Author: Feng WuPublisher:
ISBN: 9781267106674
Category : Agricultural prices
Languages : en
Pages : 122
Book Description
Three Essays on Agricultural Price Volatility and the Linkages Between Agricultural and Energy Markets
Author: Feng WuPublisher:
ISBN: 9781267106674
Category : Agricultural prices
Languages : en
Pages : 122
Book Description
Three Essays on Agricultural Price Volatility
Author: Yiyong YuanPublisher:
ISBN:
Category : Agricultural prices
Languages : en
Pages : 104
Book Description
The three essays of this dissertation cover issues of understanding and managing price uncertainty across the meat value chain and related futures market. The first essay discussed the implications of recent change in retailing industry's pricing strategy; the second essay described a State Space Model approach estimation of the joint distribution of cash-futures prices and a simulation-based Conditional-VaR approach determination of optimal futures exposure determination in contrast with minimum variance hedge ratio when preference free optimal hedge ratio does not exist; the third essay described the empirical changes in the hog price volatility summarized by a series of long memory GARCH model of the absolute return series in view of the recent industry structural change. The first essay investigated the impact of two coexisting retail price strategies for selling perishable products on the volatility of both the farm-level price and the retailer's margin. The two strategies included the traditional High-Low strategy and the Every-Day-Low-Price (EDLP) pricing strategy. In contrast to non-perishable consumer products, perishable products, which are often of very inelastic demand, obtain their price fluctuations mainly through supply side shocks. A two-retailer model was developed to examine the volatilities of grocery retailers' margin and producer price due to supply shocks for a perishable product. Results indicated a volatility difference exists between EDLP and High-Low retailers' marginal revenue when the two pricing strategies coexist, and as the market share of EDLP format increases this margin volatility difference deepens and farm-level price volatility also increases. The second essay proposed a state space model based estimation of the cash-futures price dependence relationship and a coherent C-VaR-approach optimal futures exposure determination based on simulated data in response to situations where the preference-free optimal hedge ratio no longer exists and the minimum variance hedge ratio is not appropriate. The State Space Model serves as an alternative method to other joint distribution estimation methods. The determined optimal futures exposure showed that the minimum variance hedge ratio discourages hedging. Parallel analyses using existing constant minimum conditional variance (MCV) hedge ratio models and a time-varying MCV ratio based on Multivariate GARCH models was also conducted for comparison. The C-VaR approach optimal futures position exposure reported different optimal futures positions for the "short hedge" and the "long hedge" situations. The third essay analyzed the historical change of the realized price volatility defined as the weekly hog price absolute return from 1973 to 2008 using long memory effect in the mean and variance process. The ARFIMA-FIGARCH/IGARCH Model results confirmed a significant long memory effect in the absolute return for a period around the end of the 1990s with documented structural change. I found no significant long memory effect for any other period. The model result also showed a significant ARCH-M effect that is explained as a fierce industry structural adjustment leading to a more dramatic price volatility change.
Three Essays on Agricultural Policy and Food Demand
Author: Jing Zhao (Economist)Publisher:
ISBN:
Category :
Languages : en
Pages : 108
Book Description
These essays study important causes and interactions of agricultural policy and food demand. Essay one identifies the pattern of wheat support and income over historical data. The results indicate that income has statistically significant effects on wheat support, the pattern is nonlinear and varies among support mechanisms, and this relationship permits estimation of the future support. Essay two examines the effect of China wheat stock policies in 2006-2013 on the market using a structural economic model. Simulation results suggest that government stock policies stabilized wheat market prices, if measured by the standard deviation, and raised production in China. Essay three applies fixed effect and demand system models to estimate how refrigerator ownership affects food consumption in rural China. Refrigerator ownership reduces total food expenditure and meat consumption quantity, according to the estimation results, and might increase the expenditure share of perishable foods, like meat, egg and seafood. Taken as a whole, the results suggest that scientists should consider the impact of expanding refrigerator ownership, recognize the potential effect of public stocks on the evolution of price, and include the income-to-support relationship in long-run analysis to generate more accurate projections of consumption, price volatility, and agricultural support.
Three Essays In Commodity Price Dynamics
Author: Amal DabbousPublisher:
ISBN:
Category :
Languages : en
Pages : 121
Book Description
This thesis consists of three essays in commodity price dynamics. In the first essay, we embed a staggered price feature into the speculative storage model of Deaton and Laroque (1996). Intermediate goods inventory speculators are added as an additional source of intertemporal linkage which helps us to replicate the stylized facts of the observed commodity price dynamics. The staggered pricing mechanism adopted in this paper can be viewed as a parsimonious way of approximating various types of frictions that increase the degree of persistence in the first two conditional moments of commodity prices. The structural parameters of our model are estimated by simulated method of moments using actual prices for four agricultural commodities. Simulated data are then employed to assess the effects of our staggered price approach on the time series properties of commodity prices. Our results lend empirical support to the possibility of staggered prices. The second essay investigates the determinants of the percentage change in commodity prices. We apply the dynamic Gordon growth model technique and conduct the variance decomposition for the percentage change in spot commodity prices to 6 agricultural commodities. The model explains the percentage change in spot commodity prices in terms of the expected present discounted values of interest rate, yield spread, open interest and convenience yield. Empirical results indicate that the model is successful in capturing a large proportion of the variability in the 6 agricultural commodity prices. Moreover, we show that yield spread and open interest help predicting changes in commodity prices. Finally, the third essay evaluates different hedging strategies for eleven commodities. In addition to the traditional regression hedge ratio model (OLS) and the vector error correction model (VECM), we estimate dynamic hedge ratios using the conventional dynamic conditional correlation model (DCC) of Engle (2002) and the diagonal BEKK model (DBEKK) of Engle and Kroner (1995). Moreover, we propose two more advanced models, the DCC model and the DBEKK model that will account for the impact of the growth rate of open interest on market’s volatility and co-movements of commodity spot and futures returns. The empirical analysis shows that adding the growth rate of open interest improves the in-sample hedging effectiveness of the DCC model. Furthermore, the out-of-sample hedging exercise empirical results show that static models present the best out-of-sample hedging performance for 5 of the commodities. The DCC model presents the smallest basis variance for 4 of the commodities. The DBEKK model with the growth rate of open interest performs the best in terms of the basis variance reduction for corn and wheat. Our out-of-sample empirical findings provide important implications for futures hedging and highlight the fact that the use of static models to determine the optimal hedge ratio could be more effective than the use of dynamic hedge ratio models.
