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

Jaleta, Moti; Gebremedhin, Berhanu.

This paper examines the cointegration of grain market prices in Northern Ethiopia. Results are based on bi-monthly retail price data on wheat and teff collected from six markets in the Tigray region of Northern Ethiopia. The data has 55 observations for each of the two crops in each of the six markets ranging over a period of May 2006 to October 2008. Johansen’s cointegration test reveals that most markets are cointegrated in wheat and teff retail prices. There is an indication that retail prices at Abi-Adi, a town located relatively farther away from the main asphalt road, is less integrated to other markets. This implies that infrastructural development is crucial for spatial market integration through market information transmission and physical...

Interaction of European Carbon Trading and Energy Prices

Palavras-chave: Price cointegration; Food crop market; Error correction model; Demand and Price Analysis; Marketing; C31; C32; Q13.

Ano: 2009

URL: http://purl.umn.edu/51049

Bunn, Derek W.; Fezzi, Carlo.

This paper addresses the economic impact of the EU Emission Trading Scheme for carbon on wholesale electricity and gas prices. Specifically, we analyse the mutual relationships between electricity, gas and carbon prices in the daily spot markets in the United Kingdom. Using a structural co-integrated VAR model, we show how the prices of carbon and gas jointly influence the equilibrium price of electricity. Furthermore, we derive the dynamic pass-trough of carbon into electricity price and the response of electricity and carbon prices to shocks in the gas price.

Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing?

Palavras-chave: Carbon Emission Trading; Energy Markets; Structural VECM; Resource /Energy Economics and Policy; Q48; L94; C32.

Ano: 2007

URL: http://purl.umn.edu/9092

Mallory, Mindy L.; Lence, Sergio H..

This study highlights some problems with using the Johansen cointegration statistics on data containing a negative moving average (NMA) in the error term of the data generating process. We use a Monte Carlo experiment to demonstrate that the asymptotic distribution of the Johansen cointegration statistics is sensitive to the NMA parameters and that using the stated 5% critical values results in severe size distortion. In our experiment, using the asymptotic critical values resulted in empirical size of 76% in the worst case. To date a NMA in the error term was known to cause poor small sample performance of the Johansen cointegration statistics; however our study demonstrates that problems associated with a NMA in the error term do not improve as sample...

Environmental Indices for the Chinese Grain Sector

Palavras-chave: Cointegration; Johansen cointegration test; Moving average; Agricultural Finance; Financial Economics; C32; C15.

Ano: 2010

URL: http://purl.umn.edu/61721

Chen, Ming; Karp, Larry S..

Increased population pressure and political decisions have led to more intensive agricultural practices in China. As in other regions of the world, these practices can damage natural capital We use the Kalman filter and Chinese panel data to estimate an index of environmental productivity (natural capital), together with the parameters of environmental dynamics and the production function. These estimates show that intensive practices are likely to have had persistent, substantial, and statistically significant negative effects on productivity. Ignoring these effects can cause substantial misallocation of resources. The results illustrate the possibility of estimating sectoral environmental indices using data commonly available.

Dynamic Effects of Grain and Energy Prices on the Catfish Feed and Farm Sectors

Palavras-chave: Chinese agriculture; Dynamic production; Environmental indices; Sustainability; Kalman filter; Crop Production/Industries; Environmental Economics and Policy; Productivity Analysis; QOl; Q21; C32; C43.

Ano: 2001

URL: http://purl.umn.edu/6259

Muhammad, Andrew; Zheng, Hualu.

This study examines the dynamic effects of grain prices and energy prices on catfish feed prices and the price of food-sized catfish at the farm level. Using the autoregressive distributed lag model and bounds testing procedure, a long-run relationship between feed and farm prices and their determinants was confirmed. Given the effect of corn and soybean meal prices on catfish feed prices, and catfish fish feed prices on farm prices, the long-run responsiveness of feed prices to a percentage increase in U.S. ethanol production is 0.325, and the responsiveness of catfish farm prices is 0.064. Although both feed and farm prices increase with ethanol production, the relatively small responsiveness of farm prices when compared with feed prices suggests that...

Tipo: Journal Article

Palavras-chave: Catfish; Prices; Autoregressive distributed lag (ARDL) model; Ethanol; Feed; Corn; Soybeans; Agribusiness; Agricultural Finance; Demand and Price Analysis; Financial Economics; Institutional and Behavioral Economics; Marketing; Production Economics; Productivity Analysis; Resource /Energy Economics and Policy; C32; Q11; Q22.

