Market integration between surplus and deficit rice markets during global food crisis period

Applying the maximum‐likelihood method of co‐integration, this study analysed spatial market integration between an adjacent rice surplus market (India) and deficit markets (Bangladesh and Nepal). The main focus is on the government policies of these three rice‐producing countries which have been imposed to reduce domestic price volatilities in rice markets during the recent ‘global food crisis’ in 2007–2008. The co‐integration tests find that domestic rice prices of India, Bangladesh and Nepal are integrated both in short‐run and long‐run periods despite the imposition of export restriction policies by India. The reason that prices are transmitted so effectively is most likely to be the widespread informal cross‐border trade through the porous borders among India, Bangladesh and Nepal.     

国际大米价格波动对国内大米价格的传递效应研究

［目的］国际粮食价格波动会对国内粮食价格产生影响，其影响程度和途径一直是农产品价格领域的研究热点。［方法］基于2002年1月至2017年6月的月度数据，运用Johansen协整检验和向量误差修正模型检验了国际大米价格与国内大米价格的长期均衡与短期输入关系，在考虑国内大米价格形成机制的基础上分析了国际大米价格的影响程度，并进一步检验了大米与其他粮食品种价格间的整合关系。［结果］（1）国内大米价格与国际大米价格保持长期均衡关系，短期内国内大米价格对国际大米价格波动的弹性为00226。（2）国际大米价格对国内大米价格具有显著的影响，在控制其他变量不变的前提下，国际大米价格每上涨1%，国内大米价格会上升约01%。（3）Johansen协整检验表明大米会与其他粮食品种价格保持长期整合关系，国际大米价格上涨可能会通过间接渠道传递至国内大米市场。［结论］因此不仅需要关注国际大米价格对国内大米价格的影响，还需要关注其他粮食品种对大米价格的影响。     

湖南省稻谷生产收益及其影响因素的实证研究

基于稻谷生产实际收益的视角,依据1993—2017年湖南省统计数据,对稻谷生产收益与其主要影响因素之间的关系进行了协整检验,并考察分析了各因素对于稻谷生产收益的影响方向及其程度。结果表明:影响每亩减税实际纯收益变动的首要因素是每50 kg主产品实际平均出售价格,且为正向影响;次要因素是每亩实际总生产成本,为反向影响;而每亩产量对每亩减税实际纯收益变动的作用有限。建议政府适时调整优化最低价格收购政策,发挥价格的正向引导作用,多措并举抑制稻谷生产成本过快上涨,提升种粮比较收益。     

The Effects of Various Policy Regimes in the Integration of North American Grain Markets

This paper examines the integration between U.S. and Canadian grain prices using cointegration and error correction approach. Price relationships are examined in four different subperiods: pre-NAFTA (January 1986 to December 1993), post-NAFTA (January 1994 to July 1999), pre-WGTA (January 1986 to July 1995) and post-WGTA (August 1995 to July 1999). A free trade agreement implemented in 1989 that later folded into NAFTA affected price integration in the North American grain market, but Canada's elimination of freight subsidies in 1995 strengthened it. Empirical results indicate that longterm relationships exist among the price series. Prices are found to be first-difference stationary and cointegrated during the four subperiods. However, cointegration analysis shows significant post-WGTA improvement in market integration, particularly in the speed at which the market adjusts to departures from its long-run equilibrium.     

Market Integration in Developing Countries: A Case Study of Selected Vegetables in Indonesian Markets

Abstract

Market integration has retained and increased in importance in the recent years, particularly in developing countries, where it has potential application to policy questions regarding government intervention in markets. Specifically, it provides evidence of competitiveness of the market, effectiveness of arbitrage and efficiency of pricing. In this study, selected vegetables in Indonesian markets are used as a case study. Indonesia, consisting of 17,000 islands and 182 million people, provides an interesting case study because of the importance of vegetable production and marketing in the rapidly growing economy. The results suggest that none of the markets are segmented. Short- and long-run market integration tests suggest that transportation and product perishability are important in explaining the speed of price transmission. Another important result is that market integration is directional.     

