Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach

Previous literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches. We assess this issue by using a semiparametric GARCH model recently proposed by Long et al. (2009), which is essentially a nonparametric correction of the parametric conditional covariance function. We focus on price links between crude oil, ethanol and sugar prices in Brazil. Results suggest strong volatility links between the prices studied. They also suggest that parametric approximations of the conditional covariance matrix may lead to misleading results and can be improved using nonparametric techniques.biofuels, feedstocks, price volatility interactions, semiparametric GARCH, Demand and Price Analysis, Resource /Energy Economics and Policy, Q11, Q42, C58,

Price volatility in ethanol markets

Our paper looks at how price volatility in the Brazilian ethanol industry changes over time and across markets by using a new methodological approach suggested by Seo (2007). The main advantage of Seo’s proposal over previously existing methods is that it allows to jointly estimate the cointegration relationship between the price series investigated and the multivariate GARCH process. Our results suggest that crude oil prices not only influence ethanol price levels, but also their volatility. Increased volatility in crude oil markets results in increased volatility in ethanol markets. Ethanol prices, on the other hand, influence sugar price levels and an increase in their volatility levels also impacts, though less strongly, on sugar markets.volatility, ethanol, GARCH, cointegration, Demand and Price Analysis, Resource /Energy Economics and Policy, Risk and Uncertainty, Q11, C32,

Farms' technical inefficiencies in the presence of government programs

We focus on determining the impacts of government programs on farms’ technical inefficiency levels. We use Kumbhakar’s stochastic frontier model that accounts for both production risks and risk preferences. Our theoretical framework shows that decoupled government transfers are likely to increase (decrease) DARA (IARA) farmers’ production inefficiencies if variable inputs are risk decreasing. However, the impacts of decoupled payments cannot be anticipated if variable inputs are risk increasing. We use farm-level data collected in Kansas to illustrate the model.Just and Pope production function, Agricultural and Food Policy, Farm Management,

The Determinants of Survival of Spanish Consumers Fronting the BSE Crisis

The impact of food scares on meat consumption has been traditionally investigated by estimating food demand systems using aggregated time series. Only a few have considered micro data but none of them has tried to quantify consumers’ reaction to food scares and the speed of such reactions. In this study we apply duration analysis techniques with the aim of analysing the effect of different explanatory variables on both the risk of reducing beef consumption and the timing of this reduction. Our results suggest that the maximum hazard occurs during the few months after the occurrence of the food crisis and then the reducing consumption hazard tend to diminish. Moreover, economic factors such as prices and income could be considered as the most determinant factors of the survival of the Spanish consumers facing the BSE crisis while other socioeconomic characteristics such as the age, the gender, etc., have a small, if any, effect on the occurrence and the speed of beef consumption reduction indicating a quite homogenous reaction among Spanish consumers to BSE crisis. These results provide interesting insights about how policy makers could orientate food policies in order to recover consumption after a food scare.Food scare, BSE, duration analysis, reaction timing, Spain, Food Consumption/Nutrition/Food Safety, Livestock Production/Industries, C41, D1,

Effects of policy instruments on farm investments and production decisions in the Spanish cop sector

Our paper asses the impacts of the partially decoupled (PD) scheme, implemented during the 1990s and first half of the 2000s in the framework of the Common Agricultural Policy (CAP), on on-farm investment as well as on other production decisions. The Spanