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

Yu, Tun-Hsiang (Edward); Bessler, David A.; Fuller, Stephen W..

Transportation rates are vital components in the structure of U.S. grain exports. In this paper we study the dynamic properties of corn and soybean prices, and barge, rail and ocean shipping rates using time series analysis on monthly 1992-2001 data. Using Error Correction Model and Directed Acyclic Graphs, we capture the interconnectivity between the transportation rates and grain prices at selected domestic and export markets. We find Illinois processor prices are important sources of price discovery for both corn and soybeans. Further, barge rates explain about 2-4% of the variation in grain prices while rail rates explain about 10-12% of the variation in corn and soybean prices.

CAUSALITY AND PRICE DISCOVERY: AN APPLICATION OF DIRECTED ACYCLIC GRAPHS

Palavras-chave: Public Economics.

Ano: 2004

URL: http://purl.umn.edu/20339

Haigh, Michael S.; Bessler, David A..

Directed Acyclic Graphs (DAG's) and Error Correction Models (ECM's) are employed to analyze questions of price discovery between spatially separated commodity markets and the transportation market linking them together. Results from our analysis suggest these markets are highly interconnected but it is the inland commodity market that is strongly influenced by both the transportation and commodity export markets. However, the commodity markets affect the volatility of the transportation market over longer horizons. Our results suggest that transportation rates are critical in the price discovery process lending support for the recent development of exchange traded barge rate futures contracts.

CAUSALITY AND PRICE DISCOVERY: AN APPLICATION OF DIRECTED ACYCLIC GRAPHS

Palavras-chave: Demand and Price Analysis; Marketing.

Ano: 2002

URL: http://purl.umn.edu/28588

Haigh, Michael S.; Bessler, David A..

Directed Acyclic Graphs (DAG's) and Error Correction Models (ECM's) are employed to analyze questions of price discovery between spatially separated commodity markets and the transportation market linking them together. Results from our analysis suggest that these markets are highly interconnected but that it is the inland commodity market that is strongly influenced by both the transportation and commodity export markets in contemporaneous time. However, the commodity markets affect the volatility of the transportation market over longer horizons. Our results suggest that transportation rates are critical in the price discovery process lending support for the recent development of exchange traded barge rate futures contracts.

CAUSALITY IN FUTURES MARKETS

Palavras-chave: Demand and Price Analysis.

Ano: 2002

URL: http://purl.umn.edu/19057

Bryant, Henry L.; Bessler, David A.; Haigh, Michael S..

This research investigates various unresolved issues regarding futures markets, using formal methods appropriate for inferring causal relationships from observational data when some relevant quantities are hidden. We find no evidence supporting the generalized version of Keynes's theory of normal backwardation. We find no evidence supporting theories that predict that the level of activity of speculators or uninformed traders affects the level of price volatility, either positively or negatively. Our evidence strongly supports the mixture of distribution hypothesis (MDH) that trading volume and price volatility have one or more latent common causes, resulting in their positive correlation.

Cointegration Analysis of Regional House Prices in U.S.

Palavras-chave: Marketing.

Ano: 2003

URL: http://purl.umn.edu/28574

Zohrabyan, Tatevik; Leatham, David J.; Bessler, David A..

Using quarterly U.S. census division data for time period 1975-2006, this paper investigates the dynamic relationships among the house prices of nine divisions (regions): Pacific, Mountain, South Atlantic, Middle Atlantic, New England, East South Central, West South Central, West North Central, and East North Central. Johansen’s ML procedure is applied to shed light on the short-run and long-run components on the error correction model. Furthermore, a symmetric error-correction model is estimated followed by the contemporaneous causality structure that is provided by the directed acyclic graphs. The latter is used as an “input” for estimating the impulse response functions along with the forecast error variance decompositions. The results provide evidence...

Tipo: Journal Article

Palavras-chave: Community/Rural/Urban Development; Financial Economics.

Ano: 2008

URL: http://purl.umn.edu/48138

Cointegration and Causality Analysis of World Vegetable Oil and Crude Oil Prices

Yu, Tun-Hsiang (Edward); Bessler, David A.; Fuller, Stephen W..

Because of the recent soaring petroleum price and growing environmental concerns, biodiesel has become an important alternative fuel. Biodiesel is the mono alky esters made from a vegetable oil, such as soybean or rapeseed oil, or sometimes from animal fats. The escalation in world petroleum price has stimulated the demand for biodiesel, which consequently expanded the use of vegetable oils. This paper investigates the long-run interdependence between major edible oil prices and examines the dynamic relationship between vegetable and crude oil prices. The data consists of 378 weekly observations extending from the first week of January in 1999 to the fourth week of March in 2006. We apply time-series analytical mechanisms and directed acyclic graphs...

Conflict, Aid and Poverty: Cause, Effect and Prediction

Palavras-chave: Resource /Energy Economics and Policy.

Ano: 2006

URL: http://purl.umn.edu/21439

Kibriya, Shahriar R.; Bessler, David A.; Price, Edwin; Sen Gupta, Rajorshi.

