impact of modern agricultural technologies on smallholder welfare evidence from tanzania and ethiopia this paper evaluates the potential impact of adoption of improved legume technologies on rural household welfare measured by consumption expenditure in rural ethiopia and tanzania the study utilizes cross sectional farm household level data collected in 2008 from a randomly selected sample of 1313 households 700 in ethiopia and 613 in tanzania the causal impact of technology adoption is estimated by utilizing endogenous switching regression this helps us estimate the true welfare effect of technology adoption by controlling for the role of selection problem on production and adoption decisions our analysis reveals that adoption of improved agricultural technologies has a significant positive impact consumption expenditure in per adult equivalent terms in rural ethiopia and tanzania this confirms the potential role of technology adoption in improving rural household welfare as higher consumption expenditure from improved technologies translate into lower poverty higher food security and greater ability to withstand risk an analysis of the determinants of adoption highlighted inadequate local supply of seed access to information and perception about the new cultivars as key constraints for technology adoption

price density forecasts in the u s hog markets composite procedures we develop and evaluate quarterly out of sample individual and composite density forecasts for u s hog prices individual density forecasts are generated using time series models and the implied distributions of usda and iowa state university outlook forecasts composite density forecasts are constructed using linear and logarithmic combinations of the individual forecasts and several weighting schemes density forecasts are evaluated on predictive accuracy sharpness goodness of fit calibration and their economic value in a hedging simulation logarithmic combinations using equal and mean square error weights outperform all individual density forecasts and are modestly better than linear composites comparison of the outlook forecasts to the best composite demonstrates the usefulness of the composite procedure and identifies the economic value that more accurate expected price probability distributions can provide to producers

technology adoption under seed access constraints and the economic impacts of improved pigeonpea varieties in tanzania dry land legumes well adapted to drought prone areas have largely been neglected in the past despite the good opportunities they offer for income growth and food and nutritional security for the poor this study evaluated the adoption and impact of two farmer and market preferred and disease resistant pigeonpea varieties that were developed and promoted in semi arid tanzania the new varieties were resistant to fusarium wilt a fungal disease devastating the crop however farmers wanting to adopt new varieties did not adopt due to seed access constraints and under developed seed delivery systems adoption of new varieties is therefore analyzed using an augmented double hurdle model that allows estimating variety adoption conditional on seed access thresholds accounting for the additional information on sample separation the study identifies the crucial role of seed access local supply extension education participatory decision making capital and household assets in determining adoption the social economic benefits of the technology and policies for improved seed access were further analyzed using the extended economic surplus method dream model even under restrictive assumptions overall discounted benefits were found to be quite attractive indicating the need for additional efforts to scale up the success story analysis of changes in research benefits from relaxing the seed access constraint showed that net gains would increase by up to 30 if farmer access to improved seeds can be assured smallholder farmers are the major beneficiaries along with consumers and rural net buyers who gain from productivity induced lower market prices

differential technology adoption and income distribution in pakistan implications for research resource allocation a multi market model of technological change in food production is used to simulate the long run income distributional implications of differential diffusion of currently available wheat technologies in pakistan the results indicate that a research agenda emphasizing technologies suited to pakistan s favored production environments would enhance overall production without compromising inter group equity it is found that when commodity prices are market determined net consuming households are the major beneficiaries of technological change however in the more common situation of government intervention in markets for staple foods net producing households are the principal beneficiaries of technological change

monetary impacts on prices in the short and long run some evidence from new zealand this paper presents support for long run monetary neutrality based on evidence that individual time series for money manufacturing prices and agricultural prices are nonstationary but cointegrated with a stationary proportional long run relationship among their levels dynamic simulations from a vector error correction model with this restriction imposed show that monetary shocks shift relative prices in favor of agriculture in the short run and permanently raise nominal prices manufacturing price shocks have similar long run effects but initially place agriculture in a cost price squeeze while agricultural price shocks are transitory and have little impact on the other series

estimating var models under non stationarity and cointegration alternative approaches for forecasting cattle prices multivariate var models estimated with non stationary data raise difficult econometric questions because differencing to achieve stationary can introduced distortions into multivariate models three approaches have been suggested for estimating such models 1 vector error correction vec models difference the data to achieve stationary and use an error correction term to replace the long run information lost through differencing 2 var models can be estimated with raw data in levels if the non stationary data is also cointegrated because recent theoretical work proves that estimation with such data will yield consistent parameter estimates 3 bayesian parameter estimates are not affected by non stationarity although some analysts argue that bayesian analysis is not appropriate for data that is also cointegrated a multivariate cattle price model provides a good framework for comparing these approaches because the major variables are both non stationary and cointegrated and because the model s opti

