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

Jin, Hyun Joung; Miljkovic, Dragan.

We analyze the movement of farm prices relative to other commodity prices in the period 1913:1-2003:12, investigating the number and time of structural breaks and discussing likely causes of structural breaks in the relative farm prices. Bai and Perron's (1998, 2003) multiple structural change test with a dynamic programming algorithm is used. This test makes it possible to have an efficient computation of the estimates of the break points as global minimizers of the sum of squared residuals. We find 6 structural breaks when we consider only the mean process and 2 breaks when we consider the mean and autoregressive processes. Possible causes for these breaks are discussed.

THE EFFECTS OF US/CANADA TRADE ON PRODUCTION COSTS AND PRODUCTIVITY

Palavras-chave: Farm Prices; Other Commodity Prices; Multiple Structural Breaks; Research Methods/ Statistical Methods; Q11; C22.

Ano: 2005

URL: http://purl.umn.edu/19118

Lambert, David K.; Schuck, Eric C.; Jin, Hyun Joung; Koo, Won W..

Increased international trade can affect production costs by promoting changing input and output prices and by promoting technological innovation. Econometric results suggest increasing state exports of agricultural products and rising US/Canada agricultural trade has shifted production costs from labor and material inputs towards capital and land and that trade-induced technological improvements have driven down production costs in the Great Plains.

THE EFFECT OF FOOD-SAFETY RELATED INFORMATION ON CONSUMERS' PREFERENCE: THE CASE OF BSE OUTBREAK IN JAPAN

Palavras-chave: International Relations/Trade.

Ano: 2003

URL: http://purl.umn.edu/22008

Jin, Hyun Joung; Koo, Won W..

This study analyzes consumers' responses to food-safety related information by evaluating if Japanese consumers have undergone a structural change in their preferences for meat due to the BSE outbreak in the country. The axiom of revealed preference is utilized to test the stability of preference in Japanese meat consumption. The matrix of weak form of revealed preference (WARP) is partitioned and Kruskal-Wallis statistics are derived to evaluate whether the switches of preference are transitory or due to a structural change. Empirical results show that Japanese meat demand has undergone a structural change, synchronized with the BSE outbreak in Japan in mid-September 2001.

Import Demand for Quality in the Japanese Beef Market

Palavras-chave: Food Consumption/Nutrition/Food Safety.

Ano: 2003

URL: http://purl.umn.edu/22043

Miljkovic, Dragan; Jin, Hyun Joung.

The case of reduction in ad valorem tariffs as a trade liberalization policy is considered in this article. It is shown that the reduction leads to a higher quality of imports, ceteris paribus. This hypothesis was tested on the case of Japanese beef imports from the United States and Australia. U.S. beef, according to the results of Gallup surveys, is considered by Japanese consumers to be a high quality product, while Australian beef is considered to be a low quality product. Empirical results support the hypothesis. Moreover, the recent domination of U.S. beef in the Japanese market is further explained by increasingly more efficient U.S. beef production relative to Australian production and a strong income effect, where an increase in per capita income...

Tipo: Journal Article

Palavras-chave: Ad valorem tariff; Beef imports; Japan; Quality; Trade liberalization; International Relations/Trade.

Ano: 2006

URL: http://purl.umn.edu/10222

Third-Country Effects on the Market Shares of U.S. Wheat in Asian Countries

A REEXAMINATION OF FRACTIONAL INTEGRATING DYNAMICS IN FOREIGN CURRENCY MARKETS

Jin, Hyun Joung; Cho, Guedae; Koo, Won W..

An import demand model, augmented with third-country effect variables, is developed to examine the effects of strong U.S. dollar, volatility of the U.S. dollar, and competition among the exporting countries on the shares of U.S. wheat in Asian markets. In the empirical model, the dependent variable is the market shares of U.S. wheat. Explanatory variables include wheat prices of exporting countries, exchange rates between the importing and exporting countries, and volatilities of the exchange rates. Panel estimation results show that the U.S. currency values and volatility, Australian wheat price, and the volatilities of Canadian and Australian currency values have significant effects on U.S. market shares.

Tipo: Journal Article

Palavras-chave: Exchange rate; International grain trade; Market share; Panel analysis; Panel unit-root test; Third country effect; F14; Q17.

