Progress 10/01/03 to 09/30/09
Outputs
OUTPUTS: This research project produced both basic and applied research. Outputs that reach people outside of academia are from the applied research part of the project. The applied research follows the land-grant model. Most of the applied research has been published jointly with Extension economists or scientists in other disciplines such as Plant Science, Biosystems Engineering, and Animal Science. The Extension economists have used the research in their Extension programs. In the case of interdisciplinary research, the scientists in other disciplines are the audience for our work as economists. For example, thirteen different Fact Sheets were produced from the research output. Presentations of the research were made to various organizations such as the Oklahoma Society of Farm Managers & Rural Appraisers, Farm Credit board of directors, and the Oklahoma Wheat Growers. PARTICIPANTS: The principal investigator of this project has remained B. Wade Brorsen. During the last five years, three MS students and three PhD students have graduated who were directly supported from this project. Four PhD and one MS student are currently working on this project, but only two of them are directly funded through this project. Research is currently underway in cooperation with the Samuel Roberts Noble Foundation, Inc. in Ardmore, OK. We are helping them refine their recommendations for nitrogen fertilization and lime application on rye-ryegrass pastures. Research is underway with Federal Reserve Bank of Kansas City. We are determining the accuracy of their survey of bankers' expectations regarding land prices. One key set of collaborators is Extension economists at Oklahoma State University. These include Kim Anderson, Damona Doye, Clem Ward, and Phil Kenkel. Collaborators in other departments include W.R. Raun and Brian Arnall in Plant Science, John Solie in Biosystems Engineering, and Gerald Horn in Animal Science. Collaborators at other universities include Darrell Mark, University of Nebraska, and Ardian Harri, Andrew Muhammad, and John Anderson at Mississippi State University. TARGET AUDIENCES: N/A PROJECT MODIFICATIONS: N/A
Impacts
One important finding of this research is that it is hard for producers to make much money from trying to time when they sell their output. This is important because it tells them that they can be more productive by putting their time and effort elsewhere. In terms of knowledge, the outcomes are too numerous to mention all of them. Only the research that was published in the final year of the project will be discussed. Wheat producers were more likely to sell after a price increase than after a price decrease. They were also more likely to sell when prices crossed a whole dollar threshold. Agricultural land prices near urban areas have increased more than land away from urban areas. This increase in land price is due to increased population and increased income rather than any changes in preferences for living away from city centers. The price of pasture land has increased relative to the price of cropland. This is due both to the increase in the deer population that has increased the recreation value of land as well as an increase in the demand for land for exurban development. Work on precision sensing of nitrogen needs continues to show that the present technology is at best breakeven for Oklahoma wheat producers. This has contributed to changes in the current algorithm in order to seek more precise recommendations. A new method of solving agent-based models was developed using particle-swarm optimization. An article was written discussing the alternative ways of measuring the impact of agricultural economics research. The conclusion is that all alternatives have major flaws. A strong argument was made that both disciplinary and real-world impact need to be considered. Disciplinary impacts can be measured with publications, citations, and grant dollars. Real-world impacts are best measured with verbal case studies (which appears to be the approach that is being used in these redesigned progress reports).
Publications
- Roberts, David Carlos. "Preferences for Environmental Quality Uncertainty and the Value of Precision Nitrogen Application." PhD dissertation, July 2009.
- Hatchett, Robert Braden. "Moving Average Basis Forecasting in the Presence of Structural Change." MS thesis. Oklahoma State University, May 2009.
- Klumpp, J.M., B.W. Brorsen, and K.B. Anderson. 2008. "Market Advisory Service Recommendations and Wheat Producer's Selling Decisions."
- Canadian Journal of Agricultural Economics. 56:117-128. Zhang, T., and B.W. Brorsen. 2009. "Particle Swarm Optimization Algorithm for Agent-Based Artificial Markets." Computational Economics. 34:339-417. Guiling, P., B.W. Brorsen, and D. Doye. 2009. "Effects of Urban Proximity on Agricultural Land Values." Land Economics.85:252-264.
- Biermacher, J., B.W. Brorsen, F.M. Epplin, W.R. Raun, and J.B. Solie. 2009. "The Potential for Precision Agriculture Based on Plant Sensing." Agricultural Economics. 40:397-407.
- Brorsen, B.W. 2009. "Research: Are We Valuing the Right Stuff" Journal of Agricultural and Resource Economics. 34:1-10.
- Guiling, P., D. Doye, and B.W. Brorsen. 2009. "Agricultural, Recreational, and Urban Influences on Agricultural Influences on Agricultural Land Prices." Agricultural Finance Review. 69:196-205.
- Biermacher, J.T., F. Epplin, J. Solie, W.R. Raun, B.W. Brorsen, and M.L. Stone. 2009. "Economic Feasibility of Site Specific Optical Sensing for Managing Nitrogen Fertilizer for Growing Wheat." Precision Agriculture 10(3):213-230.
- Guiling, P., D. Doye, and B.W. Brorsen. 2009. "Why Has the Price of Pasture Increased Relative to the Price of Cropland" Journal of American Society of Farm Managers and Rural Appraisers. 73:99-111.
