How reliable are hog futures as forecasts?

American Journal of Agricultural Economics

Volumn 90, Issue 2, 2008, Pages 367-378

  Carter, Colin A ^a,b   Mohapatra, Sandeep ^c  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b Giannini Foundation of Agricultural Economics

^c UNIVERSITY OF ALBERTA   (Canada)

Author keywords

Futures efficiency; Leanhog futures; Nonstorable futures

Indexed keywords

AGRICULTURAL ECONOMICS; COMMODITY PRICE; FORECASTING METHOD; LIVESTOCK FARMING;

SUIDAE;

EID: 42149133642     PISSN: 00029092     EISSN: 14678276     Source Type: Journal    
DOI: 10.1111/j.1467-8276.2007.01122.x     Document Type: Article

References (53)

1. Antoniou, A., and A.J. Foster. 1994. "Short-Termand Long-Term Efficiency in Commodity Spot and Futures Markets." Financial Markets, Institutions & Instruments 3: 17-35.
2. Baille, R.T., and R.J. Myers. 1991. "Bivariate Garch Estimation of the Optimal Commodity Futures Hedge." Journal of Applied Econometrics 6: 109-24.
3. Barkema, A., M. Drabenstott, and N. Novack. 2001. "The New U.S. Meat Industry." Economic Review 2: 33-56.
4. Beck, S. E. 1994. "Cointegration and Market Efficiency in Commodity Futures Markets." Applied Economics 26: 249-57.
5. Bessler, D.A., and T. Covey. 1991. "Cointegration. Some Results on U.S. Cattle Prices." Journal of Futures Markets 11: 461-74.
6. Bigman, D., D. Goldfarb, and E. Schechtman. 1983. "Futures Market Efficiency and the Time Content of the Information Sets." Journal of Futures Markets 3: 321-34.
7. Bilson, J.F.O. 1981. "The Speculative Efficiency Hypothesis." Journal of Business 54: 435-51.
8. Boessen, C., J. Lawrence, and G. Grimes. 2004. "Production and Marketing Characteristics of US Pork Producers." Working Paper, Department of Economics, Iowa State University.
9. Brenner, R.J., and K.F. Kroner. 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets." Journal of Financial and Quantitative Analysis 30: 23-42.
10. Bullock, J.B. 2003. "Performance Evaluation of the U.S. Hog Slaughter Industry." Working Paper, Department of Agricultural Economics No. AEWP 2003-1, University of Missouri-Columbia.
11. Covey, T., and D.A. Bessler. 1995. "Asset Storability and the Information Content of Intertemporal Prices." Journal of Empirical Finance 2: 103-15.
12. Ditsch, M., and R. Leuthold. 1996. "Evaluating the Hedging Potential of the Lean Hog Futures Contract." OFOR Paper Number 96-03, Office for Options and Futures Research, University of Illinois at Urbana-Champaign.
13. Elam, E., and B.L. Dixon. 1988. "Examining the Validity of a Test of Futures Market Efficiency." Journal of Futures Markets 8: 365-72.
14. Engle, R.F., and C.W.J. Granger. 1987. "Co-Integration and Error Correction: Representation, Estimation, and Testing." Econometrica 55: 251-76.
15. Fackler, P.L., and B.K. Goodwin. 1999. "Spatial Price Analysis." Forthcoming. Handbook of Agricultural Economics. Amsterdam: North-Holland Press.
16. Fama, E.F. 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work." The Journal of Finance 25: 383-417.
17. Fama, E., and K. French. 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums and the Theory of Storage." Journal of Business 60: 55-73.
18. Fortenbery, T.R., and H.O. Zapata. 1993. "An Examination of Cointegration Relations Between Futures and Local Grain Markets." Journal of Futures Markets 13: 921-32.
19. Fortenbery, T.R., and H.O. Zapata. 1997. "An Evaluation of Price Linkages Between Futures and Cash Markets for Cheddar Cheese." Journal of Futures Markets 17: 279-301.
20. French, K.R. 1986. "Detecting Spot Price Forecasts in Futures Prices." Journal of Business 59: 39-54.
21. Garbade, K.D., and W.L. Silber. 1983. "Price Movements and Price Discovery in Futures and Cash Markets." Review of Economics and Statistics 65: 289-97.
22. Gardner, B.L. 1976. "Futures Prices in Supply Analysis." American Journal of Agricultural Economics 58: 81-84.
23. Haley, M. 2004. "Market Integration in the North American Hog Industries." Outlook Report No. LDPM12501. USDA, Economic Research Service, November 2004 available at: http://www.ers.usda.gov/ publications/ldp/nov04/ldpm12501/.
24. Hansen, L.P., and R.J. Hodrick. 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis." Journal of Political Economy 88: 829-53.
25. Hendry, D.F. 1995. Dynamic Econometrics. Oxford: Oxford University Press.