Three essays on price analysis of selected agricultural commodities
Author: Yuanlong GeThree Essays on Imperfect Competition in Agricultural Markets
Author: Mingxia ZhangEssays on Trade Agreements, Agricultural Commodity Prices and Unconditional Quantile Regression
Author: Na LiSelf-regulation, Productivity, and Non-linear Pricing
Author: Angelo M. ZagoMethods to Analyse Agricultural Commodity Price Volatility
Author: Isabelle Piot-LepetitPublisher: Springer
ISBN: 9781489988812
Category : Business & Economics
Languages : en
Pages : 0
Book Description
This book examines the issue of price volatility in agricultural commodities markets and how this phenomenon has evolved in recent years. The factors underlying the price spike of 2007-08 appear to be global and macroeconomic in nature, including the rapid growth in demand by developing countries, the international financial crisis, and exchange rate movements. Some of these factors are new, appearing as influences on price volatility only in the last decade. Although volatility has always been a feature of agricultural commodity markets, the evidence suggests that volatility has increased in certain commodity markets. A growing problem is that agricultural price shocks and volatility disrupt agricultural markets, economic incentives and incomes. With increased globalization and integration of financial and energy markets with agricultural commodity markets, the relationships between markets are expanding and becoming more complex. When a crisis such as a regional drought, food safety scare or a financial crisis hits a particular market, policy-makers often do not know the extent to which it will impact on other markets and affect producer, consumer and trader decisions. Including contributions from experts at the World Bank, the Food and Agriculture Organization of the United Nations, the USDA, and the European Commission, the research developed throughout the chapters of this book is based on current methodologies that can be used to analyze price volatility and provide directions for understanding this volatility and the development of new agricultural policies. The book highlights the challenges facing policy makers in dealing with the changing nature of agricultural commodities markets, and offers recommendations for anticipating price movements and managing their consequences. It will be a practical guide for both present and future policy-makers in deciding on potential price-stabilizing interventions, and will also serve as a useful resource for researchers and students in agricultural economics.
Essays on Agricultural Markets in Developing Countries
Author: Aakanksha MelkaniPublisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 231
Book Description
Robust and vibrant agricultural markets are an important component of inclusive agriculture-led economic development. Governments of developing countries play an important role in fostering an enabling environment for agricultural markets to thrive and in addressing shortcomings arising due to incomplete agricultural markets. However, excessive government involvement can also lead to inefficiencies and can further obstruct the development of agricultural markets. This dissertation focuses on various agricultural market outcomes and evaluates them in light of government interventions that potentially have a direct or indirect effect on them.The first essay investigates whether and how liquidity constraints during the production period affect smallholders' market participation and choice of marketing channel in the context of the Zambian maize market. During the period of the study, the country's parastatal marketing board 0́3 the Food Reserve Agency (FRA) 0́3 operated alongside private buyers and purchased large volumes of maize at a pan-territorial price that exceeded average market prices. Results indicate that liquidity-constrained maize-growing smallholders produced less maize output, were less likely to sell maize, and were less likely to sell to the FRA, as compared to those that did not face liquidity constraints. These results imply that benefits of market policies like those of the FRA are likely to be disproportionately captured by relatively wealthier and less resource constrained farmers.The second essay focusses on the effects of various regulations imposed on international trade and the domestic fertilizer market on fertilizer imports - an important component of domestic fertilizer supply in most developing countries. The results indicate that increased time and/or costs needed to comply with border regulations (such as clearing customs and inspections) are associated with a decline in the volume of fertilizer imported. However, fertilizer market-specific regulations are not found to be statistically significantly associated with fertilizer imports. Further investigation reveals that the border regulation-related findings hold mainly for high and middle-income countries, plausibly due to poor enforcement of formal laws and the greater importance of informal rules in the markets of low-income countries.The third essay explores whether price uncertainty (a form of price volatility) affects the price levels of maize products in urban Zambia, in light of the highly discretionary and ad-hoc government interventions in the country's maize markets. Excessive price volatility of staple food products has adverse effects on food and nutritional security of vulnerable populations and can potentially disrupt the development of resilient food markets. I conduct a Vector Autoregressive-Generalized Autoregressive Conditional Heteroscedastic (1,1)-in-mean (VAR-GARCH(1,1)-in-mean) analysis of monthly price data for four maize products: wholesale maize grain, retail maize grain, and two types of maize flour 0́3 breakfast meal (highly refined) and roller meal (less refined). I find some weak evidence that an increase in uncertainty in wholesale maize grain prices is associated with a small increase in own prices, although this result does not hold across all specifications. Price uncertainty of other products is not found to be associated with changes in prices of own or other products. The application of VAR-GARCH(1,1)-in-mean to model prices of food products across a value chain is a methodological improvement over existing studies in this area in a developing country context.