Ano: 2010

URL: http://purl.umn.edu/100520

Price Transmission Asymmetries and Nonlinearities in the International Coffee Supply Chain

Lee, Jun; Gomez, Miguel I..

We examine two distinct and important dimensions (e.g. symmetry vs. asymmetry and linearity vs. nonlinearity) of price transmission from international to retail coffee prices in France, Germany and the United States. We show that ignoring these two features of the price transmission process may lead to misleading impact assessments resulting from the elimination of International Coffee Agreement (ICA) in 1990. Our results confirm the presence of threshold effects in both periods (ICA and post ICA) in all three countries. Our estimates show that, in the long-run, the speed of adjustment toward equilibrium becomes faster during the post-ICA period in France and Germany. Our results suggest that, for these two countries, changes in international prices did...

Price Sensitivities for U.S. Frozen Dairy Products

Palavras-chave: Threshold; Nonlinearity; Asymmetric Price Transmission; Roasted Coffee; Germany; United States; France; Error Correction Model; Demand and Price Analysis; International Relations/Trade; C32; Q17.

Ano: 2011

URL: http://purl.umn.edu/104024

Maynard, Leigh J.; Veeramani, Venkat N..

Price elasticities and flexibilities for frozen dessert products were estimated from weekly scanner data, with emphasis on functional form selection, system misspecification testing, and endogeneity testing. Reciprocals of elasticities and elasticity matrix inversion were invalid means of obtaining flexibility estimates, leaving direct estimation as the only viable, albeit resource-intensive, approach.

Tipo: Journal Article

Palavras-chave: Dairy; Demand; Price elasticities; Price flexibilities; C32; C52; D11; D12; Q11.

Ano: 2003

URL: http://purl.umn.edu/43194

U.S. Demand for Source–Differentiated Shrimp: A Differential Approach

Jones, Keithly G.; Harvey, David J.; Hahn, William F.; Muhammad, Andrew.

Estimates of price and scale elasticities for U.S. consumed shrimp are derived using aggregate shrimp data differentiated by source country. Own-price elasticities for all countries had the expected negative signs, were statistically significant, and inelastic. The scale elasticities for all countries were positive and statistically significant at the 1% level with only the United States and Ecuador having scale elasticities of less than one. For the most part, the compensated demand effects showed that most of the cross-price effects were positive. Our results also suggest that despite the countervailing duties imposed by the United States, shrimp demand was fairly stable.

Tipo: Journal Article

Palavras-chave: CBS; Conditional demand; Countervailing duty; Imports; Scale elasticity; Shrimp; Agribusiness; Farm Management; Food Consumption/Nutrition/Food Safety; Production Economics; C32; D12; Q13; Q22.

Ano: 2008

URL: http://purl.umn.edu/47202

Price volatility in ethanol markets

Serra, Teresa; Zilberman, David.

Our paper looks at how price volatility in the Brazilian ethanol industry changes over time and across markets. Demand and supply forces in the energy and food markets are likely to ensure that crude oil, ethanol and feedstock prices co-move in the long-run. Hence, when assessing price volatility changes and spillovers in the ethanol industry, one should also pay attention to the notion of cointegration. Until recently, the methods proposed to estimate cointegration relationships, have not explicitly considered time varying volatility in the data. Seo (2007) suggests an estimator of the cointegration vector that explicitly models conditional heteroskedasticity. More specifically, he proposes a maximum likelihood estimator that estimates the error...

Price volatility in ethanol markets

Palavras-chave: Volatility; Ethanol; Cointegration; Demand and Price Analysis; Research Methods/ Statistical Methods; Q11; C32.

Ano: 2009

URL: http://purl.umn.edu/49940

Serra, Teresa; Zilberman, David.

Our paper looks at how price volatility in the Brazilian ethanol industry changes over time and across markets by using a new methodological approach suggested by Seo (2007). The main advantage of Seo’s proposal over previously existing methods is that it allows to jointly estimate the cointegration relationship between the price series investigated and the multivariate GARCH process. Our results suggest that crude oil prices not only influence ethanol price levels, but also their volatility. Increased volatility in crude oil markets results in increased volatility in ethanol markets. Ethanol prices, on the other hand, influence sugar price levels and an increase in their volatility levels also impacts, though less strongly, on sugar markets.

