Scott H. Irwin | University of Illinois at Urbana-Champaign (original) (raw)
Papers by Scott H. Irwin
American Journal of Agricultural Economics
A long-standing puzzle in commodity markets is the low explanatory power of supply and demand fun... more A long-standing puzzle in commodity markets is the low explanatory power of supply and demand fundamentals for explaining the variability of prices in these markets. We apply an instrumental variable correction for measurement errors to investigate how noise in the surprise component of USDA Crop Production reports affects estimated price responses in corn, soybeans, and wheat futures markets from 1970 to 2016. Our findings demonstrate that after correcting for measurement error in market surprises, the explanatory power of our models increases about threefold and often exceeds 70%. This is compelling evidence that fundamental supply news play an important role in explaining grain futures price movements.
Journal of Commodity Markets
Heterogeneity, ie, the notion that individuals respond differently to economic stimuli, can have ... more Heterogeneity, ie, the notion that individuals respond differently to economic stimuli, can have profound consequences for the interpretation of behavior and the formulation of agricultural policy. This paper compares and evaluates three grouping techniques that ...
Applied Economic Perspectives and Policy
Applied Economic Perspectives and Policy
Journal of Economic Surveys
Journal of Agricultural and Applied Economics
This study sought to determine whether monthly revisions of U.S. Department of Agriculture curren... more This study sought to determine whether monthly revisions of U.S. Department of Agriculture current-year corn and soybean yield forecasts are correlated and whether this correlation is associated with crop size. Anex-antemeasure of crop size based on percent deviation of the current estimate from out-of-sample trend is used in efficiency tests based on the Nordhaus framework for fixed-event forecasts. Results show that available information about crop size is generally efficiently incorporated in these forecasts. Thus, although this pattern may appear obvious to market analysts in hindsight, it is largely based on new information and hence difficult to anticipate.
Journal of Agricultural and Applied Economics
Using 1971-2000 data, we examine the accuracy of corn and soybean production forecasts provided b... more Using 1971-2000 data, we examine the accuracy of corn and soybean production forecasts provided by the USD A and two private agencies. All agencies improved their forecasts as the harvest progressed, and forecast errors were highly correlated and unbiased. The relative forecast accuracy of the agencies varied by crop and month. For corn, USDA's forecasts ranked as most accurate of the three agencies in all periods except for August during the recent period and improved most markedly as harvest progressed. For soybeans, forecast errors were very similar, with the private agencies ranking as most accurate for August and September and making largest relative improvements for August during the recent period. The USDA forecasts were dominant for October and November. Our findings identify several patterns of relative forecast accuracy that have implications for private and public decision makers.
Applied Economic Perspectives and Policy
... Comment. Journal of Political Economy 92(1): 162-164. ... Till, Hilary. 2006. A Long-Term Per... more ... Comment. Journal of Political Economy 92(1): 162-164. ... Till, Hilary. 2006. A Long-Term Perspective on Commodity Futures Returns. ... Asset Management Research Center, EDHEC Business School. United States Senate, Permanent Subcommittee on Investigations (USS/PSI). ...
Journal of Agricultural and Applied Economics, 2010
This article tests the efficiency of the hog options market and assesses the impact of the 1996 c... more This article tests the efficiency of the hog options market and assesses the impact of the 1996 contract redesign on efficiency. We find that the hog options market is efficient, but some options yielded excess returns during the live hogs period but not during the lean hogs period. Our findings indicate that the hog options market is efficient and is consistent with the new contract improving the efficiency of the market. However, other market conditions such as lower transaction costs during the lean hogs period can also contribute to reduce expected option returns during the latter period.
Journal of Agricultural and Applied Economics, 2009
The purpose of this paper is to analyze the marketing performance of wheat farmers in Illinois an... more The purpose of this paper is to analyze the marketing performance of wheat farmers in Illinois and Kansas over 1982-2004. The results show that farmer benchmark prices for wheat in Illinois and Kansas fall in the middle third of the price range about half to three-quarters of the time. Consistent with previous studies, this refutes the contention that Illinois and Kansas wheat farmers routinely market the bulk of their wheat crop in the bottom portion of the price range. Tests of the average difference between farmer and market benchmark prices are sensitive to the market benchmark considered. The marketing performance of wheat farmers in Illinois and Kansas is about equal to the market if a 24- or 20-month market benchmark is used, slightly above the market if a 12-month price benchmark is used, and significantly less than the market if the harvest benchmark is used. The sensitivity of marketing performance to the market benchmark considered is explained by the seasonal pattern of ...
Journal of Agricultural and Applied Economics, 2009
It is commonly asserted that speculative buying by index funds in commodity futures and over-the–... more It is commonly asserted that speculative buying by index funds in commodity futures and over-the–counter derivatives markets created a “bubble“ in commodity prices, with the result that prices, and crude oil prices, in particular, far exceeded fundamental values at the peak. The purpose of this paper is to show that the bubble argument simply does not withstand close scrutiny. Four main points are explored. First, the arguments of bubble proponents are conceptually flawed and reflect fundamental and basic misunderstandings of how commodity futures markets actually work. Second, a number of facts about the situation in commodity markets are inconsistent with the existence of a substantial bubble in commodity prices. Third, available statistical evidence does not indicate that positions for any group in commodity futures markets, including long-only index funds, consistently lead futures price changes. Fourth, there is a historical pattern of attacks upon speculation during periods of...
Applied Economic Perspectives and Policy, 2015
If you experience problems downloading a file, check if you have the proper application to view i... more If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. ...