Recent studies and reports suggest that foreign aid/intervention has been somewhat futile in eradicating conflict. In this study, we develop a simultaneous donor/recipient model of foreign aid and terrorism. Thereafter, we extend our theoretical propositions through a machine learning algorithm of inductive causation. We find that terrorism increases foreign aid, however foreign assistance is futile in mitigating terrorism. Additionally, socio-economic factors influence foreign aid given by the donors. But foreign assistance is unsuccessful in enhancing the livelihoods of the underprivileged. We conclude that foreign aid policies need to be more efficient.

Disproving Causal Relationships Using Observational Data

Palavras-chave: Food Security and Poverty; International Relations/Trade.

Ano: 2010

URL: http://purl.umn.edu/61898

Bryant, Henry L.; Bessler, David A.; Haigh, Michael S..

Economic theory is replete with causal hypotheses that are scarcely tested because economists are generally constrained to work with observational data. This article describes the use of causal inference methods for testing a hypothesis that one random variable causes another. Contingent on a sufficiently strong correspondence between the hypothesized cause and effect, an appropriately related third variable can be employed for such a test. The procedure is intuitive, and is easy to implement. The basic logic of the procedure naturally suggests strong and weak grounds for rejecting the hypothesized causal relationship. Monte Carlo results suggest that weakly-grounded rejections are unreliable for small samples, but reasonably reliable for large...

Dynamic Economic Relationships Among U.S. Soy Product Markets: Using a Cointegrated Vector Autoregression Approach with Directed Acyclic Graphs

Palavras-chave: Research Methods/ Statistical Methods.

Ano: 2006

URL: http://purl.umn.edu/21166

Babula, Ronald A.; Bessler, David A.; Rogowsky, Robert A..

This paper applies a combined methodology of a recently developed directed acyclic graph (DAG) analysis with Johansen and Juselius' methods of the cointegrated vector autoregression (VAR) model to a monthly U.S. system of markets for soybeans, soy meal, and soy oil. Primarily a methods paper, Johansen and Juselius' procedures are applied, with a special focus on statistically addressing information inherent in well-known sources of non-normal data behavior to illustrate the effectiveness of modeling the system as a cointegrated multi-market system. Perhaps for the first time, methods of the cointegrated VAR model are combined with DAG analysis to account for contemporaneously correlated residuals, and are applied to this U.S. soy-based system. Analysis of...

DYNAMIC PRICE ADJUSTMENTS BETWEEN COMMERCIAL AND PUREBRED CATTLE MARKETS

Palavras-chave: Directed acyclic graphs; Cointegration; Vector error correction and vector autoregression models; Monthly U.S. soy-based markets.; Industrial Organization; Research Methods/ Statistical Methods.

Ano: 2005

URL: http://purl.umn.edu/15880

Van Tassell, Larry W.; Bessler, David A..

Vector autoregression was utilized to investigate dynamic relationships existing between prices of purebred bulls and prices of slaughter steers, utility cows, feeder calves, and cow-calf pairs. Results suggest purebred bull prices respond most quickly to an increase in utility cow prices (proxy for slaughter bull prices). Feeder calf prices exhibited the most pronounced positive effect on the price of herd sires, with a lagged response which took over two years to build.

Tipo: Journal Article

Palavras-chave: Demand and Price Analysis.

Ano: 1988

URL: http://purl.umn.edu/29261

Dynamic Relationships Among Selected U.S. Commodity-Based, Value Added Markets: Applying Directed Acyclic Graphs to a Time Series Model

Babula, Ronald A.; Bessler, David A.; Payne, Warren S..

This paper demonstrates the application of a recently developed methodology, the combination of directed acyclic graphs (DAGs) with Bernanke structural vector autoregression (VAR) models, to model a system of U.S. commodity-related and value-added markets. As an example, the paper applies this methodology to a quarterly system of U.S. markets: the wheat market and a set of downstream milling and bakery markets that use wheat as an input. Analyses of the model's impulse response simulations and forecast error variance decompositions provide updated estimates of market elasticity parameters that drive these markets, and updated policy-relevant information on how these quarterly markets run and dynamically interact. Results suggest that movements in...

Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model

Palavras-chave: Bernanke structural VARs; Directed acyclic graphs; Quarterly wheat-related markets; Industrial Organization; Marketing; Research Methods/ Statistical Methods.

Ano: 2003

URL: http://purl.umn.edu/15879

Babula, Ronald A.; Bessler, David A.; Payne, Warren S..

Using advanced methods of directed acyclic graphs with Bernanke structural vector autoregression models, this article extends recent econometric research on quarterly U.S. markets for wheat and wheat-based value-added products downstream. Analyses of impulse response simulations and forecast error variance decompositions provide updated estimates of market elasticity parameters that drive these markets, and updated policy-relevant information on how these quarterly markets run and dynamically interact. Results suggest that movements in wheat and downstream wheat-based markets strongly influence each other, although most of these effects occur at the longer-run horizons beyond a single crop cycle.

Tipo: Journal Article

Palavras-chave: Bernanke structural VARs; Directed acyclic graphs; Quarterly wheat-related markets; C22; Q11.