- Mark, D.R., B.W. Brorsen, K.B. Anderson, and R.M. Small. 2008. "Price Risk Management Alternatives for Farmers in the Absence of Forward Contracts with Grain Merchants." Choices 2nd Quarter. Available at http://www.choicesmagazine.org/magazine/article.phparticle=27.
- Anderson, K.B., and B.W. Brorsen. 2009. " U.S. Wheat Marketing System and Price Discovery." In B.F. Carver (ed.) Wheat: Science and Trade. Ames, IA: Wiley-Blackwell Publishing.
- Guiling, P., D. Doye, and B.W. Brorsen. 2008. "The Environment for Oklahoma Agricultural Land Values, Past and Present." Oklahoma Cooperative Extension Service Fact Sheet AGEC-250.
- Guiling, P., D. Doye, and B.W. Brorsen. 2008. "Farm and Non-farm Influences on Agricultural Land Values." Oklahoma Cooperative Extension Service Fact Sheet AGEC-251.
- Guiling, P., D. Doye, and B.W. Brorsen. 2008. "Oklahoma Agricultural Crop versus Pasture Land Values." Oklahoma Cooperative Extension Service Fact Sheet AGEC-253.
- Guiling, P., D. Doye, and B.W. Brorsen. 2008. "The Environment for Oklahoma Agricultural Land Values, Past and Present." Oklahoma Cooperative Extension Service Fact Sheet AGEC-250.
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Progress 10/01/07 to 09/30/08
Outputs
OUTPUTS: A major objective of this project is to seek a better understanding of farmer marketing decisions. The research completed this year address several specific issues. First, previous research had suggested that women market their grain in a less risky way than men, but the finding was not supported using data from Oklahoma. Producers sell wheat slightly more often at prices that end in a zero, which is likely due to producers selecting round numbers when submitting limit orders. Previous research had suggested that data aggregation could explain the apparently low returns to storage, but this hypothesis was not supported using data from Oklahoma. Oklahoma producers appear to store longer than makes economic sense and research completed this year finds that real option values from waiting to sell cannot explain why producers appear to store too long. A theory was developed to explain the rationale of hedging only when a satisfactory return can be locked in. A secondary goal of this project is to provide new methods and evaluate existing methods in order to provide more precise answers in subsequent research. Random restarts was shown to be nearly as good at finding a global optimum neural network as much more expensive global optimization methods such as genetic algorithms and simulated annealing. A new stochastic linear plateau production function was derived and tested. The functional form is consistent with the concepts behind the production function implicitly assumed by the precision sensing team at Oklahoma State. Work has begun on related topics such as determining the liquidity costs of trading options contracts relative to trading futures contracts, developing a new theory of basis based on the law of one price, as well as using the stochastic plateau model to address additional precision sensing questions. PARTICIPANTS: Individuals: former and present graduate students, Gelson Tembo, Emilio Tostao, L.T. Cuttingham, Jodi Klumpp, Lonnie Hamm, T. Zhang and H.S. Kim. Kim Anderson (OSU Ag. Economics), Francis Epplin (OSU Ag. Economics) TARGET AUDIENCES: Targeted audiences include agricultural producers interested to seek a better understanding of farmer marketing decisions and state and federal agency representatives. PROJECT MODIFICATIONS: Nothing significant to report during this reporting period.
Impacts
A number of empirical observations were made about how producers sell wheat. Producers are slightly more likely to sell wheat at prices that end in a zero and women were not found to be any better at marketing wheat than were men. Research continues to find that producers have little ability to forecast prices and so they should concentrate on reducing price risk and responding to market signals.
Publications
- Tembo, G., B.W. Brorsen, F.M. Epplin, and E. Tostao. 2008. "Crop Input Response Functions with Stochastic Plateaus." American Journal of Agricultural Economics. 90:424-434.
- Cunningham, L.T. III, B.W. Brorsen, K.B. Anderson, and E. Tostao. 2008. "Gender Differences in Marketing Styles." Agricultural Economics. 38:1-7.
- Klumpp, J.M., B.W. Brorsen, and K.B. Anderson. 2007. "Producers Preferences for Round Number Prices." Agricultural Finance Review. 67:377-385.
- Hamm, L., B.W. Brorsen, and M. Hagan. 2007. "Comparison of Stochastic Global Optimization Methods to Estimate Neural Network Weights." Neural Processing Letters. 26:145-158.
- Klumpp, J.M., B.W. Brorsen, and K.B. Anderson. 2007. "Returns to Storage: Does Aggregation Matter" Journal of Agricultural and Applied Economics. 39(December):571-579.
- Zhang, T. 2008. "Agent-Based Artificial Markets." PhD dissertation, Oklahoma State University.
- Kim, H.S. 2008. "Making Grain Price Decisions Based on Profit Margin Hedging and Real Option Values." PhD dissertation, Oklahoma State University.
