DISTRIBUTED LAGS AND BARLEY ACREAGE RESPONSE ANALYSIS

The need to incorporate production response lags in agricultural supply models is established, and two such lags are considered: the familiar adaptive expectations geometric lag, and a more general polynomial lag. These distributed lag supply response models are applied to Australian barley data for the period 1946-47 to 1968-69. A number of statistical problems associated with the adaptive expectations model are discussed, and in particular it is concluded that lags both in the formation of price expectations and in acreage adjustment should be considered when using geometric lag models. While the polynomial lag model does not provide useful results in the present study, its simplicity and flexibility suggest it may be useful in other studies requiring distributed lag models. The short run and long run price elasticity of barley supply estimates are compared with Gruen et al. [14] supply elasticities for the other major rural commodities, from which it appears that barley has a higher short run elasticity but a lower long run elasticity than wheat, wool and meat.     

SUPPLY RESPONSES IN THE SOUTH AUSTRALIAN POTATO INDUSTRY

The potato industry in South Australia is characterised by very unstable prices. One hypothesis for this instability is that potato growers' acreage responses follow a cobweb pattern, that is, a one year lag of acreage to price. This hypothesis is tested, together with a two year lag and a distributed lag. The distributed lag model seems the most satisfactory and gives a short-run elasticity of acreage to price of 0.36 and a long-run elasticity of 1.09. An alternative to the lagged price hypothesis is the "constant cash return" hypothesis which postulates that potatoes are grown to provide a certain cash income to permit farm development. This explanation of acreage response only seems relevant in the dairying and fat lamb areas of the State.     

Urban environmental amenities and property values: Does ownership matter?

This study examines if open space ownership, and ownership of the land on which water resources are located, has a different effect on the sale price of nearby single-family residential properties using an OLS and spatial lag modeling approach. Estimated coefficients for the percentage of land with publicly and/or privately owned water resources in the spatial lag model are mixed with significantly negative coefficients for privately owned land with wetlands or streams and a significantly positive coefficient for publicly owned land with wetlands. These results may reflect differences in accessibility, the current quality of these resources, and beliefs about future management. The spatial lag model has fewer significant coefficients than the OLS model, but the signs of key parameters are consistent across models. The average absolute difference between coefficients in the OLS and spatial lag models is 30.2%.     

Impact of Bovine Spongiform Encephalopathy on Agribusiness in the United Kingdom: Results of an Event Study of Equity Prices

This article assesses the impact on agribusinesses of the United Kingdom Government's announcement of a possible link between Bovine Spongiform Encephalopathy and human health. Three approaches are employed to derive benchmark models against which abnormal returns are estimated, a simple market model, Scholes–Williams approach, and an autoregressive distributed lag model. Abnormal returns are estimated for single firms and for subsectors over an eight-day event window. The autoregressive distributed lag model performs best and indicates significant negative abnormal returns in the beef, pet food, animal feed, and dairy sectors and positive abnormal returns in the other meats sector.     

高致病性禽流感对中国家禽市场分割程度的冲击及滞后性影响研究基于中国省际面板数据

目的 基于中国省际面板数据,采用相对价格法测算2001年1月至2017年12月中国家禽市场分割指数,在此基础上使用阿尔蒙分布滞后模型检验了高致病性禽流感对中国家禽市场分割程度的冲击及滞后性影响。方法 文章运用相对价格法测算家禽分割指数,同时使用阿尔蒙分布滞后模型进行计量回归。结果 研究发现,高致病性禽流感对家禽市场造成严重负向冲击：不仅在短时间内阻碍省际间家禽市场流通,更是长期加剧省际家禽市场的分割。疫情发生的当月禽类感染型禽流感对家禽市场分割程度的影响小于人感染型禽流感;随着滞后期的推移,禽类感染型禽流感对家禽市场分割程度造成的即期滞后影响和累积滞后影响均大于人感染型禽流感。结论 中国政府不仅要关注高致病性禽流感发生时疫情的防控和家禽养殖户的补偿,也要充分考虑疫情结束后停养、休市、限运等政策对家禽市场带来的滞后性影响,完善补偿和市场价格机制,正确引导家禽养殖户以及其他利益相关者恢复信心,确保家禽市场稳定。     