agricultural research priority setting under multiple objectives an example from zimbabwe abstract strategic priorities are assessed for the agricultural research system in zimbabwe in a situation characterized by multiple objectives farm types and agro ecological zones economic surplus analysis is used to rank research programs by commodity and research program areas in total and disaggregated by large and small farms in high and low potential regions no funding current funding and 50 more funding are allowed for each program in the analysis an optimal research portfolio is developed first with all weight placed on efficiency and second with increasing weights placed on benefits going to small holder farmers even with no additional weight placed on small holders research programs for both small farms and low potential areas enter into the optimal research portfolio as more emphasis is given to small holders the reduction in overall efficiency gained due to research is relatively modest maize and cotton were the highest ranked commodity research programs of the 36 commodities considered for both large and small farms agronomy and soils research are relatively more important for small holders while plant breeding and crop protection are relatively more important for large scale farmers

forecasting agricultural exports and imports in south africa the implementation of wide ranging policy reforms including trade and exchange rate policies is improving the efficiency of the south african economy and its reintegration into the global economy with rapid export expansion agricultural exports in the southern african customs union increased from r8 14 billion in 1995 to r23 0 billion in 2003 whilst agricultural imports rose from r6 83 billion to r13 84 billion during the same period this article uses alternative approaches to forecasting agricultural exports and imports in south africa the models used include exponential smoothing autoregressive integrated moving average arima vector autoregression var engle granger eg single equation and vector error correction models vecm we found that the arima and eg methods outperform the var and vecm according to theil s u statistic the var outperforms the vecm in forecasting agricultural exports in south africa the combined forecasts have a lower variance compared to individual forecasts ther

the impact of research led agricultural productivity growth on poverty reduction in africa asia and latin america abstract twenty percent of the world s population or 1 2 billion live on less than 1 per day 70 of these are rural and 90 are in asia and sub saharan africa research led technological change in agriculture generates sufficient productivity growth to give high rates of return in africa and asia and has a substantial impact on poverty currently reducing this number by 27 million per annum whereas productivity growth in industry and services has no impact the per capita cost of poverty reduction by means of agricultural research expenditures in africa is 144 and in asia 180 or 50 cents per day but this is covered by output growth by contrast the per capita cost for the richer countries of latin america is over 11 000

the commodity terms of trade unit roots and nonlinear alternatives a smooth transition approach market price dynamics for north american oriented strand board markets are examined specifically the role of transactions costs are examined vis a vis the law of one price weekly data for the january 3rd 1995 through april 14th 2006 period are used in the analysis nonlinearities induced by unobservable transactions costs are modeled by estimating smooth transition autoregressions stars results indicate that nonlinearity is an important feature of these markets and that the parity relationships implied by economic theory are generally supported by the star models implications for the efficiency of spatial market linkages are examined by estimating generalized impulse response functions

implications of oil prices shocks for the major emerging economies a comparative analysis of brics abstract this study analyses the implications of oil prices shocks for the brics economies we employed a time varying structural vector autoregressive tv sva framework in which the sources of time variation are the coefficients and variance covariance matrix of the innovations the quarter frequency data for the period of 1987qii 2017qii is used for the empirical analysis the key findings suggest that there are substantial differences and asymmetries in the response of these economies to oil shocks these differences were profound between and even within oil exporters and importers it shows that between major oil exporters i e russia and brazil the former s economy is rather more intensively influenced by oil prices shocks between the two largest net oil importers i e india and china comparatively the indian economy seems to be rather more vulnerable to oil prices shocks in terms of their adverse effects on gdp inflation and balance of trade the dependence of economies on oil and an increasing level of consumption continue to pose policy challenges for prices and economic stability the analysis on south africa also shows negative impacts of oil prices shocks however the effects are comparatively more time variant than other brics members while these asymmetries indicate significant differences in the structure of these economies they also indicate venues of cooperation and stronger trading relationships to overcome the adverse shocks and mutual development

forecasting resource allocation decisions under climate uncertainty fire suppression with assessment of net benefits of research making input decisions under climate uncertainty often involves two stage methods that use expensive and opaque transfer functions this article describes an alternative single stage approach to such decisions using forecasting methods the example shown is for preseason fire suppression resource contracting decisions faced by the united states forest service two stage decision tools have been developed for these decisions and we compare the expected gains to the agency in terms of reduced personnel costs of the single stage model over the two stage model existing hiring decisions and decisions that would have been made given perfect foresight about wildfire activity our analysis demonstrates the potential gains to versions of our single stage model over existing hiring decisions equivalent to a benefit cost ratio of 22 the research also identified additional gains accruing from imposing biases on the single stage model associated with asymmetric penalties from contracting decisions copyright 2008 oxford university press

productivity and land enhancing technologies in northern ethiopia health public investments and sequential adoption the adoption of more efficient farming practices and technologies that enhance agricultural productivity and improve environmental sustainability is instrumental for achieving economic growth food security and poverty alleviation in sub saharan africa our research examines the interaction between public investments community health and adoption of productivity and land enhancing technologies by households in the northern ethiopian state of tigray agricultural technology adoption decisions are modeled as a sequential process where the timing of choices can matter we find that time spent sick and opportunity costs of caring for sick family members are significant factors in adoption sickness through its impact on household income and labor allocation decisions for healthcare and other activities significantly reduces the likelihood of technology adoption our findings suggest that agencies working to improve agricultural productivity and land resource conservation should consider not only the financial status of potential adopters but also their related health situation

