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Registros recuperados: 23
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An Econometric Analysis of Price Dynamics in the Presence of a Price Floor: The Case of American Cheese AgEcon
Chavas, Jean-Paul; Kim, Kwansoo.
In this paper, we present an econometric analysis for the effects of a price floor on price dynamics and price volatility. A price floor (implemented as a part of government pricing policy) provides a censoring mechanism for price determination. We specify and estimate a dynamic Tobit model under time-varying volatility. The model is applied to analyze the effects of a price support program on price dynamics and price volatility in the U.S. American cheese market. The econometric analysis provides useful insights on price dynamics in the presence of a government-determined price floor.
Tipo: Journal Article Palavras-chave: Censored regression; Market liberalization; Model selection; Price dynamics; Price volatility; Demand and Price Analysis; Q0; D4; C5.
Ano: 2005 URL: http://purl.umn.edu/43628
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Análise da volatilidade de preços de produtos agropecuários no Brasil AgEcon
Campos, Kilmer Coelho.
The instability of the producers and investors income coming from price fluctuation is a problem whose characteristics and causes should be thoroughly investigated given the importance of the commodity in the national agribusiness and their losses in terms of profitability, jobs and exchange value to Brazil. Given that, it is used the class of autoregressive conditional heteroscedasticity models (ARCH and GARCH) to characterize and analyze the volatility of the time series of monthly returns of soy, coffee, corn and fat ox. This analysis shows that these products are marked by having high price fluctuations, in which positive or negative shocks generate impacts in the long run. The sum of the volatility reaction and persistence coefficients showed values...
Tipo: Journal Article Palavras-chave: Price volatility; Agricultural products; Brazil; Demand and Price Analysis.
Ano: 2007 URL: http://purl.umn.edu/54589
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Commodity Price Volatility and Nutrition Vulnerability AgEcon
Verma, Monika; Hertel, Thomas W..
In this paper we examine the impact of commodity price volatility on nutritional attainment of households at the nutritional poverty line in Bangladesh. We focus on the first two moments of the distribution of nutrition and consider the differential impacts across socio-economic groups within the country. We also examine the direction and magnitude of the shift in these moments as a result of implementation of special safeguards measures aimed at preventing import surges.
Tipo: Conference Paper or Presentation Palavras-chave: Price volatility; Calories; Vulnerability; Food consumption; Poverty; Household data; Consumer/Household Economics; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; Food Security and Poverty; Research Methods/ Statistical Methods.
Ano: 2009 URL: http://purl.umn.edu/49344
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Differences in Prices and Price Risk Across Alternative Marketing Arrangements Used in the Fed Cattle Industry AgEcon
Muth, Mary K.; Liu, Yanyan; Koontz, Stephen R.; Lawrence, John D..
Information on prices and price risk differences across marketing arrangements aids fed cattle producers in making choices about marketing methods. As part of the congressionally mandated Livestock and Meat Marketing Study, we investigated fed cattle price and price risk differences across marketing arrangements. The analysis uses data representing cattle purchased by 29 large beef packing plants from October 2002 through March 2005. Results indicate that marketing agreements offered the best tradeoff between price level and price risk. Forward contracts had the lowest average yet highly volatile prices. Auction barn prices were higher than other methods but also the most volatile.
Tipo: Journal Article Palavras-chave: Alternative marketing arrangements; Fed cattle; Hedonic; Price risk; Price volatility; Prices; Livestock Production/Industries; Marketing; Risk and Uncertainty.
Ano: 2008 URL: http://purl.umn.edu/36711
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Differences in Prices and Price Risk across Alternative Marketing Arrangements Used in the Fed Cattle Industry AgEcon
Muth, Mary K.; Liu, Yanyan; Koontz, Stephen R.; Lawrence, John D..
Information on typical differences in prices and price risk (as measured by the variances of prices) across marketing arrangements aids fed cattle producers in making choices about methods to use for selling fed cattle to beef packers. This information is also useful for policy discussions on merits and drawbacks of alternative marketing arrangements. As part of the congressionally mandated Livestock and Meat Marketing Study, we investigated differences in prices and price risk for fed cattle cash market and alternative marketing arrangements. The modeling approach, which is similar to a hedonic model, controls for differences in cattle quality and delivery month and accounts for the within- and across-week correlation in prices. The analysis uses a recent...
Tipo: Conference Paper or Presentation Palavras-chave: Alternative marketing arrangements; Fed cattle; Prices; Price volatility; Price risk; Hedonic.
