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Articles 1 - 15 of 15

Full-Text Articles in Social and Behavioral Sciences

A Crop Yield Expectation Stochastic Process With Beta Distribution As Limit, David A. Hennessy Nov 2009

A Crop Yield Expectation Stochastic Process With Beta Distribution As Limit, David A. Hennessy

CARD Working Papers

The modeling of price risk in the theory and practice of commodity risk management has been developed far beyond that of crop yield risk. This is in large part due to the use of plausible stochastic price processes. We use the Pólya urn to identify and develop a model of the crop yield expectation stochastic process over a growing season. The process allows a role for agronomic events, such as growing degree days. The model is internally consistent in adhering to the martingale property. The limiting distribution is the beta, commonly used in yield modeling. By applying binomial tree analysis ...


Are U.S. Corn And Soybeans Becoming More Drought Tolerant?, Tian Yu, Bruce A. Babcock Oct 2009

Are U.S. Corn And Soybeans Becoming More Drought Tolerant?, Tian Yu, Bruce A. Babcock

CARD Working Papers

An objective drought index that measures the dry and hot conditions adversely affecting crop yields is used in a regression analysis to test whether corn and soybeans have become more drought tolerant. Results indicate that corn yield losses from a drought of a given severity, whether measured in quantity terms or as a percentage of mean yield, have decreased over time. The null hypothesis that the absolute level of soybean yield losses due to drought has not changed cannot be rejected. But soybean yield losses in percentage terms have decreased over time. Because drought is the primary cause of yield ...


The Impact Of Biofuels Policy On Agribusiness Stock Prices, Fatma Sine Tepe, Xiaodong Du, David A. Hennessy Sep 2009

The Impact Of Biofuels Policy On Agribusiness Stock Prices, Fatma Sine Tepe, Xiaodong Du, David A. Hennessy

CARD Working Papers

Corn markets are important for many industries, including the seed, fertilizer, meat production/processing and agricultural machinery sectors, all of which are highly concentrated. Oligopoly theory suggests that corn input and field equipment suppliers likely benefit from policies that support corn markets, such as U.S. biofuels policy, while meat companies are likely adversely affected. Employing a linear two-factor (S&P 500 and corn prices) equilibrium asset pricing model, this study investigates the impact of biofuels policy on U.S. agribusiness and food processing firm stock prices. Conditional heteroskedasticity in stock returns is accounted for using a GARCH(1,1 ...


Dynamics Of Biofuel Stock Prices: A Bayesian Approach, Xiaodong Du, Dermot J. Hayes, Cindy L. Yu Sep 2009

Dynamics Of Biofuel Stock Prices: A Bayesian Approach, Xiaodong Du, Dermot J. Hayes, Cindy L. Yu

CARD Working Papers

We use Bayesian Markov Chain Monte Carlo methods to investigate the linkage between the volatility of ethanol security prices and the uncertainty surrounding the profitability of ethanol production and the price variations of non-ethanol energy securities. The joint evolution of return and volatility is modeled as a stochastic process that incorporates jumps in both return and volatility. While a strong and significant correlation is found between the volatility of ethanol securities and profit uncertainty from June 2005 to July 2008, the dynamic pattern of ethanol stock volatility is strikingly similar to that of the S&P 500 energy sector index ...


Pass-Through In United States Beef Cattle Prices, Huan Zhao, Xiaodong Du, David A. Hennessy Jul 2009

Pass-Through In United States Beef Cattle Prices, Huan Zhao, Xiaodong Du, David A. Hennessy

CARD Working Papers

Feeder cattle are fattened to become fed live cattle six months later. The U.S. feeder cattle industry is intensively competitive, so that market efficiency suggests feeder cattle prices should fully reflect feed prices and information on future fed cattle prices. Employing a long time series (1979-2004) of feeder cattle futures, live cattle futures, and local corn prices, we test whether complete pass-through occurs. The results indicate that an increase of a dollar per hundred pounds in the live cattle price leads to an increase of approximately $1.48 per hundred pounds in the feeder cattle price in one month ...


Land Retirement Program Design In The Presence Of Crop Insurance Subsidies, David A. Hennessy Jul 2009

Land Retirement Program Design In The Presence Of Crop Insurance Subsidies, David A. Hennessy

CARD Working Papers

The U.S. federal government implements environmental, biofuels and crop insurance programs that influence land use. They are not well integrated in that cost savings from crop insurance subsidies are not acknowledged when screening land for retirement or when calculating the cost of land retirement programs. We identify and evaluate an optimal benefit index for enrollment in a land retirement program that includes a sub-index to rank land according to insurance subsidy savings. All else equal, land ranked higher in the Lorenz stochastic order should be retired first.


