Spatial price transmission on agricultural commodity markets under different volatility regimes

Ganneval, Sébastien

doi:10.1016/j.econmod.2014.11.027

Cited by 22 publications

(16 citation statements)

References 54 publications

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“…All price series were converted to natural logarithms to reduce possible heteroscedasticity [24,33]. Two logarithmic price pairs were formed: Sapelli/Mandshurica and Mandshurica/Laurel.…”

Section: Methodsmentioning

confidence: 99%

“…The first step estimates the long-term relationship of Equation (3) in terms of the price variables. It is essential to define the direction of information flow between long-term equilibrium prices; the Granger causality test may be helpful to this end [24]. We constructed two long-term relationships (Sapelli/Mandshurica and Mandshurica/Laurel).…”

Section: The Linear Co-integration Modelmentioning

confidence: 99%

“…Using a threshold co-integration framework, Abdulai demonstrated that local maize markets in Ghana responded more quickly to rising prices than to falling prices in the central markets [23]. Ganneval showed that if the price volatility of four commodities (rapeseed, corn, feed barley, and protein pea) was high in France, any price deviations from the long-term equilibrium were corrected rapidly; forward prices became more relevant as price volatility increased [24]. The study on APT of wheat exported from North America showed that USA enterprises exporting low-quality wheat may reduce prices faster (to maintain market share) than Canadian exporters of high-quality wheat [8,25].…”

Section: Introductionmentioning

confidence: 99%

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Asymmetric Price Transmission of Hardwood Lumber Imported by China after Imposition of the Comprehensive Commercial Logging Ban in All Natural Forests

Yang

Yin

Wang

2020

Forests

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The Comprehensive Commercial Logging Ban in All Natural Forests (CCLB) policy, introduced in April 2015, aims to protect all natural forests in China. It has impacted both China's domestic timber supply and imports. We investigated price transmission in China's hardwood lumber imports resulting from the implementation of this policy. We selected three hardwood lumber species, i.e., Sapelli (Entandrophragma), Mandshurica (Fraxinus), and Laurel (Terminalia), and used their daily prices from 30 April 2015 to 30 November 2017. Threshold co-integration and threshold error correction models are employed for this analysis. We identified a structural breakpoint on 30 November 2016, and consequently partitioned the data series into two parts for the two subperiods separated by the breakpoint. The empirical results indicated that there was asymmetric price transmission (APT) for both subperiods. Adjustment of positive price deviations to the long-term equilibrium levels was slower than that of negative price deviations. In the short term, the price of high-quality lumber evolved independently, whereas the price of lower-quality lumber tended to return to the equilibrium. The APT reflects a redistribution of welfare, benefiting the exporters more than the importers. We find that positive discrepancies in each price pair were inclined to be more persistent in the first subperiod than in the second subperiod. This could attribute to the fact that the degree of CCLB intervention in the former one was higher than in the latter one.

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“…All price series were converted to natural logarithms to reduce possible heteroscedasticity [24,33]. Two logarithmic price pairs were formed: Sapelli/Mandshurica and Mandshurica/Laurel.…”

Section: Methodsmentioning

confidence: 99%

Section: The Linear Co-integration Modelmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Asymmetric Price Transmission of Hardwood Lumber Imported by China after Imposition of the Comprehensive Commercial Logging Ban in All Natural Forests

Yang

Yin

Wang

2020

Forests

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“…The recent agricultural situation has been characterized by relatively high price volatility. Agricultural commodity markets have been affected by a rise in volatility since 2006 . The first decade of the 21st century in agriculture globally was characterized by a higher price volatility compared to the two decades before that.…”

Section: Theoretical Framework Of Underlying Mechanismsmentioning

confidence: 99%

Can biofuel policies reduce uncertainty and increase agricultural yields through stimulating investments?

Szabó¹

2019

Biofuels Bioprod Bioref

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As history shows, the yield gap (the difference between actual and achievable yields) will not necessarily close automatically. Investments in agricultural technologies may be key. Price volatility is fundamental to investment. Price volatility has increased in agriculture in the past decade, leading to higher risks for potential investments. Some of these increased risks may be offset by the certainty offered by credible policies. The US experience indicates that ethanol policy may contribute to yield increases. Analysis suggests that corn use by ethanol plants in the USA may explain a significant part of the observed yield increase. A theoretical framework, centered on downside price-stabilization effects, is offered here, supported by some US, EU, and Hungarian empirical evidence. The research presented explores whether new ethanol plants resulting from effective biofuel policies could serve as a market mechanism to stimulate investments in farming technologies, triggering increased productivity. A survey of local stakeholders of an ethanol plant in Hungary, the only large-scale biofuel investment triggered in Europe by the EU's flagship bioenergy policy (the Renewable Energy Directive) suggests that relevant investments may have been stimulated. Over half of the respondent farmers said that the presence of the ethanol plant had stimulated investments in productivity. It is proposed that ethanol or biofuel policies may be effective in closing the yield gap, in effect resulting in additional biomass production and advancing the bioeconomy. With effective cross-sectoral policies, more biomass for food, feed, bio-based materials and / or bioenergy purposes can be produced.

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“…On the other hand, evidence of stationarity implies that future movement in agricultural commodity prices based on historical evidence is predictable. Under this condition, where commodity prices are predictable, it can be argued empirically that agricultural commodity prices are mean reverting (Brooks, Prokopczuk, Wu, 2015;Alexakis, Bagnarosa, & Dowling, 2017;Ganneval, 2016;Lawal, Fidelis, Babajide, Obasaju, Oyetade, Lawal-Adedoyin, Ojeka, and Olaniru, 2018;Barbaglia, Wilms, & Croux, 2016;Biao Guo, 2018;Tse, 2018;Lawal, Somoye, & Babajide, 2018).…”

Section: Introductionmentioning

confidence: 99%

Testing mean-reversion in agricultural commodity prices: Evidence from wavelet analysis

Lawal¹,

Omoju²,

Babajide³

et al. 2019

Journal of International Studies

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This study examines the validity of the random walk hypothesis for some selected soft agricultural commodity prices within the context of heterogeneous market hypothesis and mean reversion hypothesis. The study employs a battery of traditional unit root tests, GARCH-based models and a novel frequency-based wavelet analysis to analyze daily data sourced from 6th of Jan 1986 to 29 th Dec 2018. Contrary to other existing studies that employed only traditional time domain unit root tests, our results reveal that soft commodity prices are mean reverting, suggesting the existence of potential excess returns for investors. Overall, our results show that the selected soft commodity series are inefficient when we factored in heteroscedascity and frequency domain into our model. Our study is an improvement on the existing studies as we analyze our data using both time and frequency domain estimates. Besides, unlike other studies that did not offer structural breaks, the current study provides structural break dates with major events in the global socioeconomic space, which are key to identifying the date of bubbles and potential signs of commodity price bubbles. Our findings have some critical implications for investors, policy makers,

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Spatial price transmission on agricultural commodity markets under different volatility regimes

Cited by 22 publications

References 54 publications

Asymmetric Price Transmission of Hardwood Lumber Imported by China after Imposition of the Comprehensive Commercial Logging Ban in All Natural Forests

Asymmetric Price Transmission of Hardwood Lumber Imported by China after Imposition of the Comprehensive Commercial Logging Ban in All Natural Forests

Can biofuel policies reduce uncertainty and increase agricultural yields through stimulating investments?

Testing mean-reversion in agricultural commodity prices: Evidence from wavelet analysis

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