Agricultural Prices and Commodity Market Analysis / Edition 1

Agricultural Prices and Commodity Market Analysis / Edition 1

by John N. Ferris
ISBN-10:
0070217289
ISBN-13:
9780070217287
Pub. Date:
08/01/1997
Publisher:
McGraw-Hill Higher Education

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Overview

Agricultural Prices and Commodity Market Analysis / Edition 1

This book emphasizes market and price analysis using agricultural examples. The focus of the book is on the application of econometrics and will help those going into fields involving market analysis and forecasting. The blend of theory and application is unique.

Product Details

ISBN-13: 9780070217287
Publisher: McGraw-Hill Higher Education
Publication date: 08/01/1997
Pages: 400
Product dimensions: 0.80(w) x 8.50(h) x 11.00(d)

Table of Contents

PREFACE xvii
1 Introduction
1(4)
SECTION I THEORETICAL CONCEPTS AND EMPIRICAL MEASUREMENT OF DEMAND AND SUPPLY 5(92)
2 Theoretical Concepts of Demand and Supply
7(14)
DEMAND
8(3)
Demand as a Composite
8(2)
Demand Shifters
10(1)
Irreversibility
10(1)
FORMULATION OF DEMAND EQUATIONS
11(4)
FARM SUPPLY
15(1)
PRICE SPREADS, DERIVED DEMAND, AND PRICE FORMATION
16(3)
Price Spreads
16(2)
Implications of Fixed Spreads
18(1)
SUMMARY
19(1)
QUESTIONS FOR STUDY
19(2)
3 Measuring Demand for Domestic Consumption
21(21)
SINGLE DEMAND EQUATIONS
21(9)
Price
23(1)
Population
23(1)
Adjusted Population Variable
24(1)
Income
25(1)
General Inflation
26(1)
Other Demand Factors
26(3)
Quarterly and Monthly Demand Equations
29(1)
DEMAND ELASTICITIES, FLEXIBILITIES, AND IMPACT MULTIPLIERS
30(4)
Demand Elasticity
31(1)
Demand Flexibility
31(1)
Impact Multipliers
31(1)
Point Elasticities and Flexibilities
31(2)
Relationship Between Elasticities and Flexibilities
33(1)
Role of These Measurements
34(1)
DEMAND SYSTEMS
34(5)
Conditions
35(1)
Empirical Example
35(1)
Pros and Cons
36(3)
CONDITIONAL REGRESSION
39(1)
SUMMARY
40(1)
QUESTIONS FOR STUDY
40(2)
4 Measuring Demands for Storage, Speculation, and Exports
42(11)
DEMAND FOR STORAGE AND SPECULATION
42(2)
Current and Expected Prices
43(1)
Storage Costs and Availability
44(1)
DEMAND FOR EXPORTS
44(7)
Prices and Exchange Rates
46(3)
Population and Purchasing Power
49(1)
Foreign Production and Carryover
49(1)
Trade Policies
50(1)
Transportation Costs
50(1)
Livestock Feed
51(1)
Concluding Comment
51(1)
SUMMARY
51(1)
QUESTIONS FOR STUDY
51(2)
5 Measuring Price Spreads and Derived Demand for Agricultural Products and Inputs
53(19)
PRICE SPREADS AND DERIVED DEMAND FOR AGRICULTURAL PRODUCTS
54(7)
Formulation at Equilibrium
54(1)
USDA Retail-Farm Price Spreads
55(3)
U.S. Marketing Costs and Profits
58(1)
Direct Forecasting of Retail Food Prices
59(2)
PRICE SPREADS RELATED TO QUALITY DIFFERENCES
61(6)
Government Grades
61(1)
Modeling Grades and Close Substitutes
62(1)
Wholesale Beef Market Example
63(2)
Processed Feed Market Example
65(2)
DEMAND FOR AGRICULTURAL INPUTS
67(3)
Income and Equity
68(1)
Prices, Costs, Government Programs, and Productivity
68(1)
Replacement Demand
69(1)
Enterprise Profit and Risk
69(1)
Technical Requirements and Structure
69(1)
Deflation
69(1)
SUMMARY
70(1)