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Progress 10/01/06 to 09/30/07
Outputs
The main purpose of this project is to seek a better understanding of producer marketing decisions. Tests of performance persistence have found that wheat producers all receive about the same price on average and thus no producers appear to have the ability to predict prices better than other producers. It appears that producers follow a variety of strategies, which is not surprising given that one strategy is about as good as another.
Impacts
Work has begun on related topics such as estimating the transaction costs of hedging using futures options. A related topic is determining the best way to predict the cash-futures basis.
Publications
- Cunningham, L.T. III, B.W. Brorsen, K.B. Anderson. 2007. "Cash Marketing Styles and Performance Persistence." American Journal of Agricultural Economics. 89:624-636.
- Kaitibie, S., W.E. Nganje, B.W. Brorsen, and F.M. Epplin, 2007. "A Cox Parametric Bootstrap Test of the von Liebig Hypothesis." Canadian Journal of Agricultural Economics.55:15-25.
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Progress 10/01/05 to 09/30/06
Outputs
The main purpose of this project is to seek a better understanding of farmer marketing decisions. The research so far has found that farmers all receive about the same price on average and thus no farmers appear to have the ability to predict prices better than other farmers. But, the research does show that some farmers store beyond the point where it is economical to do so. An extension program has begun to encourage Oklahoma producers to sell in the first half of the marketing year.
Impacts
Work has begun on related topics such as developing the theory of profit-margin hedging, which has often been suggested to producers. A related topic is determining the real option value of continuing to store grain to see if the real option value can explain why producers appear to store too long.
Publications
- Anderson, K.B., and B.W. Brorsen, 2005. "Marketing Performance of Oklahoma Farmers." American Journal of Agricultural Economics 87:1265-1270.
- Biermacher, J., F.M. Epplin, B.W. Brorsen, J.B. Solie, and W.R. Raun, 2006. "Maximum Value of a Precise Nitrogen Application System for Wheat." Precision Agriculture. 7-3:193-204.
- Tostao, E., and B.W. Brorsen, 2005. "Spatial Price Efficiency in Mosambiques Post-Reform Maize Markets." Agricultural Economics. 33:205-214.
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Progress 10/01/04 to 09/30/05
Outputs
The work in the last year has focused on seeking a better understanding of farmer marketing. Farmers are more likely to sell their wheat at round numbers, but the effect is much less than observed in many other markets. Producer sales are negatively correlated with market advisory service recommendations, but are strongly correlated with expected returns to storage as measured by futures market spreads. The returns to storage in Oklahoma wheat turn negative after November, which provides further evidence that some producers store too long.
Impacts
The main purpose of this project is to seek a better understanding of farmer marketing decisions. The research so far has found that farmers all receive about the same price on average and thus no farmers appear to have the ability to predict prices better than other farmers.
Publications
- Yoon, B.S., and B.W. Brorsen, 2005. "Can Multiyear Rollover Hedging Increase Mean Returns?" Journal of Agricultural and Applied Economics. 37:65-78.
- Buguk, C., and B. Wade Brorsen, 2005. "Is a Futures Market Viable in Turkey? The Case of a Cotton Futures Market." Journal of International Food and Agribusiness Marketing. 17:135-150.
- Klumpp, J.M. "Using Actual Producer Transactions to Determine Producer Market Timing." MS thesis, Oklahoma State University, July 2005.
- Anderson, K.B., and B.W. Brorsen, 2005. "New Facts on the Marketing Performance of U.S. Farmers." American Journal of Agricultural Economics 87:forthcoming.
- Richter, F.G.C., and B.W. Brorsen, 2005. "Aggregate vs. Disaggregate Data in the Measurement of School Quality." Journal of Productivity Analysis. Forthcoming.
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Progress 10/01/03 to 09/30/04
Outputs
The work in the last year has focused on seeking a better understanding of farmer marketing. Returns to technical analysis were shown to have decreased and this only serves to support previous recommendation that this marketing tool is not of value to farmers. Some market advisors have advocated rollover hedging as a way of increasing farmer income, but support for this recommendation was not found. Research with managed strategies such as hedge funds and managed futures has shown a small amount of performance persistence, but not enough to recommend managed strategies for farmers. No performance persistence was found in the ability of Oklahoma wheat farmers to decide the best time of the year to sell wheat, but some evidence was found that farmers on average store too long. There were also no gender differences in terms of average price received by Oklahoma wheat producers. Thus, there appears to be no marketing strategies that can help wheat producers achieve a
higher price other than advising them to sell sometime in the first five months after harvest.
Impacts
The main purpose of this project is to seek a better understanding of farmer marketing decisions. The research so far has found that farmers all receive about the same price on average and thus no farmers appear to have the ability to predict prices better than other farmers.
Publications
- Buguk, C., and B. Wade Brorsen, 2004. "Is a Futures Market Viable in Turkey?: The Case of a Cotton Futures Market." Journal of International Food and Agribusiness Management. Forthcoming.
- Richter, F.G.C., and B.W. Brorsen, 2004. Aggregate vs. Disaggregate Data in the Measurement of School Quality." Journal of Productivity Analysis. Forthcoming.