Ano: 2004

URL: http://purl.umn.edu/43478

Elder, John; Jin, Hyun Joung; Koo, Won W..

This paper reexamines foreign currency markets for evidence of fractional integration, and extends the extant literature in several important dimensions. First, we utilize a new semiparametric wavelet-based estimator, which is far superior to the more prevalent GPH estimator on the basis of mean squared error. Second, we utilize a broader and longer sample, which better facilitates the detection of long memory dynamics. Our analysis yields interesting empirical results that contrast with other recent studies. In particular, we find new evidence that a large proportion (fourteen out of nineteen) of exchange rate series display evidence of long memory, with little variation over alternative sample periods.

The Role of Productivity Growth and Farmers' Income Protection Policies in the Decline of Relative Farm Prices in the United States

Palavras-chave: Financial Economics.

Ano: 2004

URL: http://purl.umn.edu/20004

Miljkovic, Dragan; Jin, Hyun Joung; Paul, Rodney.

The paper emphasizes three interrelated questions about the decline in relative farm to non-farm prices in the United States since 1973; 1) Is it unusual, 2) What caused it, and 3) Is it likely to continue? We find that based on historical and international evidence this phenomenon may be considered unusual. Separating farm price and income support in 1973 and growing relative productivity in agriculture has been the major contributor to changing the trend of the relative farm goods inflation. This trend is likely to continue based on predicted steady growth of relative agricultural productivity and continuation of direct payments and other forms of farm income support policies.

THE EFFECT OF FOOD-SAFETY RELATED INFORMATION ON CONSUMER PREFERENCE: THE CASE OF THE BSE OUTBREAK IN JAPAN

Palavras-chave: Government transfers; Productivity growth; Relative farm prices; Agricultural and Food Policy; Agricultural Finance; Productivity Analysis.

Ano: 2007

URL: http://purl.umn.edu/9368

Jin, Hyun Joung; Sun, Changyou; Koo, Won W..

This paper uses a nonparametric approach for testing whether there is a structural change in the meat demand of Japanese consumers due to the BSE (mad-cow disease) outbreak in the country. The axiom of revealed preference is utilized to test the stability of preference in Japanese meat consumption. The matrix of weak form of revealed preference (WARP) is partitioned and Kruskal-Wallis statistics are derived to evaluate whether the switches of preference are transitory or due to a structural change. Empirical results show that Japanese meat demand is currently unstable and has undergone a structural change, synchronized with the BSE outbreak in Japan in mid-September 2001.

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

Palavras-chave: BSE (Mad-Cow Disease); The Revealed Preference Test; WARP; Structural change; Food Consumption/Nutrition/Food Safety.

Ano: 2003

URL: http://purl.umn.edu/23636

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...

ANALYSIS OF U.S. WHEAT MARKET SHARES IN EAST ASIA

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

Ano: 2003

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

Jin, Hyun Joung; Koo, Won W..

The effects of U.S. wheat prices, dollar values, and their volatilities on U.S. wheat market shares in 10 Asian countries are analyzed. The variables are converted to a relative form comparing the U.S. against Australian and Canadian variables in order to incorporate the effects of competition among these countries. The effects of the increased loan rates and target prices in the early 1980s and the U.S. export enhancement program (EEP) are also analyzed. Estimation results show that higher U.S. wheat prices and U.S. dollar appreciation have detrimental effects, while increases in competitors? wheat prices and currency values have cross positive effects on U.S. market shares. The importers are not sensitive to volatility in annual price and exchange...

A Long Memory Conditional Variance Model for International Grain Markets

Palavras-chave: International wheat trade; Market share; Panel unit-root test; Panel estimation; Crop Production/Industries; International Relations/Trade.

Ano: 2003

URL: http://purl.umn.edu/23505

OFFSHORE COMMODITY AND CURRENCY HEDGING STRATEGY WITH HEDGING COSTS

Jin, Hyun Joung.

