Outlook vs. Futures: Three Decades of Evidence In Hog and Cattle Markets

Posted: 8 Mar 2010

See all articles by Evelyn V. Colino

Evelyn V. Colino

University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics

Scott H. Irwin

University of Illinois at Urbana-Champaign

Date Written: January 2010

Abstract

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.

Keywords: cattle, encompassing, forecast, futures prices, hogs, outlook, RMSE, Q11, Q13

Suggested Citation

Colino, Evelyn V. and Irwin, Scott, Outlook vs. Futures: Three Decades of Evidence In Hog and Cattle Markets (January 2010). American Journal of Agricultural Economics, Vol. 92, No. 1, pp. 1-15, 2010, Available at SSRN: https://ssrn.com/abstract=1565241 or http://dx.doi.org/aap013

Evelyn V. Colino (Contact Author)

University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics ( email )

1301 W. Gregory Drive
Urbana, IL 61801
United States

Scott Irwin

University of Illinois at Urbana-Champaign ( email )

344 Mumford Hall
1301 W. Gregory Dr.
Urbana, IL 61801
United States
217-333-6087 (Phone)

HOME PAGE: http://https://scotthirwin.com/

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