2002 Conference April 22 23 2002 St Louis Missouri, 2002
American Journal of Agricultural Economics
A long-standing puzzle in commodity markets is the low explanatory power of supply and demand fun... more A long-standing puzzle in commodity markets is the low explanatory power of supply and demand fundamentals for explaining the variability of prices in these markets. We apply an instrumental variable correction for measurement errors to investigate how noise in the surprise component of USDA Crop Production reports affects estimated price responses in corn, soybeans, and wheat futures markets from 1970 to 2016. Our findings demonstrate that after correcting for measurement error in market surprises, the explanatory power of our models increases about threefold and often exceeds 70%. This is compelling evidence that fundamental supply news play an important role in explaining grain futures price movements.
Journal of Commodity Markets
Heterogeneity, ie, the notion that individuals respond differently to economic stimuli, can have ... more Heterogeneity, ie, the notion that individuals respond differently to economic stimuli, can have profound consequences for the interpretation of behavior and the formulation of agricultural policy. This paper compares and evaluates three grouping techniques that ...
Applied Economic Perspectives and Policy
Applied Economic Perspectives and Policy
Journal of Economic Surveys
Journal of Agricultural and Applied Economics
This study sought to determine whether monthly revisions of U.S. Department of Agriculture curren... more This study sought to determine whether monthly revisions of U.S. Department of Agriculture current-year corn and soybean yield forecasts are correlated and whether this correlation is associated with crop size. Anex-antemeasure of crop size based on percent deviation of the current estimate from out-of-sample trend is used in efficiency tests based on the Nordhaus framework for fixed-event forecasts. Results show that available information about crop size is generally efficiently incorporated in these forecasts. Thus, although this pattern may appear obvious to market analysts in hindsight, it is largely based on new information and hence difficult to anticipate.
Journal of Agricultural and Applied Economics
Using 1971-2000 data, we examine the accuracy of corn and soybean production forecasts provided b... more Using 1971-2000 data, we examine the accuracy of corn and soybean production forecasts provided by the USD A and two private agencies. All agencies improved their forecasts as the harvest progressed, and forecast errors were highly correlated and unbiased. The relative forecast accuracy of the agencies varied by crop and month. For corn, USDA's forecasts ranked as most accurate of the three agencies in all periods except for August during the recent period and improved most markedly as harvest progressed. For soybeans, forecast errors were very similar, with the private agencies ranking as most accurate for August and September and making largest relative improvements for August during the recent period. The USDA forecasts were dominant for October and November. Our findings identify several patterns of relative forecast accuracy that have implications for private and public decision makers.
Applied Economic Perspectives and Policy
... Comment. Journal of Political Economy 92(1): 162-164. ... Till, Hilary. 2006. A Long-Term Per... more ... Comment. Journal of Political Economy 92(1): 162-164. ... Till, Hilary. 2006. A Long-Term Perspective on Commodity Futures Returns. ... Asset Management Research Center, EDHEC Business School. United States Senate, Permanent Subcommittee on Investigations (USS/PSI). ...
Journal of Agricultural and Applied Economics, 2010
This article tests the efficiency of the hog options market and assesses the impact of the 1996 c... more This article tests the efficiency of the hog options market and assesses the impact of the 1996 contract redesign on efficiency. We find that the hog options market is efficient, but some options yielded excess returns during the live hogs period but not during the lean hogs period. Our findings indicate that the hog options market is efficient and is consistent with the new contract improving the efficiency of the market. However, other market conditions such as lower transaction costs during the lean hogs period can also contribute to reduce expected option returns during the latter period.
Journal of Agricultural and Applied Economics, 2009
The purpose of this paper is to analyze the marketing performance of wheat farmers in Illinois an... more The purpose of this paper is to analyze the marketing performance of wheat farmers in Illinois and Kansas over 1982-2004. The results show that farmer benchmark prices for wheat in Illinois and Kansas fall in the middle third of the price range about half to three-quarters of the time. Consistent with previous studies, this refutes the contention that Illinois and Kansas wheat farmers routinely market the bulk of their wheat crop in the bottom portion of the price range. Tests of the average difference between farmer and market benchmark prices are sensitive to the market benchmark considered. The marketing performance of wheat farmers in Illinois and Kansas is about equal to the market if a 24- or 20-month market benchmark is used, slightly above the market if a 12-month price benchmark is used, and significantly less than the market if the harvest benchmark is used. The sensitivity of marketing performance to the market benchmark considered is explained by the seasonal pattern of ...
Journal of Agricultural and Applied Economics, 2009
It is commonly asserted that speculative buying by index funds in commodity futures and over-the–... more It is commonly asserted that speculative buying by index funds in commodity futures and over-the–counter derivatives markets created a “bubble“ in commodity prices, with the result that prices, and crude oil prices, in particular, far exceeded fundamental values at the peak. The purpose of this paper is to show that the bubble argument simply does not withstand close scrutiny. Four main points are explored. First, the arguments of bubble proponents are conceptually flawed and reflect fundamental and basic misunderstandings of how commodity futures markets actually work. Second, a number of facts about the situation in commodity markets are inconsistent with the existence of a substantial bubble in commodity prices. Third, available statistical evidence does not indicate that positions for any group in commodity futures markets, including long-only index funds, consistently lead futures price changes. Fourth, there is a historical pattern of attacks upon speculation during periods of...
Applied Economic Perspectives and Policy, 2015
If you experience problems downloading a file, check if you have the proper application to view i... more If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. ...
2002 Conference April 22 23 2002 St Louis Missouri, 2002
Proceedings NCR-134 Conference: Applied Commodity Price Analysis, Forecasting, and Market Risk Management, April 23-24, St. Louis, Missouri, USA., Jan 1, 2001