- Yoon, B.S., and B.W. Brorsen, 2004. "Can Rollover Hedging Increase Mean Returns?" Journal of Agricultural and Applied Economics. Forthcoming.
- Norwood, B., J. Lusk, and B.W. Brorsen, 2004. "Forecasting Limited Dependent Variables: Better Statistics for Better Steaks." Journal of Agricultural and Resource Economics. Forthcoming.
- Buguk, C., and B. W. Brorsen, 2004. "Seller and Buyer Satisfaction and Participation in Turkeys Wheat Exchanges." Journal of International Food and Agribusiness Management. Forthcoming.
- Tostao, E., and B.W. Brorsen, 2004. "Spatial Price Efficiency in Mozambiques Post-reform Maize Markets." Agricultural Economics, forthcoming.
- Kidd, W. V., and B. W. Brorsen, 2004. "Why Have the Returns to Technical Analysis Decreased?" Journal of Economics and Business. 56:159-176.
- Harri, A., and B.W. Brorsen, 2004. "Performance Persistence of Hedge Funds." Applied Financial Economics. 14:131-142.
- Townsend, J.P., and B.W. Brorsen, 2004. "Performance of Managed Futures: Persistence and the Source of Returns." Commodity Trading Advisors: Risk, Performance Analysis and Selection. G.N. Gregoriou, V.N. Karavas, F.S. Lhabitant, and F. Rouah eds. Hoboken, N.J.: John Wiley & Sons, pp. 31-48..
- Harri, A., and B.W. Brorsen, 2004. "The Optimal Investment Strategy." Hedge Funds: Strategies, Risk Assessment, and Returns. G.N. Gregoriou, V.N. Karavas, and F. Rouah, eds., Washington DC: Beard Books, pp. 63-70.
- Cunningham, Lewis Theophilus. "Explaining Differences in Prices Received by Farmers: Testing Theory Based on Actual Farmer Transactions." MS thesis, Oklahoma State University, December 2004.
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Progress 10/01/02 to 09/30/03
Outputs
Work has continued evaluating the efficiency of markets and institutions. Most of the work has been empirical regarding specific markets and institutions. Empirical work has generally found small inefficiencies in markets and large inefficiencies from government interventions in markets. For example, a ban on subtherapeutic antibiotics would cause substantial increases in production costs. Other findings include: (i) the optimal stocking density for grazing winter wheat is the one that allows nearly all of the forage to be consumed, (ii) the Istanbul stock market is weak-form efficient, (iii) using sociological incentives can be a substitute for economic incentives when motivating graders to follow grading standards, (iv) inverted markets are a signal for producers to sell grain, (v) a parametric bootstrap is an effective means of selecting between AIDS and Rotterdam functional forms in demand analysis, (vi) benefits from increased milling yield are not sufficient to
pay for the costs of segregating wheat to increase kernel uniformity, (vii) spending money on teachers and classroom supplies slightly increases student performance, but money spent on administration, counseling, etc. does not increase student performance and may even decrease performance, and (viii) random restarts is the preferred method of obtaining the global optimum of an objective function.
Impacts
Agricultural producers want to know when they should sell their crop. The purpose of the research is to learn more about what factors can explain why farmers choose to sell their grain when they do.
Publications
- Kaitibie, S., F. Epplin, B. W. Brorsen, G. Horn, E. Kaiser, 2003. "Optimal Stocking Density for Dual-Purpose Winter Wheat Production." Journal of Agricultural and Applied Economics. 35:1
- Buguk, C., and B. Wade Brorsen, 2003. "Testing Weak-Form Market Efficiency: Evidence from the Istanbul Stock Exchange." International Review of Financial Analysis. 12:579-590.
- Richter, F.G-C., Pebe Diaz, E.F., B.W. Brorsen and K. Currier, 2003. "Using Both Sociological and Economic Incentives to Reduce Moral Hazard." Journal of Agricultural and Resource Economics. 28:364-373.
- Brorsen, B. W., T. Lehenbauer, D. Ji, and J. Connor, 2002. "Economic Impacts of Banning Subtherapeutic Use of Antibiotics in Swine Production." Journal of Agricultural and Applied Economics, 34:489-500.
- Hamm, Lonnie Kent. "A Comparison of Stochastic Global Optimization Methods: Estimating Neural Network Weights." Ph.D. dissertation, Oklahoma State University, August 2003.
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Progress 10/01/01 to 09/30/02
Outputs
Several additional results were obtained regarding the efficiency of markets and institutions. The returns from segregating wheat by protein were found to be $0.03/bu., which is below the cost of segregating for smaller elevators. Market inversions were found to be a signal to sell grain. A new nonnested test was derived to test among alternative functional forms in demand analysis. Sorting to increase wheat kernel uniformity can increase milling yield, but not enough to pay for the cost of the sorting. Money spent on teaching was shown to have a small effect on student performance, but money spent on administration or counseling did not. The practice of rounding off to the nearest whole number when grading peanuts should be discontinued because it leads to errors in grading peanuts. There is performance persistence among commodity trading advisors since some advisors consistently outperform others. One cause of the decreased returns to technical analysis is decreased
price volatility. Spatial price arbitrage in Mozambique is efficient and so policy makers must look elsewhere in seeking to solve the hunger problem.