Agricultural price transmission across space and commodities during price bubbles

This article investigates agricultural price transmission during price bubbles. The empirical approach concerns the horizontal transmission of cereal prices both across different market places and across different commodities. The trade policy intervention put forward to mitigate the impact of price exuberance is considered. The analysis is performed using Italian and international weekly spot (cash) price data over years 2006–2010, a period of generalized turbulence of agricultural markets. Firstly, the properties of price time series are explored; then, interdependence across prices is specified and estimated by adopting appropriate cointegration techniques. Results suggest that the bubble had only a slight impact on the price spread and the temporary trade‐policy measure, when effective, has limited this impact.     

Price dynamics in the Bangladesh rice market: implications for public intervention

In this paper, the price dynamics of a rice market are examined using dynamic programming techniques. The model is parameterised to the case of Bangladesh and thus represents the situation of a very poor country which has characteristically high price elasticity (due to income effects) and high storage and interest costs. The incentives for private sector storage and its impact on price stability are examined. Various options for public intervention in the storage sector are also explored, including price ceiling schemes and subsidisation of storage costs. Results show that interventions that remove private disincentives (such as storage subsidies) are much cheaper than direct intervention by government, but the impact on the probability distribution of prices is quite different. The effect of trade on the probability distribution of prices is also examined.     

Spatial and Seasonal Price Differences for Sorghum and Sesame in Sudan

Spatial and seasonal price differences for sorghum and sesame in the Sudan are investigated. A conceptual model of competitive market behavior in time and space dimensions is adopted to test the spatial and the seasonal price differences as compared to transportation and storage costs, respectively. The large differences in sorghum prices among regions indicate a lack of market integration between producing and consuming regions. Monthly price changes for sorghum and sesame compared to storage costs indicate an opportunity to capture above normal returns to storage. Causes of these large price differences are inadequate transportation and marketing infrastructure and government policy.     

The Extent, Pattern, and Degree of Market Integration: A Multivariate Approach for the Brazilian Rice Market

The extent, pattern, and degree of integration are analyzed in a multivariate system with cointegrating restrictions. The extent of the market is found by identifying locations that are linked by trade and where prices share identical long run information (permanent component). The pattern of integration characterizes interdependence and is analyzed by estimating a vector error correction model. The degree of integration is calculated with persistence profiles of the long run relations. We demonstrate that bivariate models are inadequate for capturing the spatial dynamics of price adjustment. The methodology is applied to the Brazilian rice market and policy implications are discussed.     

An Evaluation of Indian Government Rice Policy in Tamil Nadu

The Indian government procures rice from wholesalers or producers at a price below the market price and then distributes it to low-income consumers at a subsidized price. This paper uses a simulataneous equations econometric model to evaluate the effects of this policy on supply/demand of rice in the state of Tamil Nadu, between 1956 and 1985. Results show that production is more responsive to power for irrigation and fertilizer prices than to output prices. Because supply is inelastic, producers bear the burden of the ‘tax’ imposed by procurement even though rice is procured from the wholesaler. Rice distributed by the government displaces rice demanded in the open market, and thus the government distribution of rice has not increased the total consumption of rice.     

Efficiency tests of agricultural commodity futures markets in China

The efficiency of the Chinese wheat and soybean futures markets is studied. Formal statistical tests were conducted based on Johansen's cointegration approach for three different cash markets and six different futures forecasting horizons ranging from 1 week to 4 months. The results suggest a long-term equilibrium relationship between the futures price and cash price for soybeans and weak short-term efficiency in the soybean futures market. The futures market for wheat is inefficient, which may be caused by over-speculation and government intervention.     