Ano: 2007 URL: http://purl.umn.edu/37578
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Effects of volatile output prices on agricultural land-use change AgEcon
Boere, Esther; Peerlings, Jack H.M.; Reinhard, Stijn; Kuhlman, Tom; Heijman, Wim J.M..
Volatile output prices lead to a fluctuating shadow price (profitability) of agricultural land, and therefore may impact land use decisions in case of risk-averse behaviour. In this paper we assess the effect of volatile agricultural output prices on agricultural land-use change over the past decade in the Netherlands. Using regional data from 2000 through 2009, the number of hectares of land for 10 land uses was calculated. To determine the joint distribution of agricultural activities, hectares of land for each land use were converted to land share equations. Land share equations were estimated to determine the contribution of increased price volatility to land use change. Results show that larger volatility affects land shares negatively. Producer’s...
Tipo: Presentation Palavras-chave: Land-use; Risk; Price volatility; Risk and Uncertainty; Q1; D8.
Ano: 2012 URL: http://purl.umn.edu/122472
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Entry of Alternative Fuels in a Volatile U.S. Gasoline Market AgEcon
Vedenov, Dmitry V.; Duffield, James A.; Wetzstein, Michael E..
Dramatic increases in levels and volatility of gasoline prices observed in recent years may create market incentives for adoption of alternative fuels characterized by lower price volatility. This hypothesis is investigated by applying the real-options pricing approach to develop optimal thresholds for switching from conventional gasoline to alternative fuels such as ethanol blends. The main result of the paper is that given the historical price patterns of conventional gasoline and ethanol, switching to ethanol blends is an economically sound decision provided this does not decrease efficiency of the vehicle. Analysis of data subsamples during the periods of higher volatility of gasoline prices (Gulf War and War on Terrorism) provides even stronger...
Tipo: Journal Article Palavras-chave: Alternative fuels; Decision making under uncertainty; Ethanol; Price volatility; Real options; Resource /Energy Economics and Policy.
Ano: 2006 URL: http://purl.umn.edu/10144
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Greek Beef Supply Response and Price Volatility under CAP Reforms AgEcon
Rezitis, Anthony N.; Stavropoulos, Konstantinos S..
This study examines the supply response of the Greek beef market and the possible effect of the European Union’s Common Agricultural Policy (CAP) on the Greek beef sector during the period 1993-2005. A GARCH process is used to estimate expected price and price volatility while several different symmetric, asymmetric and nonlinear GARCH models are estimated. The empirical results show that price volatility and feed price are important risk factors of the supply repose function, while the negative asymmetric price volatility which was detected implies that producers have a weak market position. Furthermore, the empirical findings confirm that the annual premium paid by EU to beef producers had a positive impact on the production level and that the change of...
Tipo: Conference Paper or Presentation Palavras-chave: Beef supply; Price volatility; CAP; Agricultural and Food Policy; Demand and Price Analysis.
Ano: 2008 URL: http://purl.umn.edu/44210
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Greek meat supply response and price volatility in a rational expectations framework: A multivariate GARCH approach AgEcon
Rezitis, Anthony N.; Stavropoulos, Konstantinos S..
This paper examines supply response models in a rational expectations framework for each one of the four major Greek meat markets, i.e. beef, broiler, lamb and pork. A multivariate GARCH model with Cholesky decomposition is used to incorporate price volatility into the rational expectations supply response model for each meat category and as a result the conditional covariance matrix remains positive definite without imposing any restrictions on the parameters. The empirical results confirm the existence of rational behaviour by meat producers in the four examined markets and indicate that price volatility is a major risk factor in Greek meat production while feed prices and veterinarian medicine prices are both important cost factors. Furthermore, the...
Tipo: Conference Paper or Presentation Palavras-chave: Meat supply; Price volatility; Rational expectations; MGARCH.; Agricultural and Food Policy.
Ano: 2009 URL: http://purl.umn.edu/58120
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La Información como mecanismo estabilizador para los mercados de alimentos en México Colegio de Postgraduados
Siller Bedoya, Ileana Eunice.
Para los productores, comercializadores y consumidores de productos agroalimentarios, la información es un aspecto relevante para la toma de decisiones en cuanto a producción, distribución y consumo en los mercados de estos productos y, por tanto, un elemento esencial en la formación de los precios. Por ello, este trabajo tiene como objetivo medir el efecto de la información en la formación y comportamiento de los precios al consumidor; así como medir el comportamiento del excedente de mercado ante información gradual, para un caso específico. La medición de la formación de precios se realizó comparando ecuaciones precio tanto de México como de Estados Unidos de Norteamérica (EE.UU.) de cinco productos alimentarios (carne de cerdo, carne de...