The study explores a long memory conditional volatility model on international grain markets, demonstrating importance of modeling both temporal effects of volatility and long memory process. This study adopts six different volatility models, nested in an ARMA(p,q)- FIGARCH(P,D,Q), to capture dependence of grain cash price volatility and compares the performance of the six models. It also visits a related question about non-normal behaviors of grain prices and adopts the student-t density intended to account for fat-tailed properties of the data. We find suitability of the FIGARCH type models under the student-t distribution and competitiveness of the parsimonious FIGARCH(1,d,0) for modeling long memory volatility.

Tipo: Journal Article

Palavras-chave: International grain markets; Stochastic volatility; FIGARCH; Non-normality; Agribusiness; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; International Development; International Relations/Trade.

Ano: 2008

URL: http://purl.umn.edu/45654

Jin, Hyun Joung; Koo, Won W..

This study explores the role of hedging costs in offshore hedging to minimize the risks associated with fluctuations in commodity export prices and exchange rates in international grain trade. The study focuses on three areas: (1) the effects of hedging costs in both commodity and currency futures hedging, (2) the relationship between hedging cost and trade volume of a grain, and (3) a prescriptive hedging strategy for Japanese wheat importers in the commodity and currency futures markets. A demand system for futures hedging is presented and the effect of hedging cost on the model is analyzed. The model is applied to a representative wheat importer in Japan. Demand for futures is estimated under different levels of hedging costs in both commodity and...

THE EFFECT OF EXCHANGE RATE VOLATILITY ON WHEAT TRADE WORLDWIDE

Palavras-chave: International grain trade; Risk management; Offshore futures hedging; Hedging cost; Marketing.

Ano: 2002

URL: http://purl.umn.edu/23592

Sun, Changyou; Kim, Mina; Koo, Won W.; Cho, Guedae; Jin, Hyun Joung.

A modified gravity-type model was employed to evaluate the effect of exchange rate volatility on wheat exports worldwide. Special attention was given to the econometric properties of the gravity model within panel framework. Short and long-term measures of exchange rate volatility were constructed and compared. Both measures of exchange rate volatility have exhibited a negative effect on world wheat trade and the long-term effect was even larger. This result implies that exchange rate volatility is an important factor in explaining the trade pattern of wheat trade worldwide. Keywords: wheat, export, exchange rate, volatility, gravity model, and panel data.

EFFECTS OF THE CANADIAN WHEAT BOARD ON THE U.S. WHEAT INDUSTRY

Palavras-chave: Wheat; Export; Exchange rate; Volatility; Gravity model; And panel data.; International Relations/Trade.

Ano: 2002

URL: http://purl.umn.edu/19766

Koo, Won W.; Jin, Hyun Joung; Mattson, Jeremy W.; Taylor, Richard D.; Cho, Guedae.

The practices of the Canadian Wheat Board (CWB) are an important issue in U.S. - Canada trade disputes and WTO negotiations. This study analyzes the CWB?s effect on U.S. producers by reviewing findings from previous research and developing models to analyze CWB wheat exports to the United States and the competitive structure of Canadian wheat exports in the world market. U.S. grain producers could benefit from the removal of the CWB as the United States could become more competitive in export markets. However, elimination of the CWB could also result in an increase in Canadian wheat exports to the United States as Canadian producers near the border could sell directly to the United States to take advantage of market opportunities. The net effect is...

THE EFFECTS OF THE BSE OUTBREAK IN THE UNITED STATES ON THE BEEF AND CATTLE INDUSTRY

Palavras-chave: Canadian Wheat Board; State trading enterprises; Price discrimination; Wheat exports; Crop Production/Industries; International Relations/Trade.

Ano: 2004

URL: http://purl.umn.edu/23530

Jin, Hyun Joung; Skripnitchenko, Anatoliy; Koo, Won W..

On December 23, 2003, Bovine Spongiform Encephalopathy (BSE), widely known as 'mad cow disease,' was found in the state of Washington. Major beef importing countries, including Japan, South Korea, and Mexico, banned imports of beef and beef products produced in the United States. A single case of BSE occurred on May 20, 2003, in Canada, prompting the United States to close its border to Canadian beef products. Prior to these BSE outbreaks in North America, the disease was detected in the United Kingdom and Japan. U.S. consumer response to the BSE outbreak in Washington is unknown. However, the previous cases which occurred in the United Kingdom and Japan indicate that the BSE outbreaks reduced domestic consumption of beef produced in the countries and...

