Bayesian Estimation and Selection of Nonlinear Vector Error Correction Models: The Case of the Sugar-Ethanol-Oil Nexus in Brazil

Nonlinear adjustment toward long-run price equilibrium relationships in the sugar-ethanol-oil nexus in Brazil is examined. We develop generalized bivariate error correction models that allow for cointegration between sugar, ethanol, and oil prices, where dynamic adjustments are potentially nonlinear functions of the disequilibrium errors. A range of models are estimated using Bayesian Monte Carlo Markov Chain algorithms and compared using Bayesian model selection methods. The results suggest that the long-run drivers of Brazilian sugar prices are oil prices and that there are nonlinearities in the adjustment processes of sugar and ethanol prices to oil price but linear adjustment between ethanol and sugar prices.     

Distance and Border Effects on Price Transmission: A Meta‐analysis

Using price transmission estimates for 1,189 cereal market pairs extracted from 57 published studies in a meta‐analysis, we examine whether geographic distance and separation by an international border affects the strength and speed of price transmission. Our findings indicate that a border reduces the likelihood that two cereal prices will be cointegrated by 23%, and each additional 1,000 km of distance reduces the probability of cointegration by 7%. The speed of price transmission is on average 13 percentage points per period faster between prices that are located within the same country compared with cross‐border price pairs. Our meta‐analysis also indicates that increasing distance strongly reduces the speed of price transmission on domestic markets, but that the effect of distance on the speed of transmission is considerably weaker for trade over longer international distances. Overall, these results confirm expectations and complement the findings in the trade literature that borders and distance affect trade flows and price dispersion.     

Tariff Liberalisation,Price Transmission and Rural Welfare in China

China's tariff liberalisation as part of its WTO accession application and eventual agreement has been thoroughly analysed in the literature. However, much of this literature is based on forward‐looking ex‐ante analyses and few studies provide empirical evidence on its actual impact. We fill in this gap by evaluating empirically the welfare effects of China's actual tariff liberalisation on Chinese farmers during the 1997–2010 period. By estimating the domestic market price effects of China's tariff liberalisation and the associated wage earning effects, we find that on average Chinese farmers were able to gain more from reduced consumption prices than they would lose from reduced agricultural and wage income due to tariff liberalisation. Welfare gains over time are estimated to be positively correlated with the actual degrees of tariff liberalisation, implying that relatively more gains were realized immediately before and after China's WTO accession in 2001, as compared to the more recent period when relatively little liberalisation was carried out. Farmers’ rising non‐agricultural income and increasing consumption shares of non‐agricultural products are important determinants of these positive average welfare effects. Moreover, welfare gains from tariff liberalisation are shown to be distributed unevenly across Chinese provinces and income levels, with farmers located in coastal provinces and at higher income levels gaining more than their counterparts in remote provinces and at lower income levels.     

Basis Pricing, Futures-Cash Price Transmission and Appropriate Hedge Ratios: The Case of the Soybean Market in Ontario

The academic literature on the determination of risk-minimizing hedge ratios has apparently ignored the potential impact that the pricing strategies adopted by the grain elevators may have on the futures-cash price transmission, and therefore on the determination of the correct hedge ratio. This paper addresses this problem from a theoretical perspective, and then develops a model that is applied to the soybean market in Chatham, Ontario.
La littérature académique concernant la détermination des ratios de couverture à terme minimisant le risque a apparemment ignoré l'impact potential des stratégies des faiseurs de prix sur un marché sur la relation entre les prix spot et les prix à terme. II est possible que de ce fait ces stratégies influencent également la détermination du vrai ratio de couverture. Ce papier traite ce problème d'un point de vue théorique, puis vérifie ces résultats en les appliquant au cas du marché du soja à Chatham, Ontario.     

Wheat and Maize Price Policies in Hungary: Tradeoffs between Foreign Exchange and Government Revenue

This paper reports on a methodology designed to examine the effects of selected agricultural policies in Hungary. The purpose of the paper is twofold. The first is to explain the methodology, dubbed multi-market analysis in previous work, which is implemented on personal computers to support discussions on policy reforms. The second is to examine wheat and maize policies in Hungary. While the model is constructed to focus on these policies, it will also be possible to outline ways to use the model to address other problems.     

Long‐Run Drift,Co‐Movement and Persistence in Real Wheat and Maize Prices

Trends in real prices for food commodities are both important and controversial. Paying particular attention to issues of methodology, this paper assesses the evidence for a downward drift in the real prices of wheat and maize. It is found that the apparent strength of that evidence depends substantially on whether the time series generating models are taken to be trend‐stationary or difference‐stationary, and on whether allowance is made, through incorporation of dummy variables in the models, for events in one or two extreme years. Once dummy variables are incorporated, we find little evidence against difference‐stationarity. The analysis then proceeds, through tests for cointegration, to the construction of error‐correction models linking the two prices and to the estimation of persistence of shocks in this bivariate framework. The paper presents modest evidence for downward drift in real grain prices of about 1 to 1.5 per cent per annum, shows that wheat and maize prices cointegrate and estimates that direct and cross‐persistence measures take values of less than unity.     