monthly price premiums and discounts between steer calves and yearlings distributed lags are used to estimate monthly prices and price premiums and discounts between steer calves and steer yearlings the statistical results show that premiums and discounts are not highly seasonal but are affected by expected changes in fed slaughter prices and cost of gain in the feedlot the effects of these variables are sensitive to time thus the latter should be taken into account for future marketing decisions also price flexibility coefficients indicate that profitability risk in cattle finishing is shifted more to price weight differences of cattle placed on feed than to changes in the individual prices themselves

measuring the impacts of agricultural research on poverty reduction policymakers are increasingly calling upon agricultural research managers to consider poverty reduction objectives when making resource allocations the authors present a simple method to measure the impact of agricultural research on the poor this method has the advantage that it presents the results in a manner consistent with commonly used measures of poverty this consistency and focus should facilitate and enhance dialogue between policymakers and research managers when deciding on resource allocations and assessing impacts on poverty reduction an illustrative application is presented using data from malawi

forecasting vector autoregressions with bayesian priors the paper explores the justification for and application of bayesian priors in forecasting a vector autoregression a nonsymmetric random walk prior outperforms three alternative time series representations in forecasting five series of the u s hog market

the stop loss start gain paradox and option valuation a new decomposition into intrinsic and time value the downside risk in a leveraged stock position can be eliminated by using stop loss orders the upside potential of such a position can be captured using contingent buy orders the terminal payoff to this stop loss start gain strategy is identical to that of a call option but the strategy costs less initially this article resolves this paradox by showing that the strategy is not self financing for continuous stock price processes of unbounded variation the resolution of the paradox leads to a new decomposition of an option s price into its intrinsic and time value when stock price follows geometric brownian motion this decomposition is proven to be mathematically equivalent to the black scholes 1973 formula article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

what do we learn from the price of crude oil futures summary despite their widespread use as predictors of the spot price of oil oil futures prices tend to be less accurate in the mean squared prediction error sense than no change forecasts this result is driven by the variability of the futures price about the spot price as captured by the oil futures spread this variability can be explained by the marginal convenience yield of oil inventories using a two country multi period general equilibrium model of the spot and futures markets for crude oil we show that increased uncertainty about future oil supply shortfalls under plausible assumptions causes the spread to decline increased uncertainty also causes precautionary demand for oil to increase resulting in an immediate increase in the real spot price thus the negative of the oil futures spread may be viewed as an indicator of fluctuations in the price of crude oil driven by precautionary demand an empirical analysis of this indicator provides evidence of how shifts in the uncertainty about future oil supply shortfalls affect the real spot price of crude oil copyright 2010 john wiley sons ltd

nonlinear dynamics and stock returns simple deterministic systems are capable of generating chaotic output that mimics the output of stochastic systems for this reason algorithms have been developed to distinguish between these two alternatives these algorithms and related statistical tests are also useful in detecting the presence of nonlinear dependence in time series in this article the authors apply these procedures to stock returns and find evidence that indicates the presence of nonlinear dependence on weekly returns from the center for research in security prices value weighted index copyright 1989 by the university of chicago

the emergence of chaos from classical economic growth this paper shows how fluctuations of an erratic and unstable nature can emerge from the classical deterministic economic growth process implications of the analysis would appear to be at least two first pronounced changes in the way an economy behaves need not cause us to reject our understanding of how it works second we need not seek in exogenous forces an explanation as to why behavioral patterns change and why it may be so difficult to anticipate future events from the profile of past experience

is the business cycle characterized by deterministic chaos abstract tests are conducted on u s macroeconomic data for the presence of low dimensional deterministic chaos where deterministic chaos is defined as in grandmont s 1985 walras bowley lecture or in brock 1986 the idea is to test for evidence of endogenous instability causing the business cycle low order autoregressions are hard to reject with our methods evidence of chaos is weak but our tests may be too weak to detect it evidence of nonlinearity is present in employment 1950 i to 1983 iv unemployment 1949 i to 1982 iv monthly post war industrial production and pig iron production 1877 1937

chaos significance mechanism and economic applications imagine a bargaining model say involving diplomats negotiating tariff levels or a disarmament treaty in which each party has been instructed by higher headquarters to respond to each new offer by her opposite number with a counteroffer that is to be calculated from a simple reaction function provided in advance both negotiating parties are prohibited from revealing their own reaction functions to the other if the perfectly deterministic sequence of offers and counteroffers that must emerge from these simple rules were to begin to oscillate wildly and apparently at random the negotiations could easily break down as each party not understanding the source of the problem came to suspect the other side of duplicity and sabotage yet all that may be involved as we will see is the phenomenon referred to as chaos a case that is emphatically not pathological but in which a dynamic mechanism that is very simple and deterministic yields a time path so complicated that it will pass most standard tests of randomness chaos has become a subject of great interest to specialists and nonspecialists alike besides economics it has entered the literature of geometry physics ecology and meteorology it has been written about at length in the new york times magazine and scientific american as well as technical publications this article seeks to describe what it is how it works and what it means for economics