Impacts
(N/A)
Publications
- Sivaraman, E., C.P. Lyford, and B.W. Brorsen, 2002. "Optimal Grain Blending and Segregation." Journal of Agribusiness, 20:155-161.
- Yoon, B.S., and B.W. Brorsen, 2002. "Market Inversion in Commodity Futures Prices." Journal of Agricultural and Applied Economics. In Press.
- Dameus, A., F.G.C. Richter, B. W. Brorsen and K. P. Sukhdial, 2002. "AIDS versus the Rotterdam Demand Model: A Cox Test with Parametric Bootstrap." Journal of Agricultural and Resource Economics. In Press.
- Yoon, B.S., B.W. Brorsen, and C.P. Lyford, 2002. "Value of Increasing Kernel Uniformity." Journal of Agricultural and Resource Economics. In Press.
- Jacques, C., and B. W. Brorsen, 2002 "The Relationship between Student Achievement Test Scores and Where Schools Spend Their Money." Applied Economics Letters. In Press.
- Pebe Diaz, E.F., B.W. Brorsen, K.B. Anderson, F.G.C. Richter, and P. Kenkel, 2002. "The Effect of Rounding on the Probability Distribution of Regrading in the U. S. Peanut Industry." Journal of Agribusiness, 20:103-116.
- Brorsen, B.W., and J.T. Townsend, 2002. "Performance Persistence for Managed Futures." Journal of Alternative Investments, 4:57-61.
- Kidd, Willis Victor. "Can Structural Change Explain the Decrease in Returns to Technical Analysis." M.S. Thesis, Oklahoma State University, July 2002.
- Tostao, Emilio. "Spatial Arbitrage Efficiency and Maize Price Dynamics in Mozambique." M.S. Thesis, Oklahoma State University, May 2002.
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Progress 10/01/00 to 09/30/01
Outputs
The main requirement for a successful agricultural futures market is that there be an active cash market for the underlying commodity. The optimal feeder cattle price slide is always greater than the market's discount for weight. The advantage of a GARCH option-pricing model over established methods is small. The rounding of measurements in peanut grading should be discontinued since rounding introduces error, causes graders to have to regrade over 4 percent of the time, and provide an incentive for graders to begin with overweight samples. Incentive fees for fund managers should be accompanied by a fixed management fee or else the manager will have an incentive to adopt extremely risky strategies. Consolidating rural school districts would save money, but would decrease the academic performance of students transferred to larger districts.
Impacts
(N/A)
Publications
- Yoon, Byung Sam. ''Essays on Rollover Hedging, Value of Increasing Kernel Uniformity, and Market Inversion in Commodity Futures Prices.'' Ph.D. dissertation, Oklahoma State University, December 2000.
- Buguk, Cumhur. ''Three Essays on Price Analysis, Market Efficiency, and Commodity Exchanges.'' Ph.D. dissertation, Oklahoma State University, December 2000.
- Richter, Francisca. ''Expected Fees for Managed Futures, Optimal Feeder Cattle Price Slides, and Aggregate vs. Disaggregate Data in Measuring School Effectiveness.'' Ph.D. dissertation, Oklahoma State University, December 2000.
- Ji, Dasheng. ''A General Lattice Approach to Pricing American Options with Nonlognormal Distributions.'' Ph.D. dissertation, Oklahoma State University, December 2000.
- Brorsen, B.W. and N.F. Fofana, 2001. ''Success and Failure of Agricultural Futures Contracts.'' Journal of Agribusiness, 19:129-145.
- Brorsen, B.W., N. Coulibaly, F. G.-C. Richter, and D. V. Bailey, 2001. ''Feeder Cattle Price Slides.'' Journal of Agricultural and Resource Economics, 26:291-308.
- N'Zue. F. F. and B.W. Brorsen, 2001. ''GARCH Option Pricing with Implied Volatility.'' Applied Economics Letters, 8:335-340.
- Pebe Diaz, E.F., B.W. Brorsen, K.B. Anderson, and Phil Kenkel, 2001. ''Effects of Overweight Samples and Rounding of Grade Percentages on Peanut Grades and Prices.'' Peanut Science, 28:9-12.
- Richter, F. G.-C., and B.W. Brorsen, 2000. ''Expected Incentive Fees for Managed Futures: A Continuous-Time Model with a Knockout Feature.'' Applied Mathematical Finance, 7:115-125.
- Jacques, C., B.W. Brorsen, and F. G.-C. Richter, 2000. ''Consolidating Rural School Districts: Potential Savings and Effects on Student Achievement.'' Journal of Agricultural and Applied Economics 32:573-583.
- B. D. Adam, Betts, S., and B. W. Brorsen, 2000. ''Effects of Reduced Government Deficiency Payments on Post-Harvest Wheat Marketing Strategies.'' Journal of Futures Markets, 20:243-263.