An Analysis of the Canadian Cattle Supply Using Polynomial Distributed Lags1

In this paper a distributed lag analysis of regional cattle supply is presented. A polynomial lag formulation has been applied. A distributed lag effect of two economic variables—cattle price and feed grain price (or stocks)—was specified, each with a different lag period. The model was estimated using the method of Lagrangian interpolation. An average lag of 11 quarters with respect to slaughter cattle prices was observed. The lag with respect to feed price (or stocks) was found to be relatively shorter. An inelastic response to cattle price, in the short—as well as the long-run, was observed for Eastern Canada. A similar situation for Western Canada with respect to feed grain stocks was observed.
Dans cet essai, nous nous proposons de présenter une analyse de délai distribué dans I'approvisionnement en bétail au niveau régional. Nous nous sommes servis dune formulation de délai polynomial. Nous avons spécifié un effet de délai distribué de deux variables économiques—le prix du bétail et le prix des farines alimentaires (ou des stocks)—toutes deux ayant des délais différents. Le modèle est basé sur la méthode d'interpolation Lagrangienne. Nous avons observé un délai de 11 trimestres pour ce qui concerne le prix du bétail à l'abattoir. Le délai pour le prix des farines alimentaires (ou des stocks) se montre relativement plus court. Pour I'Est du Canada, nous avons observé pour le prix du bétail une réponse inélastique que ce soil à court on long term. Nous avons observé une situation semblable dans I'Ouest du Canada pour les farines alimentaires.     

CANADIAN WHEAT ACREAGE RESPONSE*

In spite of the criticisms which have been levied against statistical estimation of supply response, it is used in this study to determine the factors causing yearly fluctuations in Canadian wheat acreage. The estimates are derived from 1947–1966 time series data. In formulating price expectations, both the traditional and distributed lag models are used.
It was found that wheat acreage response is not a random process. From a statistical standpoint, wheat and flax prices, wheat stocks on farms, and export sales did affect farmers' wheat acreage decisions. Among the elasticities computed, those for wheat prices were the largest but generally less than one. Barley prices, rainfall prior to seeding, and cattle prices were also considered but did not appear to have a serious influence on wheat acreage.     

Estimation of time-varying price elasticity in 1970–1997 Japanese raw milk supply by structural time-series model

The price elasticity of raw milk supply in Japan is estimated over time by a structural time-series model in state space form, and the changes in elasticity are tested by the diagnosing test of de John and Penzer in 1998. The supply function is modeled with a local linear trend and a strictly exogenous autoregressive distributed lag price. The seasonality in the data is adjusted by a structural time-series model. In the 1970–1997 period, there were major dairy policy changes in Japan: a production adjustment, related penalties, and two-tier pricing. Hokkaido is the region that mainly provides the supply of raw milk for milk products, while Tofuken is the region that mainly produces drinking milk. The estimated price elasticity in Hokkaido became stable after imposition of the production adjustment. On the other hand, price elasticity in Tofuken became stable after the inflation of the mid-1970s. Price elasticity is estimated to be more inelastic as well as more likely to converge in inelasticity in Hokkaido than in Tofuken. We discuss the relationship between changes in dairy policy and changes in price elasticity.     

Measuring Price Risk on UK Arable Farms

Price risk is estimated for a representative UK arable farm using value‐at‐risk (VaR). To determine the distribution of commodity returns, two multivariate generalised autoregressive conditional heteroscedasticity (GARCH) models, with t‐distributed and normally distributed errors, and a RiskMetrics^TM model are estimated. Returns show excess kurtosis and that the GARCH model with t‐distributed errors fits best. Estimates of VaR differ between models: both GARCH models perform well but the RiskMetrics^TM model underestimates expected losses. UK arable farms face substantial price risk.     

Estimation of dynamic maize supply response in Zambia

Increased attention on government pricing policies among African nations leads directly to a need for information about producer responses to price adjustments. This is especially true in the case of Zambian maize production. Maize is the most important crop grown in Zambia. It accounts for more than 80% of the value of marketed food crops, is heavily relied on for subsistence consumption, and is a staple food in the diet of all Zambian citizens. This paper analyzes the aggregate price response of maize supply in Zambia using a dynamic regression analysis. As a result, short, intermediate and long-run multipliers/elasticities are measured which can be used to analyze the effect of future price policy changes. It was found that a second-order rational distributed lag model best fits the available data. Estimates of short-run elasticities of supply for maize and fertilizer prices are 0.54 and –0.48, respectively. The corresponding estimated long-run elasticities are 1.57 and – 1.44.     

