Isengildina-Massa, Olga

May, 2022

Costs of Futures Hedging in Corn and Soybean Markets

By: Shi, Ruoding ; Isengildina Massa, Olga
This study develops a comprehensive framework to measure, explain, and anticipate the costs of futures hedging. Using historical futures prices and margin requirements, we simulate hedging costs for corn and soybeans over 2004Ð2018. Empirical distributions derived from the simulation results provide unconditional estimates of the costs of hedging as well as the probability of hedging failure. Conditional estimates assess the impact of margin requirements, price volatility, and price changes as well as seasonal patterns using quantile regressions. Our findings demonstrate that price volatility is a main driver of the costs of hedging and can be used to anticipate future hedging costs.
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September, 2019

The Changing Role of USDA Inventory Reports in Livestock Markets

By: Karali, Berna; Isengildina-Massa, Olga; Irwin, Scott H.
Using traditional price volatility tests, we find that the market impact of USDA Cattle on Feed and Hogs and Pigs reports largely disappeared after 2000. In contrast, using market surprise tests, we find no evidence that the impact of Cattle on Feed information changed significantly after 2000. The evidence is mixed for Hogs and Pigs reports using market surprise tests, with market inventory information increasing in value and breeding inventory decreasing. The contrasting results can be explained by increasing market concentration in cattle and hogs leading to smaller market surprises and smaller futures price reactions.
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December, 2013

The Economic Impact of Services Provided by an Electronic Trade Platform: The Case of MarketMaker

By: Zapata, Samuel D.; Carpio, Carlos E.; Isengildina-Massa, Olga; Lamie, R. David
Despite the touted potential of e-commerce to improve agriculture profits, the literature on effectiveness of e-commerce is very limited. This paper assesses the economic impact of an electronic trade platform (i.e., MarketMaker) on agricultural producers. Contingent valuation techniques are employed to estimate the monetary value that producers placed on MarketMaker services. Results indicate that producers are willing to pay $47.02 annually for the services they receive. Registration type, amount of time registered, amount of time devoted to MarketMaker, type of user, number of marketing contacts received, and firm total annual sales have a significant effect on producers’ willingness to pay.
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April, 2012

A Comprehensive Evaluation of USDA Cotton Forecasts

By: Isengildina-Massa, Olga; MacDonald, Stephen; Xie, Ran
This study evaluates all USDA cotton supply and demand estimates for the United States and China (including unpublished price forecasts) from 1985/86 through 2009/10 for accuracy and efficiency. Results reveal that at every stage of the forecasting cycle forecast smoothing was the most widespread and persistent type of inefficiency observed in most U.S. variables. Correlation with past errors indicated the tendency to repeat past errors in most cases. Tendency to overestimate growth was also found. Bias was uncommon and limited to several cases of overestimation of China’s exports and U.S. price and underestimation of China’s domestic use. While forecasts of China’s imports and endings stocks improved, U.S. price and ending stock forecast errors became larger toward the end of the study period.
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December, 2010

Quantile Regression Estimates of Confidence Intervals for WASDE Price Forecasts

By: Isengildina-Massa, Olga; Irwin, Scott H.; Good, Darrel L.
This study uses quantile regressions to estimate historical forecast error distributions for WASDE forecasts of corn, soybean, and wheat prices, and then compute confidence limits for the forecasts based on the empirical distributions. Quantile regressions with fit errors expressed as a function of forecast lead time are consistent with theoretical forecast variance expressions while avoiding assumptions of normality and optimality. Based on out-of-sample accuracy tests over 1995/96–2006/07, quantile regression methods produced intervals consistent with the target confidence level. Overall, this study demonstrates that empirical approaches may be used to construct accurate confidence intervals for WASDE corn, soybean, and wheat price forecasts.
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August, 2010

To Fund or Not to Fund: Assessment of the Potential Impact of a Regional Promotion Campaign

By: Carpio, Carlos E.; Isengildina-Massa, Olga
This paper develops a framework for assessing the potential economic impact of a regional promotion campaign combining contingent valuation methods with a partial displacement equilibrium model. The proposed approach is applied to the evaluation of the potential economic impact of the locally grown campaign in South Carolina. Results reveal that the first season of the promotion campaign increased consumer willingness to pay for produce by 3.4%. The change in consumer preferences and the corresponding shift in demand increased producer surplus by $3.09 million. This economic benefit, combined with the 2007 promotion campaign investment, resulted in a benefit-cost ratio of 6.18.
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