Three essays on price analysis of selected agricultural Commodities

by Ge, Yuanlong, Ph.D., Purdue University, 2010, 90 pages; AAT 3449750

Abstract (Summary)
The overall goal of this dissertation is to investigate the price behavior for selected agricultural commodities, including grain, meats, tree fruits and cotton. The first essay examines the long-run relationship and the short-run behavior of the cotton prices in the United States and China's markets and the impact of some key factors on this market integration. Examining the futures prices from the Intercontinental Exchange (ICE) in the U.S. and the Zhengzhou Commodity Exchange (ZCE) in China with several time series models, we find that a long-run cointegration relationship exists between these two price series. The two markets share price transmissions, and their price volatilities exhibit a similar Autoregressive Conditional Heteroskedasticity (ARCH) effect. In addition, China's recent exchange rate reform and its gradual liberalization in bilateral cotton trade since it joined WTO have significant impacts on these futures markets. Based on these findings, several important economic and policy implications are derived. The second essay attempts to identify the economic interactions of prices among major crops and meats, including corn, soybean, wheat, beef and pork, from the global perspective. Using the monthly data series from April 1986 through December 2008, this study employs structural models to investigate the long run and short run price dynamics and the contribution of numerous key factors as well. The results show that in the short run, the price movement can be attributed to factors including the expected price for each commodity, the fertilizer price and time trend. However, in longer period of time, factors such as the increased production of biofuels from food grain and the increasing demand for meat among the developing countries are expected to play more significant roles in the recent global food crisis. Based on these results, some important economic and policy implications are derived at the end of this essay. The last essay empirically analyzes the marketing factors affecting organic apple and pear prices in the Northwest. This essay employs the hedonic pricing model to evaluate the effects of key quality characteristics as well as marketing factors on the organic fruit prices, using data from the state of Washington. The research finally offers useful information to market participants as to the production decisions and marketing strategies.

Three essays on price analysis of selected agricultural commodities

Yuanlong Ge

Abstract
The overall goal of this dissertation is to investigate the price behavior for selected agricultural commodities, including grain, meats, tree fruits and cotton. The first essay examines the long-run relationship and the short-run behavior of the cotton prices in the United States and Chinas markets and the impact of some key factors on this market integration. Examining the futures prices from the

Intercontinental Exchange (ICE) in the U.S. and the Zhengzhou Commodity Exchange (ZCE) in China with several time series models, we find that a long-run cointegration relationship exists between these two price series. The two markets share price transmissions, and their price volatilities exhibit a similar Autoregressive Conditional Heteroskedasticity (ARCH) effect. In addition, Chinas recent exchange rate reform and its gradual liberalization in bilateral cotton trade since it joined WTO have significant impacts on these futures markets. Based on these findings, several important economic and policy implications are derived. ^ The second essay attempts to identify the economic interactions of prices among major crops and meats, including corn, soybean, wheat, beef and pork, from the global perspective. Using the monthly data series from April 1986 through December 2008, this study employs structural models to investigate the long run and short run price dynamics and the contribution of numerous key factors as well. The results show that in the short run, the price movement can be attributed to factors including the expected price for each commodity, the fertilizer price and time trend. However, in longer period of time, factors such as the increased production of biofuels from food grain and the increasing demand for meat among the developing countries are expected to play more significant roles in the recent global food crisis. Based on these results, some important economic and policy implications are derived at the end of this essay. ^ The last essay empirically analyzes the marketing factors affecting organic apple and pear prices in the Northwest. This essay employs the hedonic pricing model to evaluate the effects of key quality characteristics as well as marketing factors on the organic fruit prices, using data from the state of Washington. The research finally offers useful information to market participants as to the production decisions and marketing strategies. ^

Subject Area

Economics, Agricultural