estimating the benefits of plant breeding research methodological issues and practical challenges impact assessment studies consistently show that the benefits generated by plant breeding are large positive and widely distributed numerous case studies have concluded that investment in plant breeding research generates attractive rates of return compared to alternative investment opportunities that welfare gains resulting from the adoption of modern varieties mvs reach both favoured and marginal environments and that benefits are broadly shared by producers and consumers but just how reliable are the results of studies that estimate the benefits of plant breeding research this article reviews methods used to estimate the benefits of plant breeding research and discusses theoretical and empirical issues that often receive inadequate attention in applied impact assessment work our objective is not to question the validity of the theoretical frameworks commonly used to estimate the benefits of plant breeding research but rather to examine problems that can arise when the widely accepted theoretical frameworks are used for empirical analysis most of these problems can be grouped into three basic categories 1 problems associated with measuring adoption and diffusion of mvs 2 problems associated with estimating benefits attributable to adoption of mvs and 3 problems associated with assigning credit among the various plant breeding programmes that participated in developing the mvs

peanut research and poverty reduction impacts of variety improvement to control peanut viruses in uganda a procedure is developed and applied for predicting ex ante impacts of agricultural research on aggregate poverty using as an example the poverty reducing impact of peanut research in uganda market level information on economic surplus changes is combined with a procedure for allocating income changes to individual households characteristics of farmers that affect their likelihood of technology adoption are used to create a technology adoption profile associated changes in poverty resulting from adoption are computed using poverty indices predicted income changes at the household level are aggregated to the market level and reconciled with calculations of economic surplus changes

on nonlinear dynamics the case of the pork cycle new methods for analyzing nonlinear dynamic processes are used to evaluate the hogcorn price ratio the results present evidence of nonlinear dynamics in the pork cycle moreover while garch processes account for some of the nonlinearities the pork cycle is apparently characterized by more complex dynamic forms the empirical analysis provides some evidence of the presence of chaos in the pork cycle the results also indicate that the dynamic process generating the pork cycle is nonlinear and cannot be adequately characterized by a small number of state variables

ex ante agricultural research evaluation with site specific technology generation the case of sorghum in kenya abstract agricultural commodity research has very site specific productivity impacts crucial determinants of the magnitude and distribution of research benefits include agroecological conditions for technology generation and adoption as well as commodity market structure this paper presents a process for ex ante research evaluation which accounts for these factors with a dynamic spatial multi market model simulation results based on sorghum research in kenya demonstrate that potential research benefits can vary dramatically across program research target zones in kenya however population induced demand growth not technological development will have the greatest influence on future sorghum markets

agricultural technology crop income and poverty alleviation in uganda summary this paper evaluates the ex post impact of adopting improved groundnut varieties on crop income and poverty in rural uganda the study utilizes cross sectional data of 927 households collected in 2006 from seven districts in uganda using propensity score matching methods we find that adopting improved groundnut varieties technology significantly increases crop income and reduces poverty the positive and significant impact on crop income is consistent with the perceived role of new agricultural technologies in reducing rural poverty through increased farm household income this study supports broader investment in agriculture research to address vital development challenges reaching the poor with better technologies however requires policy support for improving extension efforts access to seeds and market outlets that simulate adoption

the delivery option on forward contracts a comment livingston contends that short futures long cash traders can eliminate the potential costs of the quality option through use of a dynamic trading strategy it is proposed here that if this is possible then futures prices will never reach a stable equilibrium alternatively if livingston s argument is flawed then no risk free arbitrage opportunities are likely to be available to either short cash long futures or long cash short futures traders under such conditions futures prices will reach an equilibrium when the expected return and risk of each type position are equally attractive

hog cycles and countercyclical production response the cycle in prices and output is not a permanent fixture of the pork industry exogenous shocks occasionally give rise to predictable cycles in pork prices but these are eventually eliminated in a manner that is consistent with the existence of countercyclical producers it normally takes several revolutions of the cycle before a sufficient number of countercyclical producers notice that a cycle has begun and are able to alter their production patterns sufficiently to eliminate it consequently the more compelling the evidence is in favor of a cycle the less likely it is to continue

an ex post valuation of the quality option implicit in the treasury bond futures contract abstract this paper develops three empirical estimates of the value of the quality delivery option implicit in the treasury bond futures contract a an ex ante value as given by the excess of forward price of the cheapest to deliver bond over its conversion factor times the futures price b an ex post value equal to the payoffs to a strategy of buying and holding a short futures long forward position at the start and delivering the cheapest bond at the expiration of futures contract and c another ex post value equal to the sum of payoffs to a continuous rollover strategy involving a short futures long forward position in the cheapest to deliver bonds three months prior to delivery the average values of the three estimates are 464 329 and 2 075 respectively the differences among the three estimates appear to be largely due to nonsynchronous spot futures data