Sensitivity Of Carbon Emission Estimates From Indirect Land-Use Change, Jerome R. F. Dumortier, Dermot J. Hayes, Miguel Carriquiry, Fengxia Dong, Xiaodong Du, Amani E. Elobeid, Jacinto F. Fabiosa, Simla Tokgoz Jul 2009

Sensitivity Of Carbon Emission Estimates From Indirect Land-Use Change, Jerome R. F. Dumortier, Dermot J. Hayes, Miguel Carriquiry, Fengxia Dong, Xiaodong Du, Amani E. Elobeid, Jacinto F. Fabiosa, Simla Tokgoz

CARD Working Papers

We analyze the sensitivity of greenhouse gas (GHG) emissions from land-use change to modifications in assumptions concerning crop area, yield, and deforestation. For this purpose, we run a modified version of the Center for Agricultural and Rural Development (CARD) Agricultural Outlook Model, which was used previously to assess the impacts of energy price increases and biofuel policy changes on land conversion. To calculate the GHG implications of agricultural activity, we use GreenAgSiM, a model developed to evaluate emissions from land conversion and agricultural production. Both models are applied to scenarios that lead to higher US ethanol production. The results are ...


Towards An Integrated Global Agricultural Greenhouse Gas Model: Greenhouse Gases From Agriculture Simulation Model (Greenagsim), Jerome R. F. Dumortier, Dermot J. Hayes May 2009

Towards An Integrated Global Agricultural Greenhouse Gas Model: Greenhouse Gases From Agriculture Simulation Model (Greenagsim), Jerome R. F. Dumortier, Dermot J. Hayes

CARD Working Papers

The Greenhouse Gases from Agriculture Simulation Model (GreenAgSiM) presented in this paper aims to quantify emissions from agricultural activity on a global scale. The model takes emissions into account that are directly attributable to agricultural production, such as enteric fermentation (methane), manure management (methane and nitrous oxide), and agricultural soil management (nitrous oxide). Furthermore, carbon stock differences from land-use change (carbon dioxide) induced by agriculture are included in the model. The model will provide policy makers with information about the greenhouse gas implications of policy changes.


Speculation And Volatility Spillover In The Crude Oil And Agricultural Commodity Markets: A Bayesian Analysis, Xiaodong Du, Cindy L. Yu, Dermot J. Hayes May 2009

Speculation And Volatility Spillover In The Crude Oil And Agricultural Commodity Markets: A Bayesian Analysis, Xiaodong Du, Cindy L. Yu, Dermot J. Hayes

CARD Working Papers

This paper assesses the roles of various factors influencing the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn, and wheat futures prices from November 1998 to January 2009. Model parameters are estimated using Bayesian Markov chain Monte Carlo methods. The main results are as follows. Speculation, scalping, and petroleum inventories are found to be important in explaining oil price variation. Several properties of crude oil price dynamics are established, including mean-reversion, a negative correlation between price and volatility, volatility clustering, and infrequent ...


Land-Use Credits To Corn Ethanol: Accounting For Distillers Dried Grains With Solubles As A Feed Substitute In Swine Rations, Jacinto F. Fabiosa Apr 2009

Land-Use Credits To Corn Ethanol: Accounting For Distillers Dried Grains With Solubles As A Feed Substitute In Swine Rations, Jacinto F. Fabiosa

CARD Working Papers

Many studies on the impact of biofuels on greenhouse gas emissions do not consider indirect land-use change and land use avoided because of co-products utilization. This paper provides estimates of the land-use credit for corn ethanol when its by-product—distillers dried grains with solubles (DDGS)—is used in swine feed rations to substitute for corn and soymeal. The range of estimates used here covers the land-use credit used in the literature. Moreover, this study departs from earlier studies because feed rations from a least-cost optimization are used rather than rations from feeding trials, and DDGS nutrient profile variability is fully ...


