This research investigates various unresolved issues regarding futures markets, using formal meth... more This research investigates various unresolved issues regarding futures markets, using formal methods appropriate for inferring causal relationships from observational data when some relevant quantities are hidden. We find no evidence supporting the generalized version of Keynes's theory of normal backwardation. We find no evidence supporting theories that predict that the level of activity of speculators or uninformed traders affects the level of price volatility, either positively or negatively. Our evidence strongly supports the mixture of distribution hypothesis (MDH) that trading volume and price volatility have one or more latent common causes, resulting in their positive correlation.
In this paper we examine dynamic relationships among wheat prices from five countries for the yea... more In this paper we examine dynamic relationships among wheat prices from five countries for the years 1981-1999. Error correction models and directed acyclic graphs are employed with observational data to sort-out the dynamic causal relationships among prices from major wheat producing regions: Canada, the European Union, Argentina, Australia, and the United States. An ambiguity related to the cyclic or acyclic
E-V studies traditionally have relied on historical data to calculate returns and variance. Histo... more E-V studies traditionally have relied on historical data to calculate returns and variance. Historical data may not fully reflect current conditions, particularly when decisions involve government-supported crops. This paper presents a method for calculating mean and variance using subjectively-estimated data. The method is developed for both government-supported and non-program crops. Comparisons to alternative methods suggest the approach provides reasonable accuracy.
Evaluations of generic advertising programs by commodity check-off programs involve analyses of c... more Evaluations of generic advertising programs by commodity check-off programs involve analyses of counterfactual scenarios in which advertising and promotion expenditures are set to zero over the program's history. In actual practice, the counterfactual is rarely realized. We present a case in which such a natural experiment occurred when generic advertising and promotion expenditures for U.S. orange juice were cut nearly to zero. Using structural econometric and autoregression models, we estimate losses in consumption and sales revenue and examine the time required for the market for orange juice to recover from the check-off's strategy of going nearly dark.
Andersson, Hans; see Lagerkvist, Carl-John Baudry, Marc; see Guyomard, Herve Bessler, David A. an... more Andersson, Hans; see Lagerkvist, Carl-John Baudry, Marc; see Guyomard, Herve Bessler, David A. and Dearmont, David. Ceteris Paribus: An evolution within agricultural econometrics 23(3): 262-280 Bourgeon, Jean-Marc and le Roux, Yves. Tenders for European cereal export: A structural approach 23(1): 5-26 Burton, Michael, Dorsett, Richard and Young, Trevor. Changing preferences for meat: Evidence from UK household data. 1973-93 23(3): 357-370 Carpentier, Alain; see Guyomard, Herve Crowe, Trevor J.; see Palaskas, ...
An efficient and reliable transportation system is important to the marketing of U.S. grain since... more An efficient and reliable transportation system is important to the marketing of U.S. grain since transport costs often account for a significant portion of the grain price in destination markets. Changes in a mode's transportation rate may divert the grain flow and ultimately influence prices in origin and destination markets. The objective of this paper is to explore the impact of transport rates on grain prices using a multi-destination, inter-temporal approach, which can better capture the dynamic influence of transportation rates on grain prices. Corn prices at two major port areas and selected domestic markets are included in the analyses as are barge rates on the Upper Mississippi and Illinois Rivers, rail rates linking selected production regions and domestic markets, and ocean rates linking the export ports to foreign markets. A multivariate time-series analysis and graphical models are employed to analyze monthly prices and transport rate series extending from January ...
This research investigates various unresolved issues regarding futures markets, using formal meth... more This research investigates various unresolved issues regarding futures markets, using formal methods appropriate for inferring causal relationships from observational data when some relevant quantities are hidden. We find no evidence supporting the generalized version of Keynes's theory of normal backwardation. We find no evidence supporting theories that predict that the level of activity of speculators or uninformed traders affects the level of price volatility, either positively or negatively. Our evidence strongly supports the mixture of distribution hypothesis (MDH) that trading volume and price volatility have one or more latent common causes, resulting in their positive correlation.
In this paper we examine dynamic relationships among wheat prices from five countries for the yea... more In this paper we examine dynamic relationships among wheat prices from five countries for the years 1981-1999. Error correction models and directed acyclic graphs are employed with observational data to sort-out the dynamic causal relationships among prices from major wheat producing regions: Canada, the European Union, Argentina, Australia, and the United States. An ambiguity related to the cyclic or acyclic
E-V studies traditionally have relied on historical data to calculate returns and variance. Histo... more E-V studies traditionally have relied on historical data to calculate returns and variance. Historical data may not fully reflect current conditions, particularly when decisions involve government-supported crops. This paper presents a method for calculating mean and variance using subjectively-estimated data. The method is developed for both government-supported and non-program crops. Comparisons to alternative methods suggest the approach provides reasonable accuracy.
Evaluations of generic advertising programs by commodity check-off programs involve analyses of c... more Evaluations of generic advertising programs by commodity check-off programs involve analyses of counterfactual scenarios in which advertising and promotion expenditures are set to zero over the program's history. In actual practice, the counterfactual is rarely realized. We present a case in which such a natural experiment occurred when generic advertising and promotion expenditures for U.S. orange juice were cut nearly to zero. Using structural econometric and autoregression models, we estimate losses in consumption and sales revenue and examine the time required for the market for orange juice to recover from the check-off's strategy of going nearly dark.
Andersson, Hans; see Lagerkvist, Carl-John Baudry, Marc; see Guyomard, Herve Bessler, David A. an... more Andersson, Hans; see Lagerkvist, Carl-John Baudry, Marc; see Guyomard, Herve Bessler, David A. and Dearmont, David. Ceteris Paribus: An evolution within agricultural econometrics 23(3): 262-280 Bourgeon, Jean-Marc and le Roux, Yves. Tenders for European cereal export: A structural approach 23(1): 5-26 Burton, Michael, Dorsett, Richard and Young, Trevor. Changing preferences for meat: Evidence from UK household data. 1973-93 23(3): 357-370 Carpentier, Alain; see Guyomard, Herve Crowe, Trevor J.; see Palaskas, ...
An efficient and reliable transportation system is important to the marketing of U.S. grain since... more An efficient and reliable transportation system is important to the marketing of U.S. grain since transport costs often account for a significant portion of the grain price in destination markets. Changes in a mode's transportation rate may divert the grain flow and ultimately influence prices in origin and destination markets. The objective of this paper is to explore the impact of transport rates on grain prices using a multi-destination, inter-temporal approach, which can better capture the dynamic influence of transportation rates on grain prices. Corn prices at two major port areas and selected domestic markets are included in the analyses as are barge rates on the Upper Mississippi and Illinois Rivers, rail rates linking selected production regions and domestic markets, and ocean rates linking the export ports to foreign markets. A multivariate time-series analysis and graphical models are employed to analyze monthly prices and transport rate series extending from January ...
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Papers by David Bessler