- Yoon, Byung Sam. ''Essays on Rollover Hedging, Value of Increasing Kernel Uniformity, and Market Inversion in Commodity Futures Prices.'' Ph.D. dissertation, Oklahoma State University, December 2000.
- Buguk, Cumhur. ''Three Essays on Price Analysis, Market Efficiency, and Commodity Exchanges.'' Ph.D. dissertation, Oklahoma State University, December 2000.
- Richter, Francisca. ''Expected Fees for Managed Futures, Optimal Feeder Cattle Price Slides, and Aggregate vs. Disaggregate Data in Measuring School Effectiveness.'' Ph.D. dissertation, Oklahoma State University, December 2000.
- Ji, Dasheng. ''A General Lattice Approach to Pricing American Options with Nonlognormal Distributions.'' Ph.D. dissertation, Oklahoma State University, December 2000.
- Brorsen, B.W. and N.F. Fofana, 2001. ''Success and Failure of Agricultural Futures Contracts.'' Journal of Agribusiness, 19:129-145.
- Brorsen, B.W., N. Coulibaly, F. G.-C. Richter, and D. V. Bailey, 2001. ''Feeder Cattle Price Slides.'' Journal of Agricultural and Resource Economics, 26:291-308.
- N'Zue. F. F. and B.W. Brorsen, 2001. ''GARCH Option Pricing with Implied Volatility.'' Applied Economics Letters, 8:335-340.
- Pebe Diaz, E.F., B.W. Brorsen, K.B. Anderson, and Phil Kenkel, 2001. ''Effects of Overweight Samples and Rounding of Grade Percentages on Peanut Grades and Prices.'' Peanut Science, 28:9-12.
- Richter, F. G.-C., and B.W. Brorsen, 2000. ''Expected Incentive Fees for Managed Futures: A Continuous-Time Model with a Knockout Feature.'' Applied Mathematical Finance, 7:115-125.
- Jacques, C., B.W. Brorsen, and F. G.-C. Richter, 2000. ''Consolidating Rural School Districts: Potential Savings and Effects on Student Achievement.'' Journal of Agricultural and Applied Economics 32:573-583.
- B. D. Adam, Betts, S., and B. W. Brorsen, 2000. ''Effects of Reduced Government Deficiency Payments on Post-Harvest Wheat Marketing Strategies.'' Journal of Futures Markets, 20:243-263.
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Progress 10/01/99 to 09/30/00
Outputs
Extension economists want marketing strategies that both increase income and decrease risk. Because markets are very close to being efficient, research has not produced such strategies. This conflict may partly explain the general unhappiness of extension economists regarding research in professional journals. The marketing strategy recommended for farmers is to quit trying to forecast prices and adopt mechanical marketing strategies such as always selling at harvest. Forward contracting of wheat was found to cost farmers a few cents a bushel. Neural networks were not successful in forecasting futures prices. Previous models used to support generic beef advertising were found to be fragile with changes in data source and functional form. Accuracy of peanut grading could be greatly improved by doing away with rounding of grade categories.
Impacts
(N/A)
Publications
- Townsend, J.P., and B.W. Brorsen, 2000. "The Cost of Forward Contracting Hard Red Winter Wheat." Journal of Agricultural and Applied Economics, 32:89-94.
- Arias, J. S., B. W. Brorsen, and A. Harri, 2000. "Optimal Hedging under Price, Basis, Production, and Financial Risk." Journal of Futures Markets, 20:375-396.
- Hamm, L., and B. W. Brorsen, 2000. "Trading Futures Markets Based on Signals from a Neural Network." Applied Economics Letters, 7:137-140.
- Coulibaly, N., and B.W. Brorsen, 1999. "Explaining the Differences between Two Previous Meat Generic Advertising Studies." Agribusiness, 15:501-515.
- Brorsen, B. W. and K. Anderson, 1999. "The Connections between Research and Teaching in Extension Marketing." Journal of Agribusiness, 17:135-148.
- Brorsen, B.W., 2000. "Economically Rational Marketing Strategies." Visions, 73(1):9-12.
- Pebe Diaz, Edgar F. "Refining the U.S. Peanut Grading System." Ph.D. dissertation, Oklahoma State University, December 1999.
- Harri, Ardian. "Overlapping Data and Hedge Funds." Ph.D. dissertation, Oklahoma State University, December 1999.
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Progress 10/01/98 to 09/30/99
Outputs
Preharvest marketing strategies are not able to increase producer income. The USDA beef and pork production forecasts have become more accurate over time. A component pricing system was developed to price pork carcasses. A promising new approach of testing nonnested hypotheses was developed. Consolidating rural Oklahoma school districts would save money, but would lower student learning.
Impacts
(N/A)
Publications
- Jacques, C., B.W. Brorsen, and F.G.C. Richter, 1998. "Likely Effects of Consolidating Oklahoma Rural School Districts." Oklahoma Current Farm Economics, 71(3):3-13.
- Brorsen, B.W., 1998. "Can Preharvest Marketing Strategies Be Used to Increase Income" Review of Agricultural Economics, 20:286-287.