the impact of improved maize varieties on poverty in mexico a propensity score matching approach summary this study examines the adoption of improved maize germplasm in oaxaca and chiapas in mexico it employs a propensity score matching approach to analyze the impact of the adoption of improved maize varieties on household income and poverty reduction using cross sectional data of 325 farmers from the two regions the findings reveal a robust positive and significant impact of improved maize variety adoption on farm household welfare measured by per capita expenditure and poverty reduction specifically the empirical results suggest that adoption of improved maize varieties helped raise household per capita expenditure by an average of 136 173 mexican pesos thereby reducing their probability of falling below the poverty line by roughly 19 31

causality tests in livestock markets bivariate time series models and related topics of exogeneity and granger causal orderings have received much attention from economists over the last decade examples in the macroeconomic literature include relationships between money and income sims 1972 feige and pearce money and interest rates pierce and wages and prices geweke 1975 in agricultural markets research in this area includes the sorting out of leads and lags between farm wholesale and retail prices heien miller acreage allotments and acreage supply response weaver and alternative price quotes for eggs bessler and schrader the methods used in these studies are empirical because they allow the data to specify the dynamic relationship between two variables economic theory is used only to suggest the variables to be related often theory is ambiguous on the explicit lead lag relationships between important variables and the variables themselves in such cases one can or must rely on strictly empirical methods burks discusses the complementary relationship between empirical and theoretical methods in scientific investigations agriculturalists interested in explaining producer behavior and forecasting livestock price and quantity movements have long grappled with problems of leads and lags attempts to explain short run movements in live cattle and hog inventories or slaughter levels using price variables have at times yielded unsatisfactory results for example shortrun quantity response to price change was found to be negative for cattle nelson and spreen myers havlicek henderson however a positive relation begins to appear with longer lengths of run the theory of optimal investment under risk explains this type of relationship that is treating cattle as both investment goods and as final products will generate the negative short run response of quantity to price such theory however will not be explicit about the particular lead lag relationships to be encountered most modern theories of decision making under risk suggest that such lags are dependent upon subjective probabilities of individual economic agents if one is unwilling to accept the existence of a rational probability following definetti then he will not be able to specify a priori the explicit leads and lags in a particular investment problem one must look at the data and infer such relationships this paper examines the lead lag relationships between livestock prices and various causal variables suggested by theory it explicitly tests the exogeneity of cattle on feed cattle slaughter and income on live cattle prices and the exogeneity of sow farrowings hog slaughter and income on live hog prices although explicit dynamic multivariate models are not formulated the paper s results do provide background evidence useful for their ultimate construction granger and newbold 1977 chap 7

the poverty impacts of improved cowpea varieties in nigeria a counterfactual analysis adoption of improved agricultural technologies has long been recognized as critical for reducing poverty through increased productivity incomes and asset accumulation using a nationally representative survey data from a sample of over 1500 households in nigeria this paper evaluates the impacts of adoption of improved cowpea varieties on income and asset poverty reduction using an endogenous switching regression model the results showed that adoption of improved cowpea varieties increased per capita household income and asset ownership by 17 and 24 percentage points respectively the results based on the observed and counterfactual income and asset distributions further showed that adoption reduced both income poverty and asset poverty by 5 percentage points the paper concludes with a discussion of the policy options for increasing adoption and impacts of improved cowpea varieties in nigeria

the delivery option on forward contracts a note a number of futures contracts conveys to the short position various delivery options re garding the quality and exact timing of delivery moreover the compensation to the long position is not solely determined by the market value of the delivered asset at the time of delivery sometimes the long position can hedge this delivery risk by holding an appropriate portfolio of the underlying asset it often has been stated that whenever the long position can form a dynamic hedge against the delivery risk the delivery option has a zero value this paper demonstrates the implication of such erroneous intuition to the pricing of options it is shown that the root of the issue is the property of diffusion processes whereas within a given time interval a random variable either will never cross a given boundary or else cross it an inflnite number of times

what is the value of agricultural economics research the output of agricultural economics research is information much of it aimed at designing or improving institutions bayesian decision theory and economic surplus analysis have been suggested as possible approaches to evaluate that information this article takes a critical look at the strengths and weaknesses of combining those approaches for empirical evaluation of agricultural economics research it presents three case studies utilizing prior and posterior probabilities elicited from key decision makers direct application of the probabilities to a simple set of states and actions is best suited to situations involving a single policy making center or a consensus decision making process most economists feel their work has value but few can say how much economists have made significant contributions to our understanding of the value of technology oriented research but have devoted little attention to assessing the benefits of social science research ssr including agricultural economics research aer as accountability concerns have increased federal and state officials increasingly ask for evidence of research impacts many professional associations in the production sciences have drawn on quantitative estimates provided by economists to bolster their claims that research in their areas is a good investment social sciences make do with anecdotal evidence a nascent literature on evaluating social science research including agricultural economics includes studies by gardner

managing price risks using and local polynomial kernel forecasts this study contributes to understanding price risk management through hedging strategies in a forecasting context a relatively new forecasting method nonparametric local polynomial kernel lpk is used to forecast prices and to generate ex ante hedge ratios the selective multiproduct hedge based on the lpk price and hedge ratio forecasts is in general found to be better than continuous hedging no hedging and alternative forecasting procedures selective multivariate hedging using the lpk is found to improve hog producer s expected returns the findings indicate that combining hedging with forecasts especially when using the lpk procedure can improve price risk management