Tipo: Tesis Palavras-chave: Información; Mercado alimentario; Volatilidad de precios; Excedente de mercado; Doctorado; Economía; Information; Food market; Price volatility; Surplus market.
Ano: 2008 URL: http://hdl.handle.net/10521/1529
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Measuring the Price Volatility of Certain Field Crops in South Africa using the ARCH/GARCH Approach AgEcon
Jordaan, Henry; Grove, Bennie; Jooste, Andre; Alemu, A.G..
The conditional volatility in the daily spot prices of the crops traded on the South African Futures Exchange (yellow maize, white maize, wheat, sunflower seed and soybeans) is determined. The volatility in the prices of white maize, yellow maize and sunflower seed have been found to vary over time, suggesting the use of the GARCH approach in these cases. Using the GARCH approach, the conditional standard deviation is the measure of volatility, and distinguishes between the predictable and unpredictable elements in the price process. This leaves only the stochastic component and is hence a more accurate measure of the actual risk associated with the price of the crop. The volatility in the prices of wheat and soybeans was found to be constant over...
Tipo: Journal Article Palavras-chave: Price volatility; Field crops; SAFEX; Time series analysis; ARCH/GARCH; Demand and Price Analysis.
Ano: 2007 URL: http://purl.umn.edu/8013
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MILK QUOTAS ABOLISHMENT AND SIMPLIFICATION OF THE SINGLE PAYMENT SCHEME: IMPLICATIONS ON DAIRY FARMERS’ PRODUCTIVE STRATEGY IN THE WEST OF FRANCE AgEcon
Lelyon, Baptiste; Chatellier, Vincent; Daniel, Karine.
Paper removed at request of authors - 06/23/09.
Tipo: Conference Paper or Presentation Palavras-chave: Dairy farm; CAP Health Check; Abolition of milk quotas; Price volatility; Bioeconomic model; Utility efficient programming; Agricultural and Food Policy; Research Methods/ Statistical Methods; Q12; Q18; C61.
Ano: 2008 URL: http://purl.umn.edu/44795
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Modeling Pork Supply Response and Price Volatility: The Case of Greece AgEcon
Rezitis, Anthony N.; Stavropoulos, Konstantinos S..
This paper examines the supply response of the Greek pork market. A GARCH process is used to estimate expected price and price volatility, while price and supply equations are estimated jointly. In addition to the standard GARCH model, several different symmetric, asymmetric, and nonlinear GARCH models are estimated. The empirical results indicate that among the estimated GARCH models, the quadratic NAGARCH model seems to better describe producers’ price volatility, which was found to be an important risk factor of the supply response function of the Greek pork market. Furthermore, the empirical findings show that feed price is an important cost factor of the supply response function and that high uncertainty restricts the expansion of the Greek pork...
Tipo: Journal Article Palavras-chave: Asymmetry; GARCH; Pork supply; Price volatility; Agribusiness; Demand and Price Analysis; International Development; Risk and Uncertainty; C510; D200; Q110.
Ano: 2009 URL: http://purl.umn.edu/48764
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PRICE AND PRICE RISK DYNAMICS IN BARGE AND OCEAN FREIGHT MARKETS AND THE EFFECTS ON COMMODITY TRADING AgEcon
Haigh, Michael S.; Bryant, Henry L..
The effects of volatility of barge and ocean freight prices on prices throughout the international grain-marketing channel are analyzed using a Multivariate GARCH-M model. The model is used to infer the extent to which transportation price risk affects the level of international grain prices. Results indicate that both barge and ocean price volatility influence grain prices, but barge price volatility tends to have a greater impact on grain prices than that arising from ocean price volatility. The lack of a futures contract for barge rates may be partially responsible for its significant influence on grain price levels.
Tipo: Conference Paper or Presentation Palavras-chave: Barge and ocean freight prices; Futures contracts; Multivariate GARCH-Models; Price volatility; International Relations/Trade.
Ano: 2000 URL: http://purl.umn.edu/18934
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Price Volatility, Nonlinearity, and Asymmetric Adjustments in Corn, Soybean, and Cattle Markets: Implications of Ethanol-Driven (Market) Shocks AgEcon
Tejeda, Hernan A.; Goodwin, Barry K..
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...
Tipo: Conference Paper or Presentation 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
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Price Volatility, Speculation and Excessive Speculation in Commodity Markets: sheep or shepherd behaviour? AgEcon
Algieri, Bernardina.