Spatial integration between Finnish and Dutch potato markets

This study estimated a conditional mean model for producer prices of fresh potatoes in Finland and for wholesale selling prices of fresh potatoes in the Netherlands. Unit roots were tested in the Finnish and Dutch price series. Then, an asymmetric error correction model with thresholds was estimated for potato prices between Finland and the Netherlands. Asymmetry was allowed both in short and long-run price transmission. The results suggest that the prices are cointegrated and the arbitrage system is functioning, but with a significant time lag between the Finnish and Dutch potato markets. The price response is also asymmetric in that the Finnish price moves towards a steady state equilibrium faster from above than from below the equilibrium.     

Beyond One‐Size‐Fits‐All: Differentiating Market Access Measures for Commodity Systems in the Kenyan Highlands

Market access measures employed by economists and spatial analysts may not adequately capture local market or product‐specific variation. Analysis is conducted on the effects of market access on two commodities in the Kenyan highlands: milk and bean seeds. Both simple and composite measures of market access are applied to spatial price formation models to create spatial price decay functions in the context of household‐specific transaction costs. Composite measures of market access include negative exponential (using travel time or distance as cost) and gravity measures. The results demonstrate that the effects of market access differ significantly depending on the particular goods of interest. Simple measures of market access have the advantage of being more easily interpretable, and should therefore be preferred when communicating research outputs to the non‐scientific community, especially decision‐makers. The implications are that research addressing commodity‐specific development questions needs to look beyond generic measures of market access and develop tailored measures that reflect the characteristics of the commodity system of interest. The analysis also demonstrates that spatial price formation can be used to generate potentially more accurate measures of unit‐distance marketing costs.     

A Statistical Analysis of Wheat Price Fluctuations in England: 1685–1850

For some commodities and time periods, the analysis of price fluctuations must necessarily rely on the existence of price data alone. A theory applicable in such circumstances is outlined for commodities that are storable, traded in open markets and subject to net supply shocks which are heterogeneously distributed across the months of the year. Market prices are predicted to vary autoregressively except at times when wheat stocks become negligible and observed market prices exceed threshold prices (which may themselves differ across months). The model is applied to a monthly time series of wheat prices for southern England from 1685 to 1850. The autoregressive parameter and the threshold prices are estimated, substantial empirical support being found for the models tested. Historical events from the late seventeenth century through to the continental wars in the late eighteenth and early nineteenth centuries are used to illustrate the mechanisms underlying the theory.     

The effects of NCPB marketing policies on maize market prices in Kenya

The Government of Kenya pursues maize marketing policy objectives through the National Cereals and Produce Board (NCPB), which procures and sells maize at administratively determined prices, and stores maize as a contingency against future shortages. A private sector marketing channel competes with the NCPB. This article estimates the effects of NCPB activities on the historical path of private sector prices in Kenyan maize markets between 1989 and 2004. The analysis is carried out using a reduced form vector autoregression model (VAR) estimated with sparse data and imposing only minimal identification restrictions. Results show that NCPB activities have stabilized maize market prices in Kenya, reduced price levels in the early 1990s, and raised average price levels by roughly 20% between 1995 and 2004. Over the past decade, the price-raising activities of the NCPB have transferred income from urban consumers and a majority of small-scale farm households that are net buyers of maize to a relatively small number of large- and small-scale farmers who are sellers of maize.     

The effects of a large discrete maize price increase on the distribution of household welfare and poverty in rural Kenya1

This study estimates the effects of a large discrete maize price increase on the welfare of a sample of rural Kenyan households. The usual first‐order welfare approximation formula is extended to a second‐order formula that allows for supply and demand responses to the price change. Results show that many rural households are not affected greatly by the price change, and there are about as many gainers as losers. However, these full sample results mask important differences across regions. Welfare gains generally take place in major production areas while losses are in areas where most households are net buyers of maize. Semiparametric methods are used to investigate the relationship between income and the size of the welfare effect, and poverty dominance techniques are applied to study the impacts of the maize price increase on rural poverty.     