26. Holthausen, D.M. 1979. "Hedging and the Competitive Firm Under Price Uncertainty." American Economic Review 69: 989-95.
27. Johansen, S. 1988. "Statistical Analysis of Cointegration Vectors." Journal of Economic Dynamics and Control 12: 231-54.
28. Johansen, S. 1990. "The Power Function for the Likelihood Ratio Test for Cointegration." Institute of Mathematical Statistics, University of Copenhagen.
29. Johansen, S. 1991. "Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models." Econometrica 59: 1551-80.
30. Johansen, S., and K. Juselius. 1990. "Maximum Likelihood Estimation and Inference on Cointegration-With Applications to the Demand for Money." Oxford Bulletin of Economics and Statistics 52: 169-210.
31. Kamara, A. 1982. "Issues in Futures Markets. A Survey." Journal of Futures Market 2: 261-94.
32. Kofi, T. 1973. "A Framework for Comparing the Efficiency of Futures Markets." American Journal of Agricultural Economic 55: 584-94.
33. Lai, K.S, and M. Lai. 1991. "A Cointegration Test for Market Efficiency." Journal of Futures Markets 11: 567-75.
34. Lawrence, J.D., T.C. Schroeder, and M.L. Hayenga. 2001. "Evolving Producer-Packer-Customer Linkages in the Beef and Pork Industries." Review of Agricultural Economics 23(2): 370-85.
35. Leuthold, R.M. 1974. "The Price Performance on the Futures Markets of a Nonstorable Commodity: Live Beef Cattle." American Journal of Agricultural Economics 55: 271-9.
36. Leuthold, R.M., and P.A. Hartmann. 1979. "A Semi-Strong Form Evaluation of the Efficiency of the Hog Futures Market." American Journal of Agricultural Economics 61: 482-9.
37. Liu, P.C., and G.S Maddala. 1992. "Rationality of Survey Data and Tests for Market Efficiency in the Foreign Exchange Markets." Journal of International Money and Finance 11: 366-81.
38. Martin, L., and P. Garcia. 1981. "The Price-Forecasting Performance of Futures Markets for Live Cattle and Hogs: A Disaggregated Analysis." American Journal of Agricultural Economics 63: 209-15.
39. Osterwald-Lenum, M. 1992. "A Note With Fractiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics: Four Cases." Oxford Bulletin of Economics and Statistics 54: 461-72.
40. Purcell, W.D., and M.A. Hudson. 1985. "The Economic Roles and Implications of Trade in Livestock Futures." In A.E. Peck, ed. Futures Markets: Regulatory Issues, pp. 329-376. Washington: American Enterprise Institute for Public Policy Research.
41. Quan, J. 1992. "Two-Step Testing Procedure for Price Discovery Role of Futures Prices." Journal of Futures Markets 12: 139-49.
42. Sabuhoro, J.B., and B. Larue. 1997. "The Market Efficiency Hypothesis. The Case of Coffee and Coca Futures." Agricultural Economics 16: 171-84.
43. Schwartz, T.V., and A.C. Szakmary. 1994. "Price Discovery in Petroleum Markets. Arbitrage, Cointegration, and the Time Interval of Analysis." Journal of Futures Markets 14: 147-67.
44. Schroeder, S.T., and K. Dhuyvetter. 1999. "Forecasting Performance of Storable and Non-Storable Commodities." NCR-134 Proceedings. pp. 317-33.
45. Schroeder, T.C., and B.K. Goodwin. 1991. "Price Discovery and Cointegration for Live Hogs." Journal of Futures Markets 11: 685-96.
46. Skadberg, J.M., and G.A. Futrell. 1966. "An Economic Appraisal of Futures Trading in Livestock." Journal of Farm Economics 48: 1485-9.
47. Taylor, M.P. 1995. "The Economics of Exchange Rates." Journal of Economic Literature 33: 13-47.
48. Tomek, W.G. 1997. "Commodity Futures Prices as Forecasts." Review of Agricultural Economics 19: 23-44.
49. Tomek, W.G., and R.W. Gray. 1970. "Temporal Relationships Among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Roles." American Journal of Agricultural Economics 48: 372-80.
50. Williams, Jeffrey. 2001. "Commodity Futures and Options." In Bruce L. Gardner, and Gordon C. Rausser eds. Vol. II of Handbook of Agricultural Economics. North-Holland: Amsterdam, pp. 745-816.
51. Yang, J., D.A. Bessler, and D.J. Leatham. 2001. "Asset Storability and Price Discovery in Commodity Futures Markets: A New Look." Journal of Futures Markets 21: 279-300.
52. Zapata, H.O., and T.R. Fortenbery. 1996. "Stochastic Interest Rates and Prices Discovery in Selected Commodity Markets." Review of Agricultural Economics 18: 643-54.
53. Zapata, H.O., and A.N. Rambaldi. 1997. "Monte Carlo Evidence on Cointegration and Causation." Oxford Bulletin of Economics and Statistics 59: 285-98.