SABIIA - Sistema Aberto e Integrado de Informação em Agricultura (Sabiia)

Kim, MinKyoung; Koo, Won W..

This study divides the U.S. economy into the agricultural and industrial sectors and compares the degree of the involvement of exchange rates in each sector without specifying the rigid assumption of either exogeneity or endogeneity of exchange rates. Both short- and long-run impacts of shocks in the exchange rate are found to be significant. However, the effect of an exchange rate shock on the agricultural sector is larger than the industrial sector. This study fulfills a fundamental question about the role of exchange rate between the two sectors. The exchange rate is exogenous in the agricultural sector, while being endogenous in the industrial sector.

ASYMMETRIC PATTERN OF INTRA-INDUSTRY TRADE BETWEEN THE UNITED STATES AND CANADA

Palavras-chave: Agricultural Finance.

Ano: 2002

URL: http://purl.umn.edu/19635

This study proposes alternative rationales to explain an asymmetric intra-industry trade pattern between the United States and Canada after the free trade agreement became effective. Using time-series data, a gravity equation is developed which enables us to examine the impacts of relative market size, exchange rates, and transportation costs on bilateral trade. It is found that these three effects have to be taken together in order to explain the asymmetric intra-industry trade pattern. Exchange rate impacts on bilateral trade are found to the most significant, indicating that U.S. dollar appreciation causes a more asymmetric trade pattern for agricultural goods than for large-scale manufacturing goods.

HOW DIFFERENTLY DO THE AGRICULTURAL AND INDUSTRIAL SECTORS RESPOND TO EXCHANGE RATE FLUCTUATION?

Palavras-chave: Border effects; Exchange rates; Gravity equation; Intra-industry trade; National product differentiation model; Product differentiation model; International Relations/Trade.

Ano: 2003

URL: http://purl.umn.edu/23625

Kim, MinKyoung; Koo, Won W..

This study divides the U.S. economy into the agricultural and industrial sectors and compares the degree of involvement of exchange rates in each sector without specifying the rigid assumption of either exogeneity or endogeneity of exchange rates. Both short- and long-run impacts of shocks in the exchange rate are found to be significant. However, the effect of an exchange rate shock on the agricultural sector is larger than that on the industrial sector. This study examines a fundamental question about the role of the exchange rate in the two sectors. The exchange rate is exogenous in the agricultural sector, while being endogenous in the industrial sector.

MANAGING OVERNIGHT CORN PRICE RISKS: E*HEDGING VERSUS TOKYO

Palavras-chave: Role of exchange rates; Endogeneity; Exogeneity; Over-identification; Short- and long-run impulse response.; International Relations/Trade.

Ano: 2002

URL: http://purl.umn.edu/23589

Leuthold, Raymond M.; Kim, MinKyoung.

This study investigates whether U.S. corn merchants can effectively manage the overnight price risk of cash corn purchased after the Chicago Board of Trade closes at 1:15 p.m. on either the electronic Project A market or in the corn contract traded on the Tokyo Grain Exchange. While neither market provides a very effective alternative using traditional measures of analysis, e*hedging on Project A is more effective than hedging in Tokyo. Both could be very effective for those merchants in the market every day. However, trading of corn futures contracts on Project A remains thin and likely illiquid, limiting its usefulness.

Tipo: Journal Article

Palavras-chave: Corn; E*hedging; Electronic markets; Futures markets; Hedging; Overnight price risks; Project A; Tokyo Grain Exchange; Marketing.

Ano: 2000

URL: http://purl.umn.edu/14718

THE DISTRIBUTIONAL BEHAVIOR OF FUTURES PRICE SPREADS

Kim, MinKyoung; Leuthold, Raymond M..

The distributional behavior of futures price spreads is examined for four commodities: corn, live cattle, gold and T-bonds. Remarkably different results are found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and for corn produce more normal distributions for weekly than for daily differencing intervals, while all live cattle spreads for actual changes are normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for corn and live cattle do not become more normally distributed under temporal aggregation of the data.

