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Provedor de dados:  AgEcon
País:  United States
Título:  Price Volatility, Nonlinearity, and Asymmetric Adjustments in Corn, Soybean, and Cattle Markets: Implications of Ethanol-Driven (Market) Shocks
Autores:  Tejeda, Hernan A.
Goodwin, Barry K.
Data:  2009-08-25
Ano:  2009
Palavras-chave:  Price volatility
Market linkages
Ethanol-driven shocks
Asymmetric correlations
Agricultural and Food Policy
Agricultural Finance
Demand and Price Analysis
Farm Management
Financial Economics
Public Economics
Research Methods/ Statistical Methods
Resumo:  Grain prices have risen sharply since 2005 and 2006 affecting livestock markets by increasing feed prices and leading to significant volatility shocks. The high price levels and magnitude of sustained high volatilities has raised concerns for many sectors of the economy, in particular those with direct relation to these markets. Policy makers are analyzing the interrelationships among these markets, and the effects of energy market shocks on agricultural markets. This study considers a threshold structure in a multivariate time-series model that evaluates these market linkages, capturing asymmetric correlations between grain and livestock prices, including volatility spillovers. We empirically study the impact of corn usage for ethanol production in the evolution of the above mentioned prices. Results are compared to previous scenarios where corn, soybean and livestock production and consumption did not face the corn demand for ethanol production. We find positive dynamic correlations between corn and soybean and feeder and fed cattle prices, consistent with the literature. And we find an inverse or negative relation between corn and feeder/calf prices for the period post mandated ethanol production, as anticipated by the literature for increased corn prices. Also, we find there are adjustment costs inhibiting price transmission between the crops and the live cattle market, in the form of modifying feeding rations. More relevantly, we identify plausible asymmetric effect on the correlations between the markets, especially when considering the period for the ethanol driven corn consumption versus previous periods of corn consumption. These asymmetric correlations are the result of spillover effects.
Tipo:  Conference Paper or Presentation
Idioma:  Inglês
Relação:  NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management>2009 Conference, April 20-21, 2009, St. Louis, Missouri
NCCC- 134
Formato:  39

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