Three Essays on Agricultural Price Volatility and the Linkages Between Agricultural and Energy Markets PDF Download

Author: Feng Wu
Publisher:
ISBN: 9781267106674
Category : Agricultural prices
Languages : en
Pages : 122

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Author: Isabelle Piot-Lepetit
Publisher: Springer Science & Business Media
ISBN: 1441976345
Category : Business & Economics
Languages : en
Pages : 238

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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.

Author: Jean-Paul Chavas
Publisher: University of Chicago Press
ISBN: 022612908X
Category : Business & Economics
Languages : en
Pages : 394

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There has been an increase in food price instability in recent years, with varied consequences for farmers, market participants, and consumers. Before policy makers can design schemes to reduce food price uncertainty or ameliorate its effects, they must first understand the factors that have contributed to recent price instability. Does it arise primarily from technological or weather-related supply shocks, or from changes in demand like those induced by the growing use of biofuel? Does financial speculation affect food price volatility? The researchers who contributed to The Economics of Food Price Volatility address these and other questions. They examine the forces driving both recent and historical patterns in food price volatility, as well as the effects of various public policies in affecting this volatility. The chapters include studies of the links between food and energy markets, the impact of biofuel policy on the level and variability of food prices, and the effects of weather-related disruptions in supply. The findings shed light on the way price volatility affects the welfare of farmers, traders, and consumers.

Author: Yiyong Yuan
Publisher:
ISBN:
Category : Agricultural prices
Languages : en
Pages : 104

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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.

Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Jing Zhao (Economist)
Publisher:
ISBN:
Category :
Languages : en
Pages : 108

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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.

Author: Thomas W. Hertel
Publisher:
ISBN:
Category :
Languages : en
Pages : 51

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Agricultural and energy commodity prices have traditionally exhibited relatively low correlation. However, recent increases in biofuel production have altered the agriculture-energy relationship in a fundamental way. This increase has drawn on corn previously sold to other uses, as well as acreage devoted to other crops. The US RFS envisions a further boost of ethanol production to 15 billion gallons per year, which might be expected to further strengthen the linkages. We estimate that, in the presence of a binding RFS, the inherent volatility in the US coarse grains market will rise by about one-quarter. And the volatility of the US coarse grains price to supply side shocks in that market will rise by nearly one-half. Under a high oil price scenario, rather than the RFS binding, the binding constraint is likely to be the blend wall. With a binding blend wall, we see similar, although somewhat smaller, increases in market volatility. If both the RFS and the blend wall are on the verge of being binding, then our results suggest that US coarse grains price volatility in response to corn supply shocks would be 57% higher than in the non-binding case, and world price volatility would be boosted by 25%.

Author: Ajewole Martins Kayode
Publisher:
ISBN:
Category :
Languages : en
Pages :

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The United State has experienced a downward trend in cattle and calves marketing over the last decade. The gross income from cattle sales has been in the opposite direction of inventory recorded during this period. With changes in the cattle income over the years, it is expected that the market will be changing over time. This dissertation contains three related essays on feeder cattle market dynamics. The first essay explores spatial arbitrage opportunities in the feeder cattle markets across the United States. The second essay examines the time variation in the feeder cattle spatial market connectedness. The third essay examine the impact of the 2005 energy policy on the feeder cattle markets through a time-varying analysis. The objective of the first essay is to determine the frequency of price differences in spatial feeder cattle markets offer profitable arbitrage? The study further investigates factors determining spatial arbitrage opportunities between pairs of markets. Arbitrage opportunities are at the lowest during the winter in the higher weight categories. The higher the number of cattle head the higher the size of arbitrage opportunities available between spatial markets. This study is the first to use a time-varying transaction cost in the feeder cattle market spatial analysis. The arbitrage information here will serve as a guideline for potential investors in the feeder cattle market. The major study limitation is that livestock is not a truly homogenous product, and there are always at least minor differences in animal prices within a market. The second essay examines the degree of connectedness of the feeder cattle markets in the United States over time. Spillover index measure are applied to capture the impact of price shocks within selected feeder cattle markets on market connectedness. The essay further evaluates the influence of spatiotemporal factors that may impact the degree of market connectedness over the same period, and the impact of drought on periodic price transmission between markets. This is the first study to apply a time-varying approach to study feeder cattle market linkages at the auction level and factors influencing the variation in market connectedness. Seven major auction markets across five states are selected, three markets within the state of Kansas and four markets outside Kansas. There is variation in the level of market connectedness over the study period. Long term drought severity accounts for some of the dynamics in the feeder cattle market. The third essay examines the time path and magnitude of volatility translation across major agricultural commodities and energy markets and compares the causal relationships between pre-ethanol boom and post-ethanol boom periods. Results reveal strong evidence for time variation in the implied volatility spillover between the feeder cattle market and the energy market. Despite a high correlation between crude oil and feeder cattle volatilities in the post-ethanol boom period, the linkage between the two commodities' volatilities is only for a short term.

Author: Matthias Kalkuhl
Publisher: Springer
ISBN: 3319282018
Category : Business & Economics
Languages : en
Pages : 620

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Book Description
This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.

Author: Adam Prakash
Publisher: Bright Sparks
ISBN:
Category : Food prices
Languages : en
Pages : 620

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Book Description
A timely publication as world leaders deliberate the causes of the latest bouts of food price volatility and search for solutions that address the recent velocity of financial, economic, political, demographic, and climatic change. As a collection compiled from a diverse group of economists, analysts, traders, institutions and policy formulators - comprising multiple methodologies and viewpoints - the book exposes the impact of volatility on global food security, with particular focus on the world's most vulnerable.