PRODUCTIVITY SPILLOVERS FROM INWARD FOREIGN DIRECT INVESTMENT IN THE U.S. FOOD PROCESSING INDUSTRY

Palavras-chave: Production Economics.

Ano: 2004

URL: http://purl.umn.edu/23072

Sun, Changyou; Jin, Hyun Joung; Koo, Won W..

Productivity spillovers in the U.S. food processing industry resulting from inward foreign direct investment (FDI) were examined for the time period of 1988 to 1992. Both Caves-type (unidirectional) and simultaneous (bidirectional) spillover models were considered in the analysis. Using the Caves-type spillovers model, foreign investment was found to have significantly negative spillovers. The technology gap between U.S. firms and foreign firms in the food processing industry was small, and it was positively related to the productivity growth. The simultaneous equation model revealed that spillovers were bi-directional in the U.S. food processing industry. The demonstration effect from foreign presence was negative, but the competition effect had even...

THE EFFECT OF LOST EXPORTS ON U.S. BEEF PRICES

Palavras-chave: International Relations/Trade.

Ano: 2002

URL: http://purl.umn.edu/23596

Mattson, Jeremy W.; Jin, Hyun Joung; Koo, Won W..

Since the discovery of Bovine Spongiform Encephalopathy (BSE) in the United States in December 2003, U.S. beef exports have declined approximately 85 percent. A number of countries, including Japan and Korea (the top export markets for U.S. beef), have banned imports of beef from the United States, while U.S. exports to other important markets, such as Mexico and Canada, have been well below previous levels. Domestic demand in the United States was not significantly affected by the BSE discovery, but the effect of decreased beef exports on U.S. price is significant. This study examines the effect of exports and other supply and demand factors on U.S. meat prices, and estimates the effect of the drop in exports on U.S. beef and cattle prices. Results...

THIRD COUNTRY EFFECTS ON U.S. WHEAT EXPORT PERFORMANCE IN ASIAN COUNTRIES

Palavras-chave: Bovine Spongiform Encephalopathy; Beef; Pork; Chicken; Exports; International Relations/Trade.

Ano: 2005

URL: http://purl.umn.edu/23571

Jin, Hyun Joung; Cho, Guedae; Koo, Won W..

This study examines third country effects on U.S. wheat export performance in Asian countries. An import demand model is developed to analyze the impacts of price competitiveness, exchange rates, and exchange rate volatilities on U.S. wheat market shares. The United States competes with Australia and Canada in the Asian wheat market. Empirical results show that two factors, Australian wheat price and U.S. dollar values against the Asian countries' currencies, have significant effects on U.S. market shares in this region. Furthermore, exchange rate risks between the exporting and importing countries are found to be important.

FRACTAL GEOMETRY IN AGRICULTURAL CASH PRICE DYNAMICS

Palavras-chave: International grain trade; Market share; Exchange rate; Panel analysis.; International Relations/Trade.

Ano: 2003

URL: http://purl.umn.edu/23529

Jin, Hyun Joung; Frechette, Darren L..

Agricultural prices are determined by natural and socio-economic factors that are known to be self-similar at different time scales and to follow non-periodic cyclical patterns. These properties are most easily understood using Mandelbrot's fractal geometry, in which a jagged time series is treated as a jagged coastline or any other natural phenomenon. The fractal market hypothesis provides the theory needed to explain why fractal structure exists in agricultural prices. Empirical evidence confirms theoretical predictions.

THE EFFECT OF EXCHANGE RATE VOLATILITY ON WHEAT TRADE WORLDWIDE

Palavras-chave: Demand and Price Analysis.

Ano: 2002

URL: http://purl.umn.edu/19696

Sun, Changyou; Kim, Mina; Koo, Won W.; Cho, Guedae; Jin, Hyun Joung.

A modified gravity-type model was employed to evaluate the effect of exchange rate volatility on wheat exports worldwide. Special attention was given to the econometric properties of the gravity model within a panel framework. Short and long-term measures of exchange rate volatility were constructed and compared. Both measures of exchange rate volatility exhibited negative effects on world wheat trade, with even greater effects in the long-term measure. This result implies that exchange rate volatility is an important factor in explaining the trade pattern of wheat worldwide.