- Brorsen, B.W., J.T. Akridge, Michael A. Boland, Sean Mauney, Linda D. Whipker, and John C. Forrest, 1998. "Performance of Alternative Component Pricing Systems for Pork." Journal of Agricultural and Applied Economics, 30:313-324.
- Bailey, D.V., and B.W. Brorsen, 1998. "Trends in the Accuracy of USDA Production Forecasts for Beef and Pork." Journal of Agricultural and Resource Economics, 23:515-526.
- Samikwa, D., B.W. Brorsen, and L.D. Sanders, 1998. "Hedonic Prices of Malawi Burley Tobacco." International Food and Agribusiness Management Review, 1:107-117.
- Coulibaly, N. and B. W. Brorsen, 1999. "A Monte Carlo Sampling Approach to Testing Separate Families of Hypotheses: Monte Carlo Results." Econometric Reviews, 18:195-209.
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Progress 10/01/97 to 09/30/98
Outputs
Work continues in seeking ways to improve the efficiency of agricultural markets and institutions. Work was completed on designing a component pricing system for pork that had been requested by the National Pork Producers Council. The Kansas City futures market was shown to be a better place to hedge hard red winter wheat than the Chicago futures market. Work to improve available methods included a new nonparametric method of smoothing across space, a new way to conduct nonnested hypothesis tests, and research which showed that neural networks had limited usefulness in forecasting agricultural prices.
Impacts
(N/A)
Publications
- Lee, Jung-Hee and B. Wade Brorsen, 1997. "A Cox-Type Non-Nested Test for Time Series Models." Applied Economics Letters, 4:765-768.
- Brorsen, B.W., D.V. Bailey, and M.R. Thompson, 1997. "Mapping Market Areas Using Nonparametric Smoothing." Geographical Analysis, 29:214-231.
- Brorsen, B. W., D. W. Buck, and S. R. Koontz, 1998. "Hedging Hard Red Winter Wheat: Kansas City versus Chicago." Journal of Futures Markets, 18:449-466.
- Coulibaly, N., and B.W. Brorsen, 1998. "Confirmation and Misspecification Testing of Generic Advertising Econometric Studies." Journal of Food Products Marketing, 5:17-28.
- Coulibaly, Nouhoun, 1997. "Essays on Nonnested Hypothesis Testing, Optimal Price Slides in feeder Cattle Contracts, and Generic Meant Advertising." Ph.D. dissertation, Oklahoma State University.
- Townsend, J.P., May 1998. "Performance Persistence in Managed Futures Funds." Unpublished Ph.D. dissertation, Oklahoma State University
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Progress 10/01/96 to 09/30/97
Outputs
The potential of using new techniques to obtain more accurate forecasts was explored. These techniques include using an asymmetric generalized autoregressive heteroskedasticity model to forecast option premiums and using a neural network to forecast hog prices. Although the new techniques were better, their advantage was very small. Their advantage does not appear to outweigh the costs of using them and therefore it is recommended that forecasters continue to use the simpler techniques.
Impacts
(N/A)
Publications
- Hamm, Lonnie and B. Wade Brorsen, 1997. "Forecasting Hog Prices with a Neural Network." Journal of Agribusiness, 15:37-54.
- Kang, Taehoon and B. Wade Brorsen, 1996. "Conditional Heteroskedasticity, Asymmetry, and Option Pricing." Journal of
- Stiegert, K.W., and B.W. Brorsen, 1996. "The Distribution of Futures Prices: Diffusion-Jump vs. Generalized Beta-2." Applied Economics
- Brorsen, B. Wade, Carl Garrison, Brian D. Adam, and Mike Dicks, 1996. "Nonresponse Bias Corrections for the 1990 SWCS Survey of Conservation Reserve Program Contract Holders." Review of
- Brorsen, B. Wade, Michael R. Dicks, and W. Bryan Just, 1996. "Regional and Farm Structure Effects of Planting Flexibility." Review of Agricultural Economics, 18:341-351.
- Djunaidi, H., B.W. Brorsen, and D.S. Tilley, 1996. "Cointegration and Causality Tests in the Cocoa Market." Jurnal Munajemen Prasetiya
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Progress 10/01/95 to 09/30/96
Outputs
An option pricing model based on assuming prices follow a generalized autoregressive conditional heteroskedastic process performs slightly better than the traditional Black option pricing model. Among distributions which assume independence, the diffusion-jump process provides a more accurate fit of futures prices than the generalized beta-2. A new efficiency criterion was developed which can be used to rank risky choices and is consistent with prospect theory. Nonresponse bias was shown to be relatively minor in the 1990 Soil and Water Conservation Service survey of Conservation Reserve Program contract holders. Much of agricultural economists' research on price forecasting and marketing strategies has not been used by those in the real world. A new theoretical paradigm, noisy rational expectations, needs to be adopted. This paradigm suggests that gains from using price forecasting models with public data or from using a marketing strategy are possible, but any gains
will likely be small.