outlook vs futures three decades of evidence in hog and cattle markets the accuracy of hog and cattle price forecasts from four outlook programs is compared with forecasts derived from futures markets most of the series begin in the mid to late 1970s and end in 2007 root mean squared error rmse comparisons indicate the difference between outlook and futures rmse is relatively small in most cases in directional terms outlook forecasts beat futures prices only 2 out of 11 times in hogs and 1 out of 7 times in cattle however the null hypothesis that futures encompasses outlook is rejected in 5 of 11 cases for hogs and 4 of 7 cases for cattle

the value of a rational expectations forecast in a risky market a theoretical and empirical approach the central focus of this paper is to develop an easily computable money metric of an agent s willingness to pay for information under risk to extend this concept to the market and to demonstrate its application in a simple twoequation econometric model of the u s fed cattle market the paper draws on previous contributions to the theory of competitive firm under price uncertainty namely rothschild and stiglitz sandmo and more recently pope 1978 1980 and pope chavas and just the latter contributions provide insight into the econometric application of the theory and into the validity of producer surplus measures of firm welfare under risk the conceptual approach presented in this paper facilitates empirical application for a restricted class of utility functions it is shown that the money metric of an agent s willingness to pay for additional information can be computed from the firm s risk averse supply or factor demand function while other studies e g hayami and peterson freebairn decanio have derived welfare estimates of the value of a fore

models and their uses it is argued that economists ought to recognize that modeling in different styles will be appropriate for different purposes or different stages in the development of an area of economics as an example the paper displays simulations of a stochastic general equilibrium model which shed light on the interpretation of widely discussed small macroeconomic vector autoregressive models connecting monetary variables to output and prices this abstract was borrowed from another version of this item

the problem of the persistent hog price cycle a chaotic solution a persistent hog corn price ratio has been known to exist since the early 1930s and many attempts have been made since then to model its dynamics that these models have been ineffectual as forecasting tools is apparent by the fact that the hog cycle has persisted to this day in this paper i propose that increased forecasting accuracy can be obtained by adjusting traditional forecasting models so that they account for deterministic nonlinear processes with improved forecasts the costs of countercyclical production will decrease dampening and perhaps even eliminating the cycle the chaotic dynamics of the hog corn price cycle is confirmed and chaotic models of this system are developed the analysis provides the framework for developing a function to forecast the dynamics of the hog corn price ratio

welfare effects of maize technologies in marginal and high potential regions of kenya this paper describes the findings of a study that used a multi market model to assess the potential impact of improved maize technologies on the welfare of various types of rural and urban households in kenya the modelling results indicate that technologies developed for high potential regions are likely to have more profound aggregate impacts on maize production and lead to greater reductions in import demand if prices are controlled or maize prices if maize prices are flexible technology adoption in high potential regions is likely to have substantially greater positive impacts on aggregate real incomes but inferior income distributional outcomes compared to technology adoption in marginal regions

an analysis of forecasts of livestock prices abstract the paper studies forecasts of u s hog and cattle prices provided by both a commodity expert and organized futures markets some have argued that futures prices should be efficient forecasts of actual cash prices we show that cattle futures prices are outperformed by the expert for hogs futures prices and the expert are about equal analysis of a vector autoregression of the expert s forecasts the futures prices and actual cash prices supports the finding that cattle futures prices are not an efficient forecast of actual cash prices differing supply dynamics may account for the difference

poverty reduction effects of agricultural technology adoption a micro evidence from rural tanzania abstract this article evaluates the impact of adoption of improved pigeonpea technologies on consumption expenditure and poverty status using cross sectional data of 613 households from rural tanzania using multiple econometric techniques we found that adopting improved pigeonpea significantly increases consumption expenditure and reduces poverty this confirms the potential role of technology adoption in improving household welfare as higher incomes translate into lower poverty this study supports broader investment in agriculture research to address vital development challenges reaching the poor with better technologies however requires policy support for improving extension efforts access to seeds and market outlets that stimulate adoption

the effects of macroeconomic factors on south african agriculture significant research efforts have been devoted to understanding the effects of macroeconomic factors on the agriculture sector analysing the sources of volatility in the industry is critical for designing appropriate policies to stabilize agricultural markets reduce poverty and increase economic growth agriculture is a competitive sector with prices that are more flexible than those in nonagricultural sectors this article uses annual data over the 1957 2004 period and a vector error correction model in investigating the dynamic effects of exchange rates money supply and other macroeconomic variables on the agricultural sector in south africa overall real exchange rates interest rates inflation and money supply m3 shocks have significant and persistent impacts on agricultural output prices received by farmers and farm input prices m3 and interest rate shocks tend to put agriculture in a cost price squeeze agricultural price movements are a source of macroeconomic instability in the country r