Ano: 2004

URL: http://purl.umn.edu/42896

EFFECT OF CONTRACT DISCLOSURE ON PRICE: RAILROAD GRAIN CONTRACTING IN THE PLAINS

Fuller, Stephen W.; Ruppel, Fred J.; Bessler, David A..

The Staggers Rail Act of 1980 granted railroads freedom to establish rates and enter into confidential contracts with grain shippers. Recent legislation (1986) required that certain contract terms be disclosed. This study shows rail rates in the Plains region commenced an upward trend after implementation of the disclosure policy. Results suggest contract disclosure and increased reliance on posted tariffs facilitated rate coordination within the oligopolistic railroad industry.

Tipo: Journal Article

Palavras-chave: Public Economics.

Ano: 1990

URL: http://purl.umn.edu/32066

Effects of Soybean Checkoff Research Expenditures on U.S. Soybean Yields and Net Revenue: A Time Series Analysis

Bessler, David A..

Statistical methods are used to study relationships between research expenditures (adjusted for inflation) made from producer checkoff programs and soybean yields and net revenues in the United States for the years 1978 – 2007. Results presented are for yield and net revenue data and research expenditures for the entire United States. We find that research expenditures over the years 1994 to 2007 are responsible for a 0.95 bushel per acre per year increase in soybean yields. We calculate net producer revenues to be about $17 per acre higher than would have been the case without the soybean research checkoff expenditures.

Tipo: Report

Palavras-chave: Soybean; Soybean Checkoff; Soybean Yields; Crop Production/Industries; Demand and Price Analysis.

Ano: 2009

URL: http://purl.umn.edu/90494

EGG PRICES REVISITED

Schrader, Lee F.; Bessler, David A.; Preston, Warren P..

Recent egg price quotes are evaluated in a vector autoregression. The results indicate that empirical relationships observed over the period 1975-1976 differ from those observed over the period 1979-1982.

Tipo: Journal Article

Palavras-chave: Demand and Price Analysis.

Ano: 1985

URL: http://purl.umn.edu/29979

ESTIMATING AN UPPER BOUND ON THE PRATT RISK A VERSION COEFFICIENT WHEN THE UTILITY FUNCTION IS UNKNOWN

McCarl, Bruce A.; Bessler, David A..

Tipo: Journal Article

Palavras-chave: Risk and Uncertainty.

Ano: 1989

URL: http://purl.umn.edu/22641

FABRICATED CUT BEEF PRICES AS LEADING INDICATORS OF FED CATTLE PRICE

Owen, C. Jane; Sporleder, Thomas L.; Bessler, David A..

Temporal relationships are investigated among fabricated cut prices, carcass value, and fed cattle prices. Also, linkages between fed cattle and wholesale beef prices are examined using vector autoregressive (VAR) techniques. Results, using daily prices over the 1980-85 period, suggested that fabricated cut prices and cattle prices are related to the imputed carcass value, carcass quote, and fed cattle prices. In addition, three fabricated cuts dominate as leading indicators of fed cattle prices of most fabricated cut prices. They are strip loin and bottom and top round prices. VAR models outperform the univariate and random-walk models of forecasting ability.

Tipo: Journal Article

Palavras-chave: Demand and Price Analysis; Livestock Production/Industries.

Ano: 1991

URL: http://purl.umn.edu/32634

FORECASTING AGRICULTURAL PRICES USING A BAYESIAN COMPOSITE APPROACH

McIntosh, Christopher S.; Bessler, David A..

Forecast users and market analysts need quality forecast information to improve their decision-making abilities. When more than one forecast is available, the analyst can improve forecast accuracy by using a composite forecast. One of several approaches to forming composite forecasts is a Bayesian approach using matrix beta priors. This paper explains the matrix beta approach and applies it to three individual forecasts of U.S. hog prices. The Bayesian composite forecast is evaluated relative to composites made from simple averages, restricted least squares, and an adaptive weighting technique.

Tipo: Journal Article

Palavras-chave: Demand and Price Analysis.

Ano: 1988

URL: http://purl.umn.edu/29269

Fundamentals and US natural gas price dynamics

Qin, Xiaoyan; Bessler, David A.; Leatham, David J.; Wu, Ximing; Gan, Li.

Investigation into the relations between market fundamentals and US natural gas prices is carried out in the regime-switching framework. To test the hypothesis that US natural gas market may switch between two states of market: bullish market and bearish market, a 2-state regime-switching model with Markov transition chain is carried out. GARCH effects are also built into the model to account for the conditional heteroskedasticity. Short-term forecasts based on the regime-switching model are also provided. Empirical results suggest that real world natural gas price behavior is far more complicated than that predicted by fundamental models. Volatility which cannot be explained by fundamentals plays an essential role in natural gas price behavior. The major...

Generalization of the Generalized Composite Commodity Theorem: Extension based on the Theil’s Aggregation Theory

Palavras-chave: US natural gas price behaviors; Markov-switching model; GARCH; Resource /Energy Economics and Policy.

Ano: 2010

URL: http://purl.umn.edu/56501

Kwon, Dae-Heum; Bessler, David A..