IDEAS home Printed from https://ideas.repec.org/a/cup/jagaec/v16y1984i02p109-116_01.html
   My bibliography  Save this article

Dynamic Stochastic Simulation of Daily Cash and Futures Cotton Prices

Author

Listed:
  • Bailey, DeeVon
  • Brorsen, B. Wade
  • Richardson, James W.

Abstract

A dynamic model of daily cash and futures prices for cotton was developed using time series analysis. The time series model was included in a recursive Monte Carlo simulation model. Validation of the model was performed with a stochastic, dynamic simulation of the estimated model over the observation period 1975-1982 and with a static, deterministic out-of-sample forecast from December 9, 1981 through March 9, 1982. The model was then used to incorporate futures trading strategies into a policy simulation model.

Suggested Citation

  • Bailey, DeeVon & Brorsen, B. Wade & Richardson, James W., 1984. "Dynamic Stochastic Simulation of Daily Cash and Futures Cotton Prices," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 16(2), pages 109-116, December.
    • Handle: RePEc:cup:jagaec:v:16:y:1984:i:02:p:109-116_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0081305200016873/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Richardson, James W. & Nixon, Clair J., 1982. "Producer'S Preference For A Cotton Farmer Owned Reserve: An Application Of Simulation And Stochastic Dominance," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 7(1), pages 1-10, July.
    2. Salathe, Larry E. & Price, J. Michael & Gadson, Kenneth E., 1982. "The Food and Agricultural Policy Simulator," Journal of Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, vol. 34(2), pages 1-15, April.
    3. Helmers, Glenn A., 1979. "Deriving Risk-Income Relationships For Production-Marketing Decisions By Simulation," Risk Management in Agriculture: Behavioral, Managerial, and Policy Issues, January 25-26, 1979, San Francisco, California 271463, Regional Research Projects > W-149: An Economic Evaluation of Managing Market Risks in Agriculture.
    4. Rausser, Gordon C & Carter, Colin, 1983. "Futures Market Efficiency in the Soybean Complex," The Review of Economics and Statistics, MIT Press, vol. 65(3), pages 469-478, August.
    5. Collins, Glenn S. & Taylor, C. Robert, 1983. "TECHSIM: A Regional Field Crop and National Livestock Econometric Simulation Model," Journal of Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, vol. 35(2), pages 1-18, April.
    6. TjOstheim, Dag, 1981. "Granger-causality in multiple time series," Journal of Econometrics, Elsevier, vol. 17(2), pages 157-176, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Anaman, Kwabena A. & Boggess, William G., 1986. "A Stochastic Dominance Analysis Of Alternative Marketing Strategies For Mixed Crop Farms In North Florida," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 18(2), pages 1-9, December.
    2. Massey, Raymond E. & Williams, Joseph E., 1991. "Swine Breeding Systems: A Stochastic Evaluation With Implications For Emerging Technology," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 23(1), pages 1-9, July.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Webb, Shwu-Eng H. & Kuchler, Fred, 1984. "Models For Evaluating Economic Impacts Of Policy Changes: A Comparison," Staff Reports 276832, United States Department of Agriculture, Economic Research Service.
    2. Ziemer, Rod F. & Collins, Glenn S., 1984. "Granger Causality And U.S. Crop And Livestock Prices," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 16(1), pages 1-6, July.
    3. Bailey, DeeVon & Brorsen, B. Wade, 1985. "Dynamics Of Regional Fed Cattle Prices," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 10(1), pages 1-8, July.
    4. Hoffman, Linwood A. & Livezey, Janet, 1987. "The U.S. Oats Industry," Agricultural Economic Reports 305462, United States Department of Agriculture, Economic Research Service.
    5. Garcia, Philip & Hudson, Michael A. & Waller, Mark L., 1988. "The Pricing Efficiency of Agricultural Futures Markets: An Analysis of Previous Research Results," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 20(1), pages 119-130, July.
    6. Phillips, Mark & Hueth, Darrell L. & Just, Richard E., 1989. "Estimating Cost of Banning Agricultural Chemicals: The Case of Maneb and Maneb Alternatives," Working Papers 197631, University of Maryland, Department of Agricultural and Resource Economics.
    7. Suguiyama, Luis & Osteen, Craig, 1988. "The Economic Importance of Cotton Insects and Mites," Agricultural Economic Reports 308062, United States Department of Agriculture, Economic Research Service.
    8. Mjelde, James W. & Dixon, Bruce L. & Sonka, Steven T., 1989. "Estimating The Value Of Sequential Updating Solutions For Intrayear Crop Management," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(1), pages 1-8, July.
    9. Ribaudo, Marc & Heimlich, Ralph E. & Peters, Mark, 1998. "Nitrogen Sources And Gulf Hypoxia: Potential For Point-Nonpoint Trading," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20796, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    10. Asci, Serhat & VanSickle, John J. & Cantliffe, Daniel J., 2014. "Risk in Investment Decision Making and Greenhouse Tomato Production Expansion in Florida," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 17(4), pages 1-26, November.
    11. Matthew T. Holt & Andrew M. McKenzie, 2003. "Quasi-rational and ex ante price expectations in commodity supply models: an empirical analysis of the US broiler market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 407-426.
    12. Michael S. Haigh & Matthew T. Holt, 2002. "Combining time-varying and dynamic multi-period optimal hedging models," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 29(4), pages 471-500, December.
    13. Tomek, William G., 1996. "Commodity Futures Prices As Forecasts," Working Papers 127901, Cornell University, Department of Applied Economics and Management.
    14. Rausser, Gordon C & Walraven, Nicholas A, 1990. "Linkages among Commodity Futures Markets and Dynamic Welfare Analysis," The Review of Economics and Statistics, MIT Press, vol. 72(4), pages 631-639, November.
    15. Haigh, Michael S. & Holt, Matthew T., 1999. "Volatility Spillovers Between Foreign Exchange, Commodity And Freight Futures Prices: Implications For Hedging Strategies," 1999 Annual meeting, August 8-11, Nashville, TN 21625, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    16. Ribaudo, Marc O. & Colacicco, Daniel & Langner, Linda L. & Piper, Steven & Schaible, Glenn D., 1990. "Natural Resources and Users Benefit from the Conservation Reserve Program," Agricultural Economic Reports 308085, United States Department of Agriculture, Economic Research Service.
    17. Bailey, Kenneth W., 2000. "Evaluating The Economic Impacts Of Regional Milk Pricing Authorities: The Case Of Dairy Compacts," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 29(2), pages 1-12, October.
    18. Blank, Steven C., 1989. "Research On Futures Markets: Issues, Approaches, And Empirical Findings," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(1), pages 1-14, July.
    19. Chen, Dean T. & Dharmaratne, Gerard S., 1991. "Price Determination In Structural Models: A Comparison Of Alternative Inverse Demand Specifications," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271156, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    20. Skold, Karl Durwood, 1989. "The integration of alternative information systems: an application to the Hogs and Pigs report," ISU General Staff Papers 1989010108000010239, Iowa State University, Department of Economics.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jagaec:v:16:y:1984:i:02:p:109-116_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/aae .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.