Nature of Dynamic Relationships Between Farm Real Estate Values and Federal Farm Program Payments

Palavras-chave: Volatility; Ethanol; GARCH; Cointegration; Demand and Price Analysis; Resource /Energy Economics and Policy; Risk and Uncertainty; Q11; C32.

Ano: 2009

URL: http://purl.umn.edu/49188

Shaik, Saleem; Miljkovic, Dragan.

The objective of this study is to test the dynamic relationships among variables including farm real estate values, farm returns, farm program payments, and real interest rates in an income capitalization model. Our analysis is unique in multiple ways: (1) it covers the period beginning with the introduction of the first farm bill in 1933 through 2006; (2) assumes endogeneity of the variables, and (3) develops a dynamic modeling framework. Endogeneity is assumed among farm real estate values, farm program payments, and farm receipts since the direction of causality is unclear from a theoretical standpoint. Results indicate that policy makers are reactive rather than pro-active in making transfers to farmers. Once farm program payments are implemented,...

Tipo: Report

Palavras-chave: Dynamics; Farm programs payments; Farm real estate values; Vector error correction model; U.S. data; 1933-2006; Agricultural Finance; Farm Management; Q18; H50; C32.

Ano: 2008

URL: http://purl.umn.edu/44823

Country and border effects in the transmission of maize prices in Eastern Africa: evidence from a semi-parametric regression model

Ihle, Rico; von Cramon-Taubadel, Stephan; Zorya, Sergiy.

This study uses a rich dataset of 85 market pairs between January 2000 and October 2008 for Kenya, Tanzanian and Uganda, the three largest member countries of the East Africa Community, to analyze the factors determining national and cross-national maize price transmission. Although the three countries are members of the community’s customs union and they each claim to pursue maize trade without borders, their agricultural trade policies still differ, thus affecting prices and trade flows to different extents. This analysis extends the existing border effects literature in three ways. First, it assesses the magnitude of price transmission, instead of analyzing trade flows or price variability. Second, distance is shown to have a significant impact on price...

Tipo: Journal Article

Palavras-chave: Border effect; Spatial market integration; Cointegration; Semi-parametric regression; Partially linear model; Eastern Africa; Maize; Demand and Price Analysis; C32; Q11; Q13; Q17; Q18.

Ano: 2010

URL: http://purl.umn.edu/96184

Non-Linearities and Fractional Integration in the US Unemployment Rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A..

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a sequential procedure), using a Lagrange Multiplier procedure with a standard limit distribution. The empirical results suggest that the US unemployment rate can be specified in terms of a fractionally integrated process, which interacts with some non-linear functions of the labour demand variables (real oil prices and real interest rates). We also find evidence of a long-memory component. Our results are consistent with a hysteresis model with path dependency rather...

A Robust Multivariate Long Run Analysis of European Electricity Prices

Palavras-chave: Unemployment; Asymmetries; Nonlinearities; Fractional Integration; Persistence; Long Memory; Labor and Human Capital; C32; E32.

Ano: 2004

URL: http://purl.umn.edu/26232

Bosco, Bruno; Parisio, Lucia; Pelagatti, Matteo; Baldi, Fabio.

This paper analyses the interdependencies existing in wholesale European electricity prices. The results of a multivariate long run dynamic analysis of weekly median prices reveal the presence of a strong although not perfect integration among some neighboring markets considered in the sample and the existence of common long-term dynamics of electricity prices and gas prices but not oil prices. The existence of long-term dynamics among gas prices and electricity prices may prove to be important for long-term hedging operations to be conducted even in markets where there are no electricity derivatives.

The Relationship between Oil, Exchange Rates, and Commodity Prices

Palavras-chave: European Electricity Prices; Cointegration; Interdependencies; Equilibrium Correction Model; Oil Prices; Resource /Energy Economics and Policy; C15; C32; D44; L94; Q40.

Ano: 2007

URL: http://purl.umn.edu/7438

Harri, Ardian; Nalley, Lawton Lanier; Hudson, Darren.

Exchange rates have long been thought to have an important impact on the export and import of goods and services, and, thus, exchange rates are expected to influence the price of those products that are traded. At the same time, energy impacts commodity production in some very important ways. The use of chemical and petroleum derived inputs has increased in agriculture over time; the prices of these critical inputs, then, would be expected to alter supply, and, therefore, the prices of commodities using these inputs. Also, agricultural commodities have been increasingly used to produce energy, thereby leading to an expectation of a linkage between energy and commodity markets. In this paper, we examine the price relationship through time of the primary...