QUESTIONS FOR STUDY
70(2)
6 Measuring Farm Supply
72(25)
EXPECTATIONS
73(12)
Geometric Distributed Lags
75(3)
Polynomial Distributed Lags
78(4)
Rational Expectations
82(3)
RISK AND ITS MEASUREMENT
85(2)
GROSS MARGINS AND RATIOS
87(8)
Formulation
88(2)
Costs of Production
90(1)
Gross Margin on Corn
91(3)
Pros and Cons
94(1)
INTEGRATED SUPPLY MODELS
95(1)
SUMMARY
96(1)
QUESTIONS FOR STUDY
96(1)
SECTION II GENERATION OF ECONOMETRIC/SIMULATION MODELS 97(72)
7 Recursive and Simultaneous Supply-Demand Models
99(22)
RECURSIVE MODELS
100(12)
Price Dependent Demand
100(3)
Quantity Dependent Demand
103(2)
Geometric Lags
105(2)
More Complex Lag Structures
107(4)
Observation of Large Models
111(1)
Why Cycles Persist in Agriculture
111(1)
SIMULTANEOUS MODELS
112(7)
Identification Problem
114(4)
Two-Stage Least Squares
118(1)
Relevance of Simultaneity
119(1)
SUMMARY
119(1)
QUESTIONS FOR STUDY
120(1)
8 Building Econometric/Simulation Models
121(21)
GAUSS-SEIDEL ALGORITHM
122(2)
GUIDELINES FOR MODEL BUILDING
124(4)
THE BALANCE SHEET
128(1)
EXAMPLES OF ECONOMETRIC/SIMULATION MODELS
129(1)
Livestock
129(2)
Dairy
131(2)
LARGE-SCALE ECONOMETRIC MODELS
133(7)
SWOPSIM
134(2)
AGMOD
136(2)
Dynamic Generation of Elasticities and Flexibilities
138(2)
SUMMARY
140(1)
QUESTIONS FOR STUDY
141(1)
9 Forecast Evaluation
142(12)
ASYMMETRIC ERRORS
143(1)
MEASURES OF TOTAL ERROR
144(1)
MEASURES OF BIAS ERROR
145(1)
THEIL'S INQUALITY COEFFICIENTS
145(1)
STANDARDS FOR COMPARISON
146(3)
Short-range (Period-to-Period) Forecasting Evaluation
147(1)
Long-range Forecasting Evaluation
147(2)
DOUBLE EXPONENTIAL SMOOTHING (DES)
149(1)
HANDLING EXOGENOUS VARIABLES
150(2)
EX-ANTE AND EX-POST
152(1)
HANDLING THE RANDOM ERROR
152(1)
SUMMARY
152(1)
QUESTIONS FOR STUDY
153(1)
10 Stochastic Modeling
154(15)
SCOPE OF THE PROBLEM
154(3)
HOW TO PROCEED
157(1)
CROP YIELD DISTRIBUTIONS AND NORMALITY TESTS
158(2)
AGGREGATION OF COUNTRIES OR REGIONS
160(1)
DISTRIBUTIONS AND CORRELATIONS
161(1)
AN EXAMPLE WITH MICROTSP
162(4)
SUMMARY
166(1)
QUESTIONS FOR STUDY
166(3)
SECTION III LONG-TERM PROJECTIONS AND APPLICATIONS 169(48)
11 Generating Long-Term Projections and Forecasts
171(18)
QUANTITATIVE APPROACH
172(10)
Demand
173(5)
Supply
178(3)
Prices
181(1)
COMBINING SUBJECTIVE WITH QUANTITATIVE METHODS
182(5)
Scenario Writing
183(1)
Delphi
184(2)
Nominal Group Technique
186(1)
Example of Long-range Outlook Projects
186(1)
SUMMARY
187(1)
QUESTIONS FOR STUDY
187(2)
12 Spatial Commodity Analysis and Trade
189(19)
REPRESENTATIVE PRICES
190(1)
PRICE SURFACES
190(1)
MARKET DIVISION
191(1)
SIMPLE TRADE MODEL
192(4)
INTERREGIONAL ANALYSIS
196(2)
INTERREGIONAL ANALYSIS EXPANDED
198(2)
SHIFT-SHARE ANALYSIS
200(2)
PLANT LOCATION
202(4)
SUMMARY
206(1)
QUESTIONS FOR STUDY
206(2)
13 Application of Models to Long-Range Planning and Policy Analysis
208(9)
FARMERS AND AGRIBUSINESSES
209(1)
POLICY ANALYSIS
210(2)
Policy Instruments
210(1)
Modeling Decision Makers and Modifying Policy Assumptions
211(1)
NEW CHALLENGES
212(3)
Dynamic vs. Static
212(2)
Stochastic Impacts
214(1)
Implications to Producers, Consumers, and Taxpayers
214(1)
Impacts on Types of Farms by Regions
214(1)
Implications to Total Food System and Economy