AGRICULTURAL RESEARCH EXPENDITURES AND AGRICULTURAL PRODUCTIVITY CHANGE

This note comments on the econometric analysis of the dynamic relationship between agricultural research expenditures and agricultural productivity change. The validity of the Almon restrictions, particularly endpoint restrictions, commonly imposed on the distributed lag is questioned. It is suggested that models incorporating such restrictions may lead to biased estimates of the effects of research spending. More fundamentally, doubts are raised as to whether any meaningful relationship between research spending and productivity change can be established from the available data.     

Expectations,supply response,and marketing boards: An example from Kenya

Whether farmers form price expectations adaptively or in a forward-looking manner has implications for supply response analysis and for the implementation of agricultural policy reform. This paper examines the formation of price expectations by Kenyan export-crop farmers who market their produce through a monopsonistic parastatal. The analysis allows for relaxation of the small-country assumption within a rational expectations framework. Production behavior is consistent with expectations of future prices based on indicators of aggregate supply and of the marketing board's purchasing capacity. The finding that price forecasts may be formed using information other than previous price levels implies that marketing reforms that raise prices may not raise the relevant price expectations. To elicit a positive supply response, market reforms should be sensitive to farmers' interpretation of institutional signals as well as previous prices.     

Welfare Calculations in a Distributed Lag Model: Beans in Colombia

Distributed lag functions are very popular for modeling supply behavior, but there is little published on their use for estimating welfare effects. A partial equilibrium model for beans in Colombia is used to derive the welfare parameters for distributed lag supply functions. Welfare calculations are made for a zero trade and a free trade scenario. The results of welfare calculations with the distributed lag supply functions are compared with the results of simple (undistributed) one-lag supply functions. Sensitivity analysis on price and lag coefficients is applied. Whereas the simple supply functions would lead to the conclusion that the free trade scenario would have brought most benefits, the distributed lag specification leads to the conclusion that for certain conditions the zero trade scenario would have been more beneficial. The reasons for the diverging results are explored. Les fonctions à retard échelonné sont très utilisées pour la modélisation du comportement d'approvisionnement, mais leur utilié pour estimer les effets sur la qualité de la vie est peu documenée. Un modéle d'équilibre partiel pour la production des haricots en Colombie est utilisé dans le but de dégager les paramètres sociaux pour des fonctions d'approvisionnement à retard échelonné. Les caculs des effets sociaux sont basés sur un scénario de commerce extérieur nu1 et sur un scénario de libre-échange. Les résultats des calculs sociaux obtenus avec la fonction d'approvisionnement à retard échelonné sont comparés avec ceux des fonctions d'approvisionnement á retard èhelonnè sont comparè avec ceux des fonctions d'approvisionnement simple (non échelonné) a un regard. Une analyse de sensibilité est faite sur les coefficient de prix et sur les coefficients de retard. Alors que les fonctions d'approvisionnement simple sembleraient indiquer que c'est le scénario de libreéchange qui aurait été le plus profitable, l'introduction de la fonction à retard échelonné améne à la conclusion que dans certaines conditions le scénario de commerce extérieur nul aurait été plus avantageux. Les raisons de cette divergence sont examinées.     

Measuring market integration in the presence of transaction costs–a threshold vector error correction approach

Applied econometric analyses of market integration based on price data alone have been criticised because they neglect the role of transaction costs. To meet this objection, threshold vector error correction models are used. Threshold models can account for the effects of transaction costs in price transmission without directly relying upon information about these costs, which are often unavailable. It is argued that threshold models that are based on two thresholds provide results that are economically more intuitive than those obtained from one-threshold models. However, to this point no adequate econometric test is available for threshold significance in a two-threshold model; such tests are only available for the one-threshold model. In this paper a restricted two-threshold model is developed in which the significance of the thresholds can be tested. This model is therefore amenable to economic interpretation and statistical inference. The model is used to estimate market integration in the European pig market.     

THE EFFECT OF BSE ON THE REVENUE FROM BEEF FATSTOCK

Bovine Spongiform Encephalopathy (BSE) has had a considerable effect on the revenues received from finished cattle in the UK. Forecasting models are used to measure the extent of the drop in revenues by determining what the price would have been under normal marketing conditions. The models used are a regression model, which, although representing a simplified view of the market, takes account of price expectations, and an ARIMA-type model. Comparison between the forecasts of the two models forms part of the validation procedure. The results using the regression forecasts indicated a loss of 8.6 percent while the ARIMA forecasts indicated a loss of 11.8 percent over the year October 1989 to September 1990.