World market integration for export and food crops in developing countries: a case study for Mali and Nicaragua

Using a generalized error correction model, this article measures and compares market integration for export cash crops versus imported food crops for Mali and Nicaragua, and computes transmission elasticities between changes in the goods’ border and domestic prices. Both Mali and Nicaragua obtain the bulk of their export revenue from a particular agricultural commodity—cotton for Mali and coffee for Nicaragua—and both import the same key staple food of rice. To reap the economic gains from this trade specialization, the two countries’ agriculture must be well‐integrated into world markets. The two countries present an important policy contrast that affects their degree of world market integration and price transmission. In Mali, a parastatal enterprise controls its cotton industry, while Nicaragua has less state direction over agriculture. Reflecting this difference, the results show that for both its main export and import commodity, Nicaragua is more integrated into world markets and has higher price transmission than Mali. The results for Nicaragua also show much higher integration and price transmission for its main agricultural export (coffee) than its major import (rice).     

The role of temperature for seasonal market integration: a case study of poultry in Iran*

Understanding market integration has greatly benefited from analysing and comparing variations in price transmissions. An important source of variation in agricultural markets is seasonal changes in production, consumption and transaction costs. A key factor driving seasonality in agricultural price is temperature, as supply and demand changes are triggered by seasonal temperature differences. In this paper, we study the seasonal variations in vertical price transmission focusing on the asymmetric price adjustment to analyse changes in the market interactions between the stages of the value chain. Our data reveal significant transitory effects of temperature on the price transmission process. Results of a panel threshold model suggest that the farm–wholesale price adjustments to deviations from the market equilibrium are more symmetric at higher temperatures. However, we do not find an effect of temperature on the wholesale–retail price relationship. Our findings can be rationalised with wholesalers making use of their market power to extend their margins in the upstream chain. Wholesaler market power is lower during warm periods, and price adjustment is more symmetric. Concerning the Iranian poultry value chain, our findings imply that temperature-related differences in market interactions should be considered in formulating policy interventions.     

Spatial Market Integration in the Presence of Threshold Effects

A large body of research has evaluated price linkages in spatially separate markets. Much recent research has applied models appropriate for nonstationary data. Such analyses have been criticized for their ignorance of transactions costs, which may inhibit price adjustments and thus affect tests of integration. This analysis utilizes threshold autoregression and cointegration models to account for a neutral band representing transactions costs. We evaluate daily price linkages among four corn and four soybean markets in North Carolina. Nonlinear impulse response functions are used to investigate dynamic patterns of adjustments to shocks. Our results confirm the presence of thresholds and indicate strong support for market integration, though adjustments following shocks may take many days to be complete. In every case, the threshold models suggest much faster adjustments in response to deviations from equilibrium than is the case when threshold behavior is ignored.     

Vertical price transmission in timber and lumber markets

Timber and lumber markets are linked and integrated through prices at several stages along timber supply chain. In this study, the degree of vertical integration and the presence of asymmetric price transmission are investigated for sawtimber and lumber products in the southern and western United States. The data utilized are quarterly stumpage price, delivered timber price, and lumber price of softwood between 1977 and 2011. Linear and threshold cointegration models are used for long-term price analyses, and symmetric and asymmetric error correction models are used for short-term price analyses. The integration in the early stage (i.e., stumpage/delivered timber price pair) is found to be stronger than that in the latter stage (i.e., delivered/lumber price pair). The South shows slightly stronger market cointegration than the West. Asymmetric price transmission is found along the timber supply chain. In the long term, prices are more responsive when the price margin is increased than decreased.     

Post–Uruguay Round price linkages between developed and developing countries: the case of rice and wheat markets

The Uruguay Round Agreement on agriculture attempted to lower distortions in global agricultural markets. However, the significant fall in commodity prices in the late 1990s may have reduced the incentives for both developed and developing countries to better integrate into world markets. This study analyzes price linkages and adjustment between developed and developing countries during the post–Uruguay Round period. Prices of two key commodities, long‐grain rice and medium‐hard wheat, are assembled for major exporters and producers. Results of multivariate cointegration analysis suggest partial market integration between developed and developing countries in the post–Uruguay Round period. Developed countries are found to be price leaders in these two markets, and in most cases, changes in their prices have relatively large impacts on those of the developing countries. Developing countries (e.g., Vietnam and Argentina) have faced considerable price adjustment due to changes in the developed countries' prices.     