vector autoregression forecasting models recent developments applied to the u s hog market bayesian estimation and the exclusion of variables are two basic approaches to the improvement of vector autoregression forecasting models this study presents a method which combines and extends several techniques within the exclusion of variables approach several quarterly hog market models are estimated and out of sample forecasts from 1977 through 1984 are evaluated the results suggest the proposed method compares favorably to other exclusion of variables techniques as well as to the more sophisticated bayesian approaches the univariate autoregressive moving average arma model has been quite successful in time series forecasting the main problem with this type of model is its failure to consider information about other potentially important variables vector autoregression var models represent one approach toward incorporating this information however researchers have typically found that unrestricted var models do not forecast well e g nerlove grether and carvalho kling and bessler perhaps because they are overparameterized the resulting variability associated with the parameter estimates contributes to the lack of precision in the forecasts attempts to overcome this degrees offreedom problem fall into two broad categories the exclusion of explanatory variables tiao and box hsiao 1979 caines keng and sethi and bayesian estimation of the parameters doan and litterman litterman the latter approach is difficult to implement newbold asks how the priors are generated bessler and hopkins suggest a random walk prior may be consistent with an efficient market hypothesis while this may be useful for price series considerable expertise in the modeling procedure is generally required as is detailed knowledge of the series of interest this article suggests a new technique for building var forecasting models using the exclusion of variables approach for comparative purposes other recently proposed var modeling strategies are discussed applications are then made to the live u s hog market

the dynamics and volatility of prices in a vertical sector this paper studies the evolving distribution of prices in a vertical sector in the presence of market cycles it investigates the dynamic linkages between farm and retail prices with an application to the chinese pork sector the econometric approach relies on a quantile autoregressive qar model that provides a flexible representation of the dynamics of price volatility it investigates the presence and nature of price cycles and their implications for price transmission we document that the marketing margin is more sensitive to changes in consumer income than in feed cost in addition rising feed cost increases the amplitude of the cycle while higher consumer income increases the period of the cycle

composite forecasting an application with u s hog prices producers processors and distributors of agricultural commodities make decisions in a risky environment uncertain production and relatively low price elasticities of demand provide the setting for rather large fluctuations in commodity prices sensible decision making thus requires information about the likelihood of many alternative outcomes such information can be obtained from both private and public sources through price forecasts decision makers often have several forecasts on

improving the accuracy of outlook price forecasts this study investigates the predictive ability of outlook hog price forecasts released by iowa state university relative to alternative time series and market forecasts under root mean squared error rmse the futures market forecast is most accurate at the first and second horizon but less accurate than iowa outlook and the other forecast methods at the third horizon in terms of the individual time series models some vector autoregressions vars and bayesian vars flexible in specification and estimation and model averaging tend to perform better than iowa outlook forecasts evidence from encompassing tests more stringent tests of forecast performance indicates that many price forecasts can add incremental information to the iowa forecast simple combinations of these models and outlook forecasts are able to reduce forecast errors by economically significant levels overall the results indicate that it is possible to provide more accurate forecasts than iowa outlook at every horizon

forecast performance of wasde price projections for u s corn we conduct a comprehensive evaluation of the season average price projections for u s corn as published by the u s department of agriculture s world agricultural supply and demand estimates wasde an important issue given reduced resources and increased program scrutiny within the federal government this study is the first in the literature to evaluate the wasde corn projections relative to futures adjusted forecasts throughout the forecasting cycle using a lengthy evaluation period 1980 81 2012 13 we find that wasde projections provide lower rmses relative to futures adjusted forecasts for 9 of the 16 forecast periods 4 of which are statistically different encompassing tests show that wasde projections often provide incremental information not present in the futures adjusted forecasts composite forecasts based on futures adjusted forecasts and wasde projections reduced the rmses over all forecast periods by an average 12 16 favorable average trading profits may be generated for some forecast months using wasde projections overall our results suggest that wasde projections of the u s corn season average price provide useful information to the market and could enhance the efficiency of the agricultural sector

quality option profits switching option profits and variation margin costs an evaluation of their size and impact on treasury bond futures prices this paper provides empirical evidenee that the quality option in f bond futures is much less valuable than previously indicated in addition a dynamic trading strategy involving multiple switches of the cash bonds held in a long cash versus short futures position is shown to produce substantially greater profits than the single exercise of the quality op tion these findings suggest that the optimal management of long cash short futures positions is likely to involve dynamic trading strategies while passive strategies appear more appropriate for short cash long futures positions it is also shown that required variation margin payments are frequently large and may impact the profitability and risk of such positions to a greater extent than either of these options further evidenee is given indicating that observed t bond futures prices reflect an imputed value for the options and risks inherent in such positions

relative prices and money a vector autoregression on brazilian data recent data on brazilian agricultural prices industrial prices and money supply are analyzed in a vector autoregression the empirical findings show strong one way granger type causality from money supply to agricultural prices while feedback is observed between industrial prices and money supply under the usual monetarist ordering of contemporaneous innovation covariance agricultural prices do not adjust faster than industrial prices to a shock in the money supply