Tipo: Journal Article

Palavras-chave: Cointegration; Commodity prices; Crude oil; Exchange rates; Agribusiness; Consumer/Household Economics; International Relations/Trade; Marketing; Production Economics; Resource /Energy Economics and Policy; C32; L71; Q11; Q40.

Ano: 2009

URL: http://purl.umn.edu/53095

Business cycles in Mexico and the United States: Do they share common movements?

Herrera Hernandez, Jorge.

In this document I apply a recently developed econometric technique to prove the existence of common movements between time series. Said methodology is used to test and measure the existence of common cycles between the economies of Mexico and the United States for the 1993-2001 period. It is found that both economies share a common trend and a common cycle. Also, given the existence of one common cycle between these economies, it is found that transitory shocks affecting Mexico’s GDP are more important than when a conventional trend-cycle decomposition methodology is applied. Finally, it is shown that there are efficiency gains in forecasting by considering the common cycle restriction in a bivariate vector error correction model that includes the Mexican...

Tipo: Journal Article

Palavras-chave: Time series models; U.S. GDP; Mexican GDP; C32; O51; O54.

Ano: 2004

URL: http://purl.umn.edu/43550

Is Wine a Financial Parachute?

Baldi, Lucia; Vandone, Daniela; Peri, Massimo.

This paper analyzes the relationship between Global Wine Industry Share Price Indexes and composite stock market indexes using a Threshold Vector Error Correction Model (TVECM), aiming to investigate if investments in the wine sector play a role in determining financial risk and return to investors who include it in their portfolio. Whilst in most of the literature analyses the return of investments of fine wine, this paper places the focus to “normal” (i.e. non‐fine) wine, using data from the Mediobanca database covering companies in the wine industry listed on regulated stock market in France, US, Australia, Chile and China . The dataset cover the time period going from January 1, 2001, to the end of February 2009. The estimates of the TVECM lead to the...

Effects of Japanese Import Demand on U.S. Livestock Prices: Comment

Palavras-chave: Wine sector; Stock Market; Threshold Cointegration; Agribusiness; Farm Management; Food Consumption/Nutrition/Food Safety; Production Economics; Research Methods/ Statistical Methods; Q11; G14; C32.

Ano: 2010

URL: http://purl.umn.edu/100506

Price transmission in the Spanish bovine sector: the BSE effect

Kinnucan, Henry W..

A recent study of Miljkovic, Marsh, and Brester estimates that reductions in the Japanese tariff-rate quota between 1993 and 2001 increased U.S. beef prices by $1.03 per cwt and yen depreciation between 1995 and 1998 reduced U.S. hog prices by $0.99 per cwt. Relaxing the assumption that U.S. beef and hog supplies are fixed cuts the total elasticities underlying these estimates by 50% or more. The upshot is that shocks in the Japanese market have little effect on U.S. beef and pork prices. Hence, producers may be better off focusing on domestic issues such as dietary concerns over red meat consumption.

Tipo: Journal Article

Palavras-chave: Elasticities; Exchange rates; Import demand; Income; Supply response; Tariffs; Q17; F14; C32.

Ano: 2004

URL: http://purl.umn.edu/43432

Hassouneh, Islam; Serra, Teresa; Gil, Jose Maria.

A regime-switching vector error correction model is applied to monthly price data to assess the impact of BSE outbreaks on price relationships and patterns of transmission among farm and retail markets for bovine in Spain. To evaluate the degree to which price transmission is affected by BSE food scares, a BSE food scare index is developed and used to determine regime-switching. Results suggest that BSE scares affect beef producers and retailers differently. Consumer prices are found to be weakly exogenous and not found to react to BSE scares, while producer prices conversely adjusted. The magnitude of the adjustment is found to depend on the magnitude of the BSE scare.

Evidence of non-linear price transmission between maize markets in Mexico and the US

Palavras-chave: BSE crisis; Price transmission; Regime-switching; Agribusiness; Agricultural and Food Policy; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; Political Economy; Production Economics; C22; C32.

Ano: 2009

URL: http://purl.umn.edu/50121

Araujo-Enciso, Sergio Rene.

The present work provides evidence that non linear co-integration between Mexico and the US maize prices exists, at country and regional level. The models suggest that Mexican prices adjust at changes in US prices. Despite asymmetry was statistically rejected, it is likely that it might occur for thriving parameters different that zero in the error correction term. The results suggest on which way the research might be improved in order to assess such co-integration relationship accurately.