CAP Reforms in the 1990s and their Price and Welfare Implications: The Case of Wheat

We use a nonlinear commodity market model to assess, theoretically and empirically, the impacts of recent reforms of the CAP on prices and economic welfare in the EU. The empirical analysis is based on an aggregate structural econometric model of the EU wheat economy and its links to the rest of the world. Instability issues are also investigated. Impacts of CAP reforms on the variance of domestic and world prices are analysed and a Monte Carlo simulation is used to evaluate uncertainty in the model's welfare computations. Recent reforms led to a net welfare gain within the EU during the period 1993–2000. Additional budgetary costs are less than the welfare gains of consumers and producers. Producers gained as lower price support was overcompensated by additional direct payments.     

玉米在山西的传播引种及其经济作用

玉米在明代晚期即已传入山西，但直到光绪年间，玉米才在山西得到普遍种植。本文通过对山西与相邻各省在玉米引种时间上的比较分析，对山西各县区玉米别称的来源及玉米传入山西的途径和时间做了比较详细的梳理归纳，进而指出玉米这种高产作物对山西社会经济发展所起的促进作用。     

Estimating Investment Rigidity within a Threshold Regression Framework: The Case of U.S. Hog Production Sector

This article addresses the issues of investment/disinvestment asymmetry and a possible existence of a sluggish regime in the demand for a quasi-fixed input in the U.S. hog production sector. Adopting a new threshold estimation procedure, quarterly data from 1970 through 2002 are used to estimate a regime-dependent investment demand equation for a quasi-fixed input, taking sows as a proxy. The results support the existence of three regimes over alternative specifications precluding the sluggish regime, confirming the existence of asset fixity in hog production. The results also highlight the importance of accounting for investment rigidity when estimating hog supply and variable input demands.     

农地流转对农村减贫的空间溢出效应与门槛特征 ——省级层面的实证

研究目的：研究农地流转对农村减贫的影响。研究方法：利用2010—2018年中国30省份的面板数据,构建空间计量模型和门槛模型,分析农地流转对农村减贫的空间溢出效应和门槛特征。研究结果：（1）中国的贫困发生率、耕地流转面积在省域层面均存在显著的正向空间相关性,贫困发生率与耕地流转面积之间存在负向空间相关性;（2）农地流转对农村减贫存在正向的空间溢出效应,其他省份的农地流转会间接促进本省的农村减贫;（3）农地流转促进农村减贫的过程存在门槛特征,在农业生产效率及经济发展水平两个门槛解释变量下,农地流转对农村减贫的促进作用分别呈现出持续上升和先升后降的特征;（4）农地流转对农村减贫的促进作用存在地区差异,在农林牧渔总产值较低的省份中农地流转对农村减贫的作用更强,而在农林牧渔总产值较高的省份该作用则相对较弱。研究结论：要解决好中国的贫困问题应全面统筹,注重农地流转对农村减贫的促进作用,因地制宜推进全国各省农地有序流转,促进农村土地和劳动力的优化配置,实现全面脱贫。     

The Market Structure and Price Competition in China's Wheat Import Market:

This paper reveals that wheat exporters to China compete in an imperfectly competitive market. U.S. wheat exports face strong price competition from Argentina, Australia, Canada, and the European Community, but has a highly elastic demand in China. By adopting an aggressive promotion policy, the U.S. could reduce the market shares of Argentina and Canada. China would shift to wheat from Argentina, Australia, and Canada if U.S. wheat exports were interrupted because of high prices or non-price trade frictions. An expansion in China's wheat imports would accrue to wheat from Argentina and the U.S.     

Evaluating Alternative Policy Responses to Higher World Food Prices: The Case of Increasing Rice Prices in Madagascar

Higher world food prices have led many developing countries to adopt policies to mitigate the impact on low-income households. This article sets out a partial equilibrium framework to evaluate the efficiency, distributional, and revenue implications of alternative policy responses. The model is applied to evaluate tariff reductions and targeted transfers in Madagascar. Although lowering tariffs generates substantial efficiency gains, these accrue mainly to the top half of the welfare distribution, and poor net sellers are actually worse off. Developing a system of targeted direct transfers to poor households is likely to be a substantially more cost-effective approach to poverty alleviation.     

Protection, Price Discrimination and Inefficient Trade: The Case for Real Tariffication