agricultural technology adoption and child nutrition enhancement improved maize varieties in rural ethiopia adoption of improved crop varieties can lead to multiple benefits to farm households including increased productivity incomes and food consumption however possible impacts of adoption on child nutrition outcomes are rarely explored in the literature this article helps bridge this gap through an impact assessment of the adoption of improved maize varieties imvs on child nutrition outcomes using a recent household survey from rural ethiopia the conceptual linkage between imv adoption and child nutrition is first established using an agricultural household model instrumental variable estimation suggests the overall impacts of adoption on child height for age and weight for age z scores to be positive and significant quantile instrumental variable regressions further reveal that such impacts are largest among children with poorest nutrition outcomes finally by combining a decomposition procedure with system of equations estimation it is found that the increase in own produced maize consumption is the major channel through which imv adoption affects child nutrition

sizing up social science research economists and especially agricultural economists have invested considerable amounts of time and intellectual effort in the question of measuring the benefits of and returns to scientific research and development extensive sets of estimation techniques have been developed and healthy and productive debates about estimated rates of return to science research and development r d and optimal science r d policies have been carried out by economists and agricultural economists in contrast a virtual methodological and empirical vacuum exists in the economics literature with respect to the benefits of and returns to social science research and more especially agricultural economics research this void poses a serious problem for agricultural economics research in the current public research policy environment policy makers and directors of research institutions are confronted with increasingly tight public budgets for r d part of their response has been to seek credible ex ante estimates of

explaining and forecasting bank loans good times and crisis abstractthis article aims to develop a parsimonious model to explain and forecast bank loans to nonfinancial companies during calm periods as well as in situations of financial turmoil it focuses on the french context over a period including financial banking and sovereign debt crises theoretical views and intuitions led us to gauge the marginal informational content of a large set of leading indicators in var and vecm models and to investigate potential nonlinearity in credit dynamics in accordance with firms and banks balance sheet effects the growth rate of equity prices appears to be one of the most interesting leading indicator as well as a significant threshold variable for explaining regime switching however it appears difficult to accurately predict the right credit dynamics regimes a simple var model finally performs better

targeting poverty alleviation in priority setting for agricultural research abstract this paper provides a brief overview of research priority setting methods at various levels in national research systems noting the changing emphasis from supply to demand driven approaches at both macro and micro levels of priority setting the scope for incorporating a poverty dimension into priority setting is then reviewed within a general framework that recognises the complexity of the link between research investments and poverty alleviation the effectiveness of this targeting is likely to be very situation specific a case study of macro priority setting in pakistan shows the limited scope to target benefits to the poor through re allocation of research resources among commodities relative to a ranking based on the efficiency objective given present knowledge enhancing the efficiency and effectiveness of research systems in promoting broad based technical change should be emphasised more than major efforts to target poverty directly this will involve a combination of supply and demand driven approaches to priority setting at different levels in the research system that will enhance both the efficiency and poverty alleviation impacts of research

forecast encompassing as the necessary condition to reject futures market efficiency fluid milk futures the traditional necessary condition for futures market inefficiency is the existence of alternative forecasting methods that produce mean squared forecast errors smaller than the futures market here a more exacting requirement for futures market efficiency is proposed forecast encompassing using the procedure of harvey and newbold multiple forecast encompassing is tested using chicago mercantile exchange fluid milk futures time series models and usda experts provide competing forecasts results suggest milk futures do not encompass the information contained in the usda forecasts at a two quarter horizon while the competing forecasts generate positive revenues it is unlikely that returns exceed transaction costs in this relatively new market

a look into the nature of complex systems and beyond stonehenge economics coping with complexity or ignoring it in applied economics real world economic systems are complex in general but can be approximated by the open systems approach economic systems are very likely to possess the basic and advanced emergent properties e g self organized criticality fractals attractors of general complex systems t he theory of self organized criticality is proposed as a major source of dynamic equilibria and complexity in economic systems this is exemplified in an analysis for self organized criticality of danish agricultural subsectors indicated by power law distributions of the monetary production value for the time period from 1963 to 1999 major conclusions from the empirical part are 1 the sectors under investigation are obviously self organizing and thus very likely to show a range of complex properties 2 the characteristics of the power law distributions that were measured might contain further information about the state or graduation of self organization in the sector varying empirical results for different agricultural sectors turned out to be consistent with the theory of self organized criticality 3 fully self organizing sectors might be economically the most efficient finally empirical implications of the results are discussed complexity theory should be considered as a valuable supplement to the existing analytical toolbox jel classification b52

financial cycles and fiscal multipliers abstractwe show that fiscal multiplier estimations may be biased by movements in asset and credit markets as they facilitate spurious correlations of changes in cyclically adjusted revenues and spending with output growth via an identification bias and an omitted variable bias thus overstating episodes of expansionary consolidations and downplaying contractionary consolidations when controlling for asset and credit market movements in otherwise standard approaches to identification we find multipliers to increase on average by 0 3 1 units fiscal consolidations are thus more likely to be contractionary and more harmful to growth than expected by some strands of the existing literature