215(1)
Evaluation of Research and Education
215(1)
SUMMARY
215(1)
QUESTIONS FOR STUDY
216(1)
SECTION IV SHORT-TERM FORECASTING, FUTURES MARKETS, AND SOURCES OF MARKET INFORMATION 217(124)
14 Seasonals
219(14)
GENERATING A SEASONAL PRICE PATTERN
220(2)
EXAMPLE ON HOGS
222(3)
FITTING SEASONALS TO DECISION MAKING
225(6)
SUMMARY
231(1)
QUESTIONS FOR STUDY
232(1)
15 Commodity Futures and Options Markets
233(20)
WHAT ARE FUTURES MARKETS?
234(6)
Description
234(1)
How Futures Prices Are Quoted
235(1)
Who Participates
236(1)
What Commodities Are Traded, Where, and Why?
236(1)
Economic Functions
237(2)
Concepts About Futures Not Easily Understood
239(1)
OPTIONS ON FUTURES
240(3)
Factors Affecting Premiums
241(1)
How Options Prices Are Quoted
242(1)
PROFIT PATTERNS DIAGRAMMED
243(2)
PRICING OPTIONS
245(3)
Black Scholes Model
246(2)
Delta Formulas
248(1)
SUMMARY
248(1)
QUESTIONS FOR STUDY
249(1)
GLOSSARY
249(4)
16 Forward Pricing with Futures and Options
253(29)
SELLING A CASH PRODUCT
253(15)
Simple Storage Hedge
254(3)
Storing Soybeans and Buying Puts
257(2)
Forward Pricing Alternatives for a New Crop
259(9)
EMERGING RULES
268(3)
MORE EXOTIC FORWARD PRICING SCHEMES
271(1)
BUYING A CASH PRODUCT
271(2)
BASIS--A KEY TO EFFECTIVE FORWARD PRICING
273(5)
New Crop Basis
275(1)
Storage Basis
275(3)
HEDGE RATIOS
278(2)
SUMMARY
280(1)
QUESTIONS FOR STUDY
280(2)
17 Technical Analysis
282(23)
PRICE DISCOVERY AND MARKET EFFICIENCY
282(2)
VERTICAL BAR CHARTS
284(11)
Formations
284(3)
Trend Lines
287(3)
Continuation Formations
290(2)
Reversals
292(1)
Gaps
293(2)
MOVING AVERAGES AND STOCHASTICS
295(3)
Moving Averages
295(2)
Stochastics
297(1)
VOLUME, OPEN INTEREST, AND PRICE
298(1)
RELATIVE STRENGTH INDEX
299(1)
NET TRADER POSITIONS
300(1)
OTHER TECHNICAL TOOLS
300(2)
Point and Figure Charting
300(2)
Cycles
302(1)
Japanese Candlesticks
302(1)
EVALUATION
302(2)
SUMMARY
304(1)
QUESTIONS FOR STUDY
304(1)
18 Time Series Models
305(25)
STATIONARITY
306(5)
White Noise
307(1)
Dickey-Fuller Test
308(3)
Engle-Granger Co-integration Test
311(1)
APPLYING AR, MA, AND ARMA MODELS TO A DEMAND EQUATION ON HOGS
311(7)
Correcting for Serial Correlation in Residuals with AR(1)
313(1)
Autoregressive Models (AR)
314(2)
Moving Average Models (MA)
316(1)
Autoregressive Moving Average Models (ARMA)
316(1)
Application of ARMA to Residuals in OLS Equations
317(1)
INTEGRATED AUTOREGRESSIVE MOVING AVERAGE MODELS (ARIMA)
318(4)
UNIVARIATE FORECASTING WITH TIME SERIES MODELS
322(6)
SUMMARY
328(1)
QUESTIONS FOR STUDY
328(2)
19 Sources of Agricultural Data and Market Analysis
330(11)
MONITORS IN AGRICULTURE AND FOOD
332(5)
Crop and Livestock Estimates, General Farm Statistics
332(1)
Applying the Census and Other Non-annual Data
333(3)
Market News
336(1)
Macro, Other Data Related to Agriculture and Food
336(1)
International Statistics
337(1)
INTERPRETERS (ANALYSTS) IN AGRICULTURE AND FOOD
337(1)
ELECTRONIC TRANSMISSION
338(1)
SUMMARY
338(1)
QUESTIONS FOR STUDY
338(3)
APPENDIX A Glossary of Statistical Terms 341(4)
APPENDIX B A Note on Indices 345(2)
REFERENCES 347(8)
AUTHOR INDEX 355(2)
SUBJECT INDEX 357

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