Tipo: Journal Article

Palavras-chave: Corn; Futures price spreads; Gold; Goodness of fit; Live cattle; Normality tests; Spread distributions; T-bonds; Marketing.

Ano: 2000

URL: http://purl.umn.edu/15399

DETERMINING BILATERAL TRADE PATTERNS USING A DYNAMIC GRAVITY EQUATION

Using a dynamic gravity equation, we show that the national product differentiation model explains food and agricultural trade more properly, while the product differentiation model is more appropriate to explain large-scale manufacturing trade. In this context, our result is not consistent with the one found by Head and Ries (2001) in the short-run. The intuitive explanation for this result is that inward foreign direct investment can occur through either merger or acquisition in the short-run. Second, the pattern of bilateral trade could quickly adjust to changes in relative income between countries. Furthermore, we illustrate the positive impacts of world income growth on bilateral trade, which is in sharp contrast with the conventional analysis....

NONPARAMETRIC KERNEL ESTIMATION OF MULTIPLE HEDGE RATIOS

Palavras-chave: Dynamic gravity equation; National product differentiation; Product differentiation; World income growth; International Relations/Trade.

Ano: 2003

URL: http://purl.umn.edu/23538

Kim, MinKyoung; Leuthold, Raymond M..

It is possible for the traditional hedge ratio estimation to produce erroneous guidance to risk managers because of the restrictive assumptions. This study adopts nonparametric locally polynomial kernel estimation to exclude the assumptions. Results from the hog complex find that hedge ratios estimated by local polynomial kernel regression outperform naïve and GARCH models. Because of the potential assumption violations associated with the estimation and implementation of hedge ratios by GARCH models, LPK is a reasonable alternative for estimating hedge ratios to manage price risks.

Local Polynomial Kernel Forecasts and Management of Price Risks using Futures Markets

Palavras-chave: Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty.

Ano: 2000

URL: http://purl.umn.edu/21737

Kim, MinKyoung; Leuthold, Raymond M.; Garcia, Philip.

This study contributes to understanding price risk management through hedging strategies in a forecasting context. A relatively new forecasting method, nonparametric local polynomial kernel (LPK), is used and applied to the hog sector. The selective multiproduct hedge based on the LPK price and hedge ratio forecasts is, in general, found to be better than continuous hedge and alternative forecasting procedures in terms of reduction of variance of unhedged return. The findings indicate that combining hedging with forecasts, especially when using the LPK technique, can potentially improve price risk management.

NOMINAL EXCHANGE RATE MISALIGNMENT: IS IT PARTICULARLY IMPORTANT TO AGRICULTURAL TRADE?

Palavras-chave: Marketing.

Ano: 2001

URL: http://purl.umn.edu/18966

Cho, Guedae; Kim, MinKyoung; Sun, Edwin; Jin, Hyun Joung; Koo, Won W..

This paper examines whether exchange rate misalignment negatively affects agricultural trade, compared to other industry sectors. Nominal exchange rate misalignment is obtained from the percentage deviation of real exchange rates from their long-run equilibrium based on the theory of purchasing power parity. In order to explore this issue, a bilateral trade matrix involving trade flows between 10 developed countries is constructed. Using panel data analysis, a gravity model is estimated for 4 industry sectors over the period 1974-1999. The study finds that over-valuation (under-valuation) of the nominal exchange rate negatively (positively) affects export performance of the agricultural sector in particular. In the large-scale manufacturing sectors...

RELATIVE AGRICULTURAL PRICE CHANGES IN DIFFERENT TIME HORIZONS

Palavras-chave: Exchange rate misalignment; Agricultural trade; Gravity model; International Relations/Trade.

Ano: 2003

URL: http://purl.umn.edu/23569

Cho, Guedae; Kim, MinKyoung; Koo, Won W..

Using a monthly data covering from 1974:1 to 2002:12, this paper explores the linkage between changes in macroeconomic variables (real exchange rate and inflation rate) and changes in relative agricultural prices in different time horizons (1, 12, 24, 36, 48, and 60 months). Controlling for factors likely to determine the long run trend of relative agricultural prices, the results show that long-term changes in real exchange rate has had a significant negative correlation with the long-term changes in relative agricultural prices. Conversely, changes of the general price have a role in explaining short-term changes in relative agricultural price at best.