价格支持、政策调整及粮食市场波动

目的 为了估计价格支持政策对不同粮食品种期现货价格波动的直接影响,实证分析和比较了政策及其调整对粮食期现货价格波动实施效果的影响,为深化粮食价格形成机制改革提供一定的理论参考和实证支撑。方法 文章利用稻谷、小麦、玉米和大豆的现货与期货价格日数据,将政策以虚拟变量的形式引入GARCH模型实证分析最低收购价政策、临时收储政策及其调整对平抑粮食期现货市场波动的作用。结果 价格支持政策对粮食价格波动产生了显著影响,最低收购价政策能够明显降低稻谷和小麦现货市场的波动程度,但对期货市场波动的作用则相反;玉米和大豆临时收储政策的取消导致现货市场波动性提高,而对期货市场波动的影响存在差异。结论 价格支持政策具有降低价格波动的作用效果,政策调控效果与实施品种的国内供求及市场形势、国内外市场的联系程度密切相关,政策的完善还需关注对期货市场波动的影响。     

Does oligopsony power matter in price support policy design? Empirical evidence from the Thai Jasmine rice market

In the oligopsony market, farmers may receive low prices and policy analysis assuming perfect competition can yield serious bias results. In this paper, we estimate oligopsony power between processors and farmers and evaluate the welfare impact of the paddy pledging program (PPP), a generous price support program in the Thai Jasmine rice market, with an imperfect competition model. We develop a model that consists of rice supply equation and derived demand equation. We then simultaneously estimate these equations using system estimation methods to recover oligopsony power parameters. Finally, we use these parameters to assess the welfare impact of the price support program. Using annual panel data running from crop marketing year 2001/2002–2015/2016 and exploiting the institutional feature of the PPP, we find strong evidence of some oligopsony power, a moderate level of oligopsony price distortion, and a negative relationship between price support and oligopsony power. We also find that the PPP is inefficient but effective in income redistribution. Moreover, the program benefits both farmers and consumers. With better policymaking decisions, the PPP can be efficient by setting a suitable support price. Therefore, our results show that in the case of the Thai Jasmine rice market, the generally accepted “wisdom” about agricultural price support policy does not necessarily hold, and price support can be designed to improve the efficiency of the market.     

The welfare cost of Japanese rice policy with home‐good preference and an endogenous import price

The welfare cost of Japanese rice policy is estimated in the context of a large importing country, treating domestically produced rice and imported rice as heterogeneous goods and where there is home‐good preference. Not accounting for this preference will cause the gains from liberalisation to be overestimated. The period that is analysed is 2004–2007, departing from that in previous studies, which do not cover this period of greater deregulation. Rather than use border trade flow data as is customary, we acknowledge the actions of a state trading enterprise and construct and use a unique data set which should better gauge import penetration in the Japanese market for rice. Econometric estimation fails to reject the hypothesis that the Ministry of Agriculture, Forestry and Fisheries prevents imports from affecting the price of domestically produced rice. In the absence of precisely estimated parameter values, simulations of liberalisation are conducted under a range of parameter values and the effects on social welfare calculated. The tariff equivalents of the government's support to rice producers are also estimated with values for the period in excess of 100 per cent.     

Unbiasedness and Market Efficiency Tests of the U.S. Rice Futures Market

This study examines short-run and long-run unbiasedness within the U.S. rice futures market. Standard OLS, cointegration, and error-correction models are used to determine unbiasedness. In addition, the forecasting performance of the rice futures market is analyzed and compared to out-of-sample forecasts derived from an additive ARIMA model and the error-correction model. The results of our unbiasedness tests and the forecasting performance of the rice futures market provide supporting evidence that the U.S. long-grain rough rice futures market is efficient. The results have important price risk management and price discovery implications for Arkansas and U.S. rice industry participants.