How much of commodity price behavior can a rational expectations storage model explain?

A rational expectations competitive storage model was applied to the U.S. corn market, to assess the aptness of this framework in explaining monthly price behavior in an actual commodity market. Relative to previous models, extensive realism was added to the model, in terms of how production activities and storage costs are specified. By modeling convenience yield, “backwardation” in prices between crop years did not depend on the unrealistic assumption of zero ending stocks. Our model generated cash prices that were distributed with positive skewness and kurtosis, and mean and variance that increased over the storage season, comparable to the persistence and the occasional spikes observed in commodity prices. Futures prices were generated as conditional expectations of cash prices at contract maturity, and the variances of futures prices exhibited realistic time–to‐maturity and seasonal patterns. Model realizations of cash and futures prices over many “years” were used to demonstrate the wide variety of price behaviors that could be observed in an efficient market with a similar market structure, implying that economic and policy implications drawn from short, historical samples of prices could be misleading.     

Risk Management in Agricultural Markets: A Review

This article surveys and evaluates the current state of knowledge about producers' marketing strategies to manage price and revenue risk for farm commodities. The review highlights gaps between concepts and their implementation. Many well‐developed models of price behavior exist, but appropriate characterization and estimation of the probability distributions of commodity prices remain elusive. Hence, the preferred measure of price risk is ambiguous. Numerous models of optimal marketing portfolios for farmers have been specified, but their behavior appears to be inconsistent with most, if not all, of these models. In addition, some research suggests that farmers can earn speculative profits, which is inconsistent with notions of efficient markets. The conclusions discuss what academic research can and cannot accomplish in relation to assisting producers with risk‐management decisions. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:953–985, 2001     

Estimating food demand in Paraguay from household survey data

We estimate a food demand system in Paraguay based on the 1997 national household survey, considering 12 food categories. To obtain demand elasticity estimates from household survey data accounting for quality effects, measurement errors, and censored observations, price indexes are obtained from ordinary least squares predictions of changes in unitary values caused by spatial and temporal variations, and the two‐step estimation procedure ( Shonkwiler and Yen, 1999 ) is applied. Our approach yields reasonable estimates of combined quantity and quality responses with respect to price. Results suggest distinct consumption behavior in urban and rural areas, particularly for chicken, eggs, dairy, and fats and oils, which are likely because of differences in the food distribution system and availability of nonmarket food sources.     

The future of food demand: understanding differences in global economic models

Understanding the capacity of agricultural systems to feed the world population under climate change requires projecting future food demand. This article reviews demand modeling approaches from 10 global economic models participating in the Agricultural Model Intercomparison and Improvement Project (AgMIP). We compare food demand projections in 2050 for various regions and agricultural products under harmonized scenarios of socioeconomic development, climate change, and bioenergy expansion. In the reference scenario (SSP2), food demand increases by 59–98% between 2005 and 2050, slightly higher than the most recent FAO projection of 54% from 2005/2007. The range of results is large, in particular for animal calories (between 61% and 144%), caused by differences in demand systems specifications, and in income and price elasticities. The results are more sensitive to socioeconomic assumptions than to climate change or bioenergy scenarios. When considering a world with higher population and lower economic growth (SSP3), consumption per capita drops on average by 9% for crops and 18% for livestock. The maximum effect of climate change on calorie availability is ?6% at the global level, and the effect of biofuel production on calorie availability is even smaller.     

THE EMPIRICS OF THE MUNICIPAL FISCAL ADJUSTMENT

We summarize the literature that uses the vector error-correction model approach to analyze the dynamics of the municipal fiscal adjustment. The international comparison between samples collected from entire countries and specific regions reveals interesting similarities, but also remarkable differences. The main similarities are the fulfillment of the intertemporal budget constraint, the volatility of the budgetary components, and the importance of the intergovernmental transfers as an adjustment instrument. The most remarkable difference is the preponderant role of the own revenues in the USA, probably reflecting the larger fiscal autonomy of US municipalities. In most cases, the large municipalities seem to be more dependent on grants than their small counterparts, although this pattern is broken in Japan. Finally, partial evidence supporting the existence of moral hazard problems and the flypaper effect is provided.     

Self‐Assessed Social Position and Poverty

In this article, we use microlevel data extracted from the 2006 Japanese General Social Surveys to analyze the relationships between self‐assessed social position and socioeconomic factors such as income and poverty. We provide the posterior results of the estimation of the Bayesian multivariate ordered probit model and propose an inequality measure for self‐assessed social position on the basis of the posterior results. We call the inequality measure “regret” and show that the distributions of regret differ for people above and below the poverty line.     

Estimation of Engel Curves from Survey Data with Zero Expenditures*

The objective of this article is to propose a Bayesian method for estimating a system of Engel functions using survey data that include zero expenditures. We deal explicitly with the problem of zero expenditures in the model and estimate a system of Engel functions that satisfy the adding‐up condition. Furthermore, using Markov chain Monte Carlo method, we estimate unobservable parameters, including consumption of commodities, total consumption and equivalence scale, and use their posterior distributions to calculate inequality measures and total consumption elasticities.     

PARTIAL PRIVATIZATION, TECHNOLOGY SPILLOVERS, AND FOREIGN OWNERSHIP RESTRICTION

Using a mixed oligopoly model with foreign ownership, this paper examines the interaction between two market-opening policies: the relaxation of foreign ownership restriction and the privatization of domestic public firms. It particularly focuses on technology spillovers, which could be one of the most prominent motivations for introducing foreign investment into a domestic market. The first result demonstrates that the optimal level of privatization is affected by technology spillovers from foreign investment and is negatively related with the magnitude of technology spillovers. The second result shows that the optimal level of privatization is lower when foreign ownership restriction is abolished than that when foreign ownership is not fully allowed. The third result indicates that the government relaxes regulations on foreign ownership of domestic firms only if the magnitude of technology spillovers is significant.