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- 저자 : B. Wade Brorsen (검색결과 3 건)
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Characteristics and Performance of Commodity Indexes
( Byung Sam Yoon ),( B. Wade Brorsen ) 한국축산경영학회,농업정책학회(구 한국축산경영학회) 2012 농업경영정책연구 Vol.39 No.4
Investment products based on futures-based commodity indexes are thriving in recent years. However, the index methodology and performance characteristics of these commodity indexes are not well understood by investors. This study reviews and analyzes four major investable commodity indexes: S&P Goldman Sachs Commodity Index (S&P GSCI), Dow Jones-UBS Commodity Index (DJ-UBSCI), Thomson Reuters/Jefferies CRB Index (TR/J CRB) and Rogers International Commodity Index (RICI). The results from risk and return analysis show that the RICI, the most diverse commodity index, has the best performance over various investment horizons. The S&P GSCI, an energy-focused index, has the highest volatility, and the DJ-UBSCI, a broad-based index with weighting constraints, has the lowest volatility. Commodity indexes are closely related to each other, and the commodity indexes have a weak positive correlation with the S&P 500 equity index. Johansen cointegration tests show that the four major commodity indexes are distinct from one another and serve different purposes.
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Spatial Price Dynamics in the U.S. Vegetables Sector
김선웅,Samantha L. Durborow,Shida R. Henneberry,B. Wade Brorsen 한국농식품정책학회 2017 한국농식품정책학회 학술대회 논문집 Vol.2017 No.2
This article investigates price transmission in the U.S. fresh vegetable market, considering the top five vegetables consumed: carrots, lettuce, onions, potatoes, and tomatoes. An asymmetric variable-threshold autoregressive model (AvTAR) was used to estimate price relationships between 54 terminal market pairs, while the parity bounds model (PBM) was used to estimate the probability of 28 shipping point to terminal market pairs behaving efficiently. Results for the AvTAR model provide evidence that the level of perishability positively impacts the level of market integration and of increasing transaction costs among nearly 70% of the markets studied. Results for the PBM indicate that 18% of the markets studied had more than a 10% probability of behaving inefficiently, indicating that while the majority of markets behaved efficiently, there is room for improvement. The estimated thresholds have been suggested as an estimated of transport cost, but estimated thresholds often differ substantially from actual transport costs.
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김선웅(Seon-Woong Kim),윤병삼(Byung-Sam Yoon),B. Wade Brorsen 한국농업정책학회, 한국축산경영학회 2016 농업경영정책연구 Vol.43 No.2
The primary objective of the study is to compare the performance of time-series models for forecasting the price of Korean ginseng. Four different types of extended AR (autoregressive) model with various rolling windows are evaluated based on the accuracy measures and optimality conditions (unbiasedness and efficiency). Results show that the proposed ARXMG (autoregressive model with monthly dummies, an exogenous acreage variable, and the conditional variance of GARCH process) model with 48-month rolling window is the best among all the models considered in this study.
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