The present study aims to investigate the dynamics of primary commodity prices and the role of speculation over time. In particular the relationship between speculation and price volatility on the one side, and the linkage between excessive speculation and price volatility on the other side, is carefully examined with the scope to establish whether volatility drives speculation or speculation drives price volatility, or whether there are no linkages between the two variables. In order to identify the presence of any lead-lag relationships, two batteries of Granger causality tests are carried out for the period 1995-2012. The investigation complements a preliminary index analysis on speculation and excessive speculation in the commodity market. Unlike...
Tipo: Working Paper Palavras-chave: Price volatility; Excessive speculation; Granger analysis; Agricultural Finance; Financial Economics; Food Consumption/Nutrition/Food Safety.
Ano: 2012 URL: http://purl.umn.edu/124390
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Producción de melón y sandía en la Comarca Lagunera: un estudio de planeación para reducir la volatilidad de precios. Colegio de Postgraduados
Ramírez Barraza, Brenda Aracely.
Actualmente los productores de melón (Cucumis melo L.) y sandía (Citrullus lanatus), productos que compiten por el uso de los recursos en la Comarca Lagunera, enfrentan el problema de bajos precios en los meses de junio, julio y agosto como consecuencia de la existencia de excesos de oferta temporales. Los excesos de oferta se originan por la concentración de la producción en algunos meses, o bien por dedicar una mayor superficie a alguno de los dos cultivos. Para analizar cómo cambios en la proporción de la producción de melón y sandía, y medidas de control de la oferta, podrían eliminar los excesos se obtuvo la solución de un modelo de programación que considera las características espaciales y temporales de la producción de ambos cultivos. Los...
Palavras-chave: Cucumis melo L.; Citrullus lanatus; Volatilidad de precios; Planeación de la producción; Ingreso y ganancia del productor; Modelo de programación; Price volatility; Production planning; Income and producer profit; Programming model; Economía; Maestría.
Ano: 2014 URL: http://hdl.handle.net/10521/2254
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SAFEX maize price volatility scrutinised AgEcon
Geyser, Mariette; Cutts, Michela.
Commodity prices in general are known to have a high volatility. This is in fact what attracts speculators. The South African futures exchange (SAFEX) is not immune to this volatility. Volatility increases the risk of paying higher prices for a specific commodity, and it also makes the use of derivative instruments to hedge against price risk more expensive. Given the importance of South Africa as a regional supplier of maize and price discovery mechanism, investigations into the volatility of the maize price are not only important, but also indispensable if all parties involved are to manage this risk. The question therefore is whether the SAFEX maize price volatility can be explained by using fundamental factors or whether this volatility is...
Tipo: Journal Article Palavras-chave: Derivative; Price volatility; Call option; Hedging; Food risk; SAFEX; CBOT; Demand and Price Analysis.
Ano: 2007 URL: http://purl.umn.edu/8009
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The Effect of the Livestock Mandatory Reporting Act on Market Transparency and Grid Price Dispersion AgEcon
Fausti, Scott W.; Qasmi, Bashir A.; Li, Jing; Diersen, Matthew A..
The Livestock Mandatory Reporting Act (MPR) of 1999 was implemented in April 2001. Empirical evidence indicates a significant change in intra-week price dispersion associated with publicly reported fed cattle grid premiums and discounts occurring after MPR implementation. The research objective is to evaluate the effect of increased market transparency resulting from implementation of MPR, on grid intra-week premium and discount dispersion levels. Empirical results suggest that increased transparency is compatible with intra-week dispersion levels increasing. Increased dispersion suggests that during the pre-MPR period weekly premium and discount data may have been drawn from a non-representative sample. From the empirical evidence, it is concluded...
Tipo: Journal Article Palavras-chave: Fed cattle; Grid pricing; Market transparency; Price dispersion; Price volatility; Mandatory livestock price reporting; Agricultural and Food Policy; Demand and Price Analysis; Livestock Production/Industries.
Ano: 2010 URL: http://purl.umn.edu/95609
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The Effectiveness of Dairy Risk Management at Managing Income, Revenue, and Margin Risk AgEcon
Herbst, Brian K.; Anderson, David P.; Outlaw, Joe L.; Richardson, James W..
With the 2009 milk prices still fresh on everyone’s mind, there has been increased interest in ways to limit milk price volatility. Using SERF, this paper determined some dairies are willing to pay for limited milk price volatility and found a value they are willing to pay using risk premiums.
Tipo: Conference Paper or Presentation Palavras-chave: Dairy; Stochastic Simulation; Price volatility; Agricultural and Food Policy; Farm Management.
Ano: 2011 URL: http://purl.umn.edu/98833
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