The recent WTO dispute settlement panel ruled that Canada's current price pooling system for milk subsidizes exports in excess of Canada's 1994 GATT commitments. Policy reform must be undertaken. High domestic and low export prices are a combination favored by dairy producers and will likely continue. We believe that the system will evolve toward a pure price discrimination scheme, which would have the advantages of inducing lower exports and raising profits. We analyze trade liberalization by comparing tariff reductions to enlargements in minimum access commitments (MACs) when domestic production is controlled by a profit-maximizing state enterprise, which may or may not control imports. Even if we fail to account for administrative problems of MACs (e.g., choice of importers, punishment for noncompliance), MACs are inferior to tariffs because they promote inefficient trade. A state trader that would import under free trade has a tendency to export more under MACs than under tariffs. Because we assume that MACs must be filled, exporting is done to protect the high-price domestic market. Le comité de règlement des différends de l'OMC a statué il y a quelques années que le système actuel de mise en commun des prix du lait appliqué par le Canada subventionne les exportations au-delà des engagements pris au GATT en 1994. Une réforme structurale s'impose. Prix intérieurs élevés et faibles prix à l'exportation constituent la combinaison préférée des producteurs laitiers et, pour cette raison, appelée à se maintenir. À notre avis, le système évoluera vers un régime pur et simple de double prix, lequel aurait l'avantage à la fois de décourager l'exportation et de hausser les profits. Nous analysons les impacts de la libéralisation des échanges intemationaux en comparant la réduction de tarifs douaniers aux élargissements des engagements d'accès minimum (EAM), lorsque la production intérieure est contrôleépar une société d'État axée sur la maximisation des bénéfices, et nantie ou non de droits de regard sur les importations. Même en faisant abstraction des problèmes administratifs des EAM touchant, notamment, le choix des importateurs, les pénaltiés de non-conformité, les EAM sont inférieurs aux tarifs douaniers parce qu'ils créent des situations inefficientes dans les échanges extérieurs. Une société d'État qui importe sur le marché libre aura tendance à exporter davantage en régime de EAM qu‘en régime de tarifs douaniers. Comme nous présupposons que les EAM sont là pour être pleinement utilisés, le but de l'exportation est alors de protéger le niveau lucratif des prix sur le marché intérieur.     

Asymmetric Margins in Prices and Retail Supply Chain Integration: The Spanish Vegetable Case

Several studies have observed asymmetric behavior between sale prices in the supermarket and the price paid to the farmer. This article presents the consequences derived from a simplified framework considering a scenario in which the retailer wishes to maintain balanced profits due to external pressures or because the retailers' strategy to differentiate themselves from the competition requires greater integration in the supply chain. It is shown that the price-fixing decision of the distributor may depend on the risk, measured by the relationship between demand elasticity and variable costs, as a result of uncertainty in consumer response to price variations. This risk arises from the existence of supply that is highly changeable in the short term and demand that is unpredictable.     

2009年国际粮价情况及2010年走势分析

2009年,在各国大规模的经济刺激政策影响下,全球经济从上年金融危机中复苏,国际主要大宗商品价格普遍上扬,但国际市场粮价却走出与其他商品完全不同的走势,分析个中原因,并对后危机时代粮价走势作出判断,具有重要意义。具体来看,今后一段时间,国际粮食市场供需关系将有所改善,国际粮价底部运行期即将完成,但高库存、低贸易将抑制涨幅,预计国际粮价将呈先稳后升走势。     

Price Dynamics in a Vertical Sector: The Case of Butter

We develop a reduced-form model of price transmission in a vertical sector, allowing for refined asymmetric, contemporaneous and lagged, own and cross-price effects under time-varying volatility. The model is used to investigate the wholesale-retail price dynamics in the U.S. butter market. The analysis documents the nature of nonlinear price dynamics in a vertical sector. It finds strong evidence of asymmetric retail price responses, both in the short term and the longer term, but only weak evidence of asymmetric wholesale price responses. Asymmetric retail responses play a major role in generating a skewed distribution of butter prices. The empirical results indicate the presence of imperfect competition at the retail level.     

Regional Price Effects of Extreme Weather Events and Wheat Export Controls in Russia and Ukraine

We build on the price transmission framework to identify domestic wheat price effects of wheat export controls. We explicitly take into account that a harvest failure causes domestic price effects. Moreover, the analysis at the regional level provides further evidence of the functioning of export controls in a large country. Results suggest a pronounced regional heterogeneity in the strength of domestic price effects of the 2010/11 export ban in Russia. The wheat price dampening effects amount to up to 67% and are strongest in the major wheat exporting region with direct access to the world market. This effect is transmitted to other regions by increased and reversed interregional trade flows. In contrast, we find that regional variation of export controls’ domestic price effects in Ukraine is rather small.     

Wheat Policy Options in Sub-Saharan Africa: The Case of Zimbabwe

Like many countries in sub-Saharan Africa, Zimbabwe is experiencing rapid growth in wheat consumption and imports. Policy makers in Zimbabwe and elsewhere must decide whether increased domestic wheat production might reduce dependency on imports and at the same time contribute to economic efficiency and food security goals. The domestic resource cost framework was used to assess Zimbabwe's comparative advantage among six major irrigated crops and to measure the effects of current government policies on producer incentives. The results indicate that irrigated wheat production represents an efficient use of Zimbabwe's resources during times of abundant rainfall, but the nation enjoys a comparative advantage in tobacco, maize, and cotton production during times of water scarcity. Existing agricultural policies provide disincentives for commercial farmers, because private profitability is less than social profitability for the major irrigated crops. However, this tax occurs across all commodities with similar incidence, so that the private incentives among crops are not greatly distorted from their social pattern. Sensitivity analysis confirms the robustness of these findings under a range of possible future economic and political developments. The domestic resource cost approach used in this study provides an operational method for measuring comparative advantage and should be of interest to policy analysts throughout sub-Saharan Africa.