Impacts of Increased Corn Ethanol Production on Price Asymmetry and Market Linkages in Fed Cattle Markets

Han, Sungill; Chung, Chanjin; Surathkal, Prasanna

doi:10.1002/agr.21476

Cited by 6 publications

(6 citation statements)

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“…The model was introduced by Balke and Fomby (), and has been previously used by a few studies, e.g., Goodwin and Holt (), Goodwin and Harper (), and Han, Chung, and Surathkal (), to examine price transmission in the U.S. meat industry. However, to the best of our knowledge, no published study has used the threshold error correction model in examining the MPR impact on the vertical price transmission of the U.S. beef industry.…”

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Impact of the livestock mandatory reporting act on the vertical price transmission within the beef supply chain

2017

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This study examines the characteristics of price transmission along the vertical linkage in the beef industry before and after the implementation of the Mandatory Price Reporting Act (MPR) using econometric procedures such as the Gregory-Hansen structural break test, threshold autoregressive model, threshold error correction model, and nonlinear impulse response functions. Results show the improved speed of price adjustment after the MPR in the supply chain of the beef industry, whereas a limited evidence of the increased price asymmetry is detected. The increased asymmetry is observed mostly through the long-run regime switching coefficients of threshold autoregressive and error correction models. The price asymmetry mostly disappears in both pre-and post-MPR periods when only short-and long-run price adjustment coefficients are considered. The results also suggest the existence of the threshold cointegration in the vertical price relationship of the beef industry, which supports the use of the nonlinear threshold model in this study.[JEL codes: C22, Q11] INTRODUCTIONFarm, wholesale, and retail prices in the U.S. beef industry may not be discovered simultaneously; rather, there may be a lead-lag relationship among these prices. The lead-lag relationship could be caused by physical constraints in transporting livestock and slaughtered products, and retailers' and packers' exertion of market power in controlling prices.The vertical price relationship could also be influenced by the availability and access to the market information. As uncertainty about market supply and demand increases, individual transactions of market players tend to further deviate from actual current market clearing conditions. Typically, market information encompasses all information needed by buyers and sellers to arrive at their decision, and buyers and sellers need timely access to relevant information. Price is one such crucial market information.The collection and dissemination of price information could be affected by the recent structural changes in the U.S. beef industry. As the beef industry has been increasingly concentrated, there has been an apprehension 562

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Impact of the livestock mandatory reporting act on the vertical price transmission within the beef supply chain

2017

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“…For example, if wheat prices fall enough, cattle feeders begin feeding wheat so wheat and corn prices become cointegrated. Considerable research has found thresholds in ECM models (Goodwin & Piggot, 2001; Han et al., 2016; Meyer & von Cramon‐Taubadel, 2004). It is these thresholds that act together to keep prices from going to zero or to infinity.…”

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confidence: 99%

Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices

Maples

Brorsen

2022

Canadian J Agri Economics

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Futures prices are discontinuous, with each future price series ending at maturity. Differencing before splicing can create a continuous future return series, but still leaves price levels with discrete jumps. When comparing cash and futures prices, there is a need to either make the futures more like the cash price by adding back the changes at rollover or removing the nonstationarity and seasonality from cash prices. In the specific situation of only testing market efficiency of futures prices, we propose using panel unit root tests. Our empirical examples using weekly prices show the null hypothesis of a unit root is not rejected in most cases regardless of the test used.

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“…Thus, vertical price transmission is being studied here even though there is no product transformation. Many authors point out that asymmetric price transmission is common in markets (Hu and Brorsen, 2017;Han et al, 2016;Gauthier and Zapata, 2006;Peltzman, 2000). For a marketing channel, the general result is that price increases are more quickly reflected at the next level of the marketing channel than price decreases.…”

Section: Price Transmissionmentioning

confidence: 99%

Price Transmission of Melons (Cucumis Melo and Citrullus Lanatus) in Myanmar – China Border Trade

Lwin

Brorsen

Henneberry

2022

jard

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Border trade is the main export channel for agricultural products from Myanmar (formerly Burma). With an increasing quantity and value of exports during the last few decades, melons have become one of the major crops in the national export strategy of Myanmar. In this paper, the word “melons” is used to represent both watermelon (Citrullus lanatus) and muskmelon (Cucumis melo) cultivars. No previous research exists on price transmission between these countries, especially for the horticultural produce market. This study aims to measure the magnitude and speed of spatial price adjustment in melons exported from Myanmar to China. Price transmission in the melon export market in Myanmar is analyzed by studying the lead-lag relationship among prices in the border market in Myanmar and the selected wholesale markets in Beijing, China, using a vector autoregressive model (VAR). Prices are transmitted quickly from Myanmar to the selected wholesale markets in Beijing, China. The wholesale market price in Beijing, China lags only one day behind the Myanmar price. In the Myanmar border market, the melon price is affected only by its own lagged price. The adjustment of melon prices in one day suggests that market information is getting passed up the market channel, and there does not appear to be a need for a policy to improve market efficiency.

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Impacts of Increased Corn Ethanol Production on Price Asymmetry and Market Linkages in Fed Cattle Markets

Cited by 6 publications

References 30 publications

Impact of the livestock mandatory reporting act on the vertical price transmission within the beef supply chain

Impact of the livestock mandatory reporting act on the vertical price transmission within the beef supply chain

Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices

Price Transmission of Melons (Cucumis Melo and Citrullus Lanatus) in Myanmar – China Border Trade

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