THE RELATIVE IMPACT OF NATIONAL MONETARY POLICIES AND INTERNATIONAL EXCHANGE RATE ON LONG-TERM VARIATIONS IN RELATIVE AGRICULTURAL POLICIES

Palavras-chave: Demand and Price Analysis.

Ano: 2003

URL: http://purl.umn.edu/22249

Cho, Guedae; Kim, MinKyoung; Koo, Won W..

This paper seeks to explain the causes of the long-term variation in food and agricultural prices compared to the overall price level in the United States, over the period of 1974-1996. Using cointegration methods, this study confirms a general consensus of long-run neutrality of national money (money supply) and gives practical evidence of the real impact of international money (exchange rate) on the long-term variation of relative agricultural price in the United States, especially during the 1974-1988 period.

THE DISTRIBUTIONAL BEHAVIOR OF FUTURES PRICE SPREAD CHARGES: PARAMETRIC AND NONPARAMETRIC TESTS FOR GOLD, T-BONDS, CORN AND LIVE CATTLE

Palavras-chave: Long-term variation of agricultural prices; Exchange rates; Money supply; Agricultural and Food Policy; Financial Economics.

Ano: 2004

URL: http://purl.umn.edu/23495

Kim, MinKyoung; Leuthold, Raymond M..

The distributional behavior for futures price spread changes is examined through parametric and nonparametric tests on four different commodities: corn and live cattle, and gold and T-bonds with two different sample sizes. Data are examined for selected periods, stable (1992) and unstable (1988). Remarkably different results were found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and of corn produced more normal distributions as intervals were widened from daily to weekly, while all live cattle spreads for actual changes were normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for both corn and live cattle did not converge...

EXCHANGE RATE PASS-THROUGH AND ITS RELATION TO MARKET POWER: REINTERPRETATION OF THE DEGREE OF EXCHANGE RATE PASS-THROUGH

Palavras-chave: Marketing.

Ano: 1997

URL: http://purl.umn.edu/14767

We propose a different perspective for interpretation of exchange rate pass-through: a relatively lower (higher) degree of pass-through implies a competitive (less competitive) market. Using three different wheat exporting countries, the United States, Canada, and Australia, and two importing countries, Japan and Korea, we are not likely to reject our hypothesis. In the competitive market (Japan), the exporting countries determine their prices based on changes in the competing country's price, and as a result, there is a close-to-zero degree of exchange rate pass-through. However, a lower degree of price competition and a significantly higher degree of exchange rate pass-through are found in a less competitive market (Korea).

THE CAUSES OF INTRA-INDUSTRY TRADE BETWEEN THE U.S. AND CANADA:TIME-SERIES APPROACH WITH A GRAVITY MODEL

Palavras-chave: Agribusiness.

Ano: 2003

URL: http://purl.umn.edu/21908

This study proposes alternative reasons to explain an asymmetric intra-industry trade for agricultural products between Canada and the United States after the free trade agreement became effective. Using time-series data, a gravity model is developed which enables us to examine the significance of exchange rates and different trade patterns on bilateral trade.

Macro Effects on Agricultural Prices in Different Time Horizons

Palavras-chave: International Relations/Trade.

Ano: 2003

URL: http://purl.umn.edu/21943

Koo, Won W.; Cho, Guedae; Kim, MinKyoung.

Using monthly data covering 1974:1 to 2002:12, this paper explores the linkage between changes in macroeconomic variables (real exchange rate and inflation rate) and changes in relative agricultural prices in different time horizons (1, 12, 24, 36, 48, and 60 months). By controlling factors that determine the long-run trend of relative agricultural prices, the results show that long-term changes in real exchange rates have had a significant negative correlation with the long-term changes in relative agricultural prices. Conversely, changes in the general price significantly affect short-term changes in the relative agricultural price.