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

Replaced with revised version of paper 07/18/08.

Dynamic Price Relationships in the Grain and Cattle Markets, Pre and Post-Ethanol Mandate

Palavras-chave: Crop insurance; Burr XII distribution; Copula methods; Indemnity payouts; Crop Production/Industries; Demand and Price Analysis.

Ano: 2008

URL: http://purl.umn.edu/6061

This paper determines the dynamic interaction between prices of corn, soybean, grain sorghum (milo), wheat, feeder cattle and live (fed) cattle by taking into account the surge in corn consumption stemming from the boost of mandated ethanol production. Corn is a major carbohydrate-feed component of livestock, with grain sorghum and wheat serving as close substitutes. Moreover, soybean is an important protein-feed component. Being non-stationary data, a vector autoregressive (VAR) model (Sims, 1980) that includes an ‘error correction’ term is applied to the series; likewise known as a vector error correction (VEC) model (Engel and Granger, 1987 and Johansen, 1989). Two separate periods are estimated. The first considers prices prior to recent ethanol...

Price Volatility, Nonlinearity, and Asymmetric Adjustments in Corn, Soybean, and Cattle Markets: Implications of Ethanol-Driven (Market) Shocks

Palavras-chave: Corn Prices; Ethanol; Cattle Feed Price Dynamics; Agribusiness; Livestock Production/Industries; Risk and Uncertainty.

Ano: 2011

URL: http://purl.umn.edu/103825

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...

Multiproduct Optimal Hedging by Time-Varying Correlations in a State Dependent model of Regime-Switching

Palavras-chave: Price volatility; Market linkages; Thresholds; Ethanol-driven shocks; Asymmetric correlations; Spillovers; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Demand and Price Analysis; Farm Management; Financial Economics; Public Economics; Research Methods/ Statistical Methods.

Ano: 2009

URL: http://purl.umn.edu/53039

Replaced with revised version of paper 07/29/10.

A State Dependent Regime Switching Model of Dynamic Correlations

Palavras-chave: Agribusiness; Demand and Price Analysis; Risk and Uncertainty.

Ano: 2010

URL: http://purl.umn.edu/61679

Tejeda, Hernan A.; Goodwin, Barry K.; Pelletier, Denis.

Replaced with revised version of paper 07/29/09.