Impacts
(N/A)
Publications
- Kang, Taehoon and B. Wade Brorsen, 1996. "Conditional Heteroskedasticity, Asymmetry, and Option Pricing." Journal of Futures Markets, 15:901-928.
- Kang, Taehoon, B. Wade Brorsen, and Brian D. Adam, 1996. "A New Efficiency Criterion: The Mean-Separated Target Deviations Risk Model." Journal of Economics and Business, 1:47-66.
- Jekanowski, M.D., J.T. Akridge, B.W. Brorsen, S. Mauney, and A. Schinckel, 1996."Measuring the Effects of PST on Swine Carcass Value." Review of Agricultural Economics, 18:21-30.
- Brorsen, B. Wade, Carl Garrison, Brian D. Adam, and Mike Dicks, 1996. "Nonresponse Bias Corrections for the 1990 SWCS Survey of Conservation Reserve Program Contract Holders." Review of Agricultural Economics, 18:669-680.
- Brorsen, B. Wade, Michael R. Dicks, and W. Bryan Just, 1996. "Regional and Farm Structure Effects of Planting Flexibility." Review of Agricultural Economics, 18:341-351.
- Brorsen, B.W., and S.H. Irwin, 1996. "Improving the Relevance of Research on Price Forecasting and Marketing Strategies." Agricultural and Resource Economics Review, 25:68-75.
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Progress 10/01/94 to 09/30/95
Outputs
A new theory of hedging was proposed which sought to achieve optimal hedging recommendations close to what people really do. Target prices were modeled as an average option. This new model should help in predicting expected deficiency payments. Feeder cattle buyer market areas were measured and mapped. The buyer areas are large and overlap considerably suggesting little chance to exert market power. The key assumption in pricing options is the statistical distribution of the price of the underlying asset. Several articles have sought to determine better ways of modeling the distribution of prices. If adopted by speculators, the models should reduce speculator's risk which would allow them to narrow bid-ask spreads. BRORSEN, B.W. PROJECT NO: OKL02170.
Impacts
(N/A)
Publications
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Progress 10/01/93 to 09/30/94
Outputs
Extension marketing programs were encouraged to place less emphasis on hedging. The recommended marketing strategy for Oklahoma wheat producers is to sell cash wheat at harvest. Forward contracting wheat costs producers about 3cents/bu. and helps little in reducing risk. Extension marketing programs were encouraged to help farmers make decisions about whether or not to participate in farm programs. Work was completed to help extension economists more precisely value farm programs. A new technique was developed and used to define feeder cattle market areas. Only modest success has been obtained in using neural networks to forecast futures prices.
Impacts
(N/A)
Publications
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Progress 10/01/92 to 09/30/93
Outputs
Feeder cattle producers received higher prices when more buyers participated in a satellite video auction. Futures prices did not move in response to the USDA Export Sales Report. Futures prices are not normally distributed. Futures prices exhibit nonlinear dynamics, but evidence does not support the hypothesis of deterministic chaos. Evidence does support a conditionally heteroskedastic process. Research is underway to determine if improved models of the distribution of futures prices can be used to make money trading options markets.
Impacts
(N/A)
Publications
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Progress 10/01/91 to 09/30/92
Outputs
Work has continued on evaluating the efficiency of markets and seeking ways to make markets more efficient. The speed of price adjustment to changes in information was faster in locations with a higher market share and in locations with lower concentration. Combining Total Body Electrical Conductivity (TOBEC) with a light probe can lead to better forecasts of pork carcass value than either technique alone. Evidence was largely unfavorable to the null hypothesis that agricultural prices follow a deterministic chaos process. A finding of deterministic chaos would imply that long-term forecasts are not possible. Data from a large public futures fund which relied on technical trading systems showed the fund incurred average slippage costs of $38/contract.
Impacts
(N/A)
Publications
- BRORSEN, B.W., CHAVAS, J.P. and GRANT, W.R. 1991. "Market Structure and Spatial Price Dynamics". Southern Journal of Agricultural Economics, 23:65-73.
- AKRIDGE, J.T., BRORSEN, B.W., WHIPKER, L.O., FORREST, J.C., KUEI, C.H. and SCHINCKEL, A.P. 1992. "Evaluation of Alternative Techniques to Determine Pork Carcass Value". Journal of Animal Science, 70:18-28.
- CHELLARAJ, G.B., BRORSEN, B. and FARRIS, P. 1992. "Impact of Rice Subsidy on Food Consumption in India". Indian Journal of Agricultural Economics, 47:215-223.
- YANG, S.R. and BRORSEN, B.W. 1992. "Nonlinear Dynamics of Daily Cash Prices". American Journal of Agricultural Economics, 74:706-715.
- BRORSEN, B.W. 1992. "Approximation of Bayesian Posterior Densities in the Heteroskedastic Error Regression Model". Economics Letters, 38:1-7.
- GREER, T.V., BRORSEN, B.W. and LIU, S.M. 1992. "Slippage Costs in Order Execution for a Public Futures Fund". Review of Agricultural Economics, 14:281-288.
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