnisse liefern als die Annahme konstanter Preise. Allerdings nimmt die Prognosegüte mit steigendem Prognosehorizont ab. Zum anderen wird festgestellt, dass sich die Futures-Preise unter-schiedlicher zukünftiger Fälligkeiten und der Vereinigungspreis für Schlachtschweine der VEZG in langfristigen Gleichgewichtsbeziehungen zueinander befinden und sich gegenseitig beeinflussen.

Suggested Citation

  • Vollmer, Teresa & Holst, Carsten, 2016. "Dienen Terminmarktnotierungen Für Schlachtschweine Zur Prognose Zukünftiger Preisentwicklungen?," 56th Annual Conference, Bonn, Germany, September 28-30, 2016 244806, German Association of Agricultural Economists (GEWISOLA).
  • Handle: RePEc:ags:gewi16:244806
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    File URL: http://ageconsearch.umn.edu/record/244806/files/Vollmer.pdf
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    References listed on IDEAS

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    1. Marc Nerlove, 1958. "Adaptive Expectations and Cobweb Phenomena," The Quarterly Journal of Economics, Oxford University Press, vol. 72(2), pages 227-240.
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    9. Adämmer, Philipp & Bohl, Martin T. & von Ledebur, Oliver, 2014. "Die Bedeutung von Agrarterminmärkten als Absicherungsinstrument für die deutsche Landwirtschaft," Thünen Reports 14, Johann Heinrich von Thünen Institute, Federal Research Institute for Rural Areas, Forestry and Fisheries.
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    Keywords

    Agricultural Finance; Demand and Price Analysis; Research Methods/ Statistical Methods;

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