Biofuels: Potential Production Capacity, Effects On Grain And Livestock Sectors, And Implications For Food Prices And Consumers, Dermot J. Hayes, Bruce A. Babcock, Jacinto F. Fabiosa, Simla Tokgoz, Amani E. Elobeid, Tun-Hsiang (Edward) Yu, Fengxia Dong, Chad E. Hart, Eddie Chavez, Suwen Pan, Miguel Carriquiry, Jerome R. F. Dumortier Mar 2009

Biofuels: Potential Production Capacity, Effects On Grain And Livestock Sectors, And Implications For Food Prices And Consumers, Dermot J. Hayes, Bruce A. Babcock, Jacinto F. Fabiosa, Simla Tokgoz, Amani E. Elobeid, Tun-Hsiang (Edward) Yu, Fengxia Dong, Chad E. Hart, Eddie Chavez, Suwen Pan, Miguel Carriquiry, Jerome R. F. Dumortier

CARD Working Papers

We examine four scenarios for the evolution of the biofuel sector using a partial equilibrium model of the world agricultural sector. The model includes the new Renewable Fuels Standard in the 2007 energy act, the two-way relationship between fossil energy and biofuel markets, and a new trend toward corn oil extraction in ethanol plants. At one extreme, one scenario eliminates all support to the biofuel sector when the energy price is low, while the other extreme assumes no distribution bottleneck in ethanol demand growth when the energy price is high. Of the remaining two scenarios, one considers a pure market ...


Land Allocation Effects Of The Global Ethanol Surge: Predictions From The International Fapri Model, Jacinto F. Fabiosa, John C. Beghin, Fengxia Dong, Amani E. Elobeid, Simla Tokgoz, Tun-Hsiang (Edward) Yu Mar 2009

Land Allocation Effects Of The Global Ethanol Surge: Predictions From The International Fapri Model, Jacinto F. Fabiosa, John C. Beghin, Fengxia Dong, Amani E. Elobeid, Simla Tokgoz, Tun-Hsiang (Edward) Yu

CARD Working Papers

We quantify the emergence of biofuel markets and its impact on U.S. and world agriculture for the coming decade using the multi-market, multi-commodity international FAPRI (Food and Agricultural Policy Research Institute) model. The model incorporates the trade-offs between biofuel, feed, and food production and consumption and international feedback effects of the emergence through world commodity prices and trade. We examine land allocation by type of crop, and pasture use for countries growing feedstock for ethanol (corn, sorghum, wheat, sugarcane, and other grains) and major crops competing with feedstock for land resources such as oilseeds. We shock the model with ...


Cognitive Dissonance As A Means Of Reducing Hypothetical Bias, Frode Alfnes, Chengyan Yue, Helen H. Jensen Feb 2009

Cognitive Dissonance As A Means Of Reducing Hypothetical Bias, Frode Alfnes, Chengyan Yue, Helen H. Jensen

CARD Working Papers

Hypothetical bias is a persistent problem in stated preference studies. We propose and test a method for reducing hypothetical bias based on the cognitive dissonance literature in social psychology. A central element of this literature is that people prefer not to take inconsistent stands and will change their attitudes and behavior to make them consistent. We find that participants in a stated preference willingness-to-pay study, when told that a nonhypothetical study of similar goods would follow, state significantly lower willingness to pay than participants not so informed. In other words, participants adjust their stated willingness to pay to avoid cognitive ...


The Impact Of Energy Markets On The Eu Agricultural Sector, Simla Tokgoz Jan 2009

The Impact Of Energy Markets On The Eu Agricultural Sector, Simla Tokgoz

CARD Working Papers

The objective of this study is to analyze the impact of crude oil prices on the EU agricultural sector in an era when the biofuels sector is expanding because of policy initiatives and the desire to find alternative fuel sources. To this end, first a baseline is set up for the EU ethanol, grain, and dried distillers grains markets. In the next step, two different scenarios are run. The first scenario incorporates a 10-Euros-per-barrel increase in the EU crude oil price with the ethanol import tariffs in place. The second scenario incorporates the same shock with the ethanol import tariffs ...


Determinants Of World Demand For U.S. Corn Seeds: The Role Of Trade Costs, Sampath Jayasinghe, John C. Beghin, Giancarlo Moschini Jan 2009

Determinants Of World Demand For U.S. Corn Seeds: The Role Of Trade Costs, Sampath Jayasinghe, John C. Beghin, Giancarlo Moschini

CARD Working Papers

The United States is a large net exporter of corn seeds. Seed trade, including that of corn, has been expanding, but its determinants are not well understood. This paper econometrically investigates the determinants of world demand for U.S. corn seeds with a detailed analysis of trade costs impeding export flows to various markets, including costs associated with distance, tariffs, and sanitary and phytosanitary (SPS) regulations. The analysis relies on a gravity-like model based on an explicit specification of derived demand for seed by foreign corn producers, estimated based on data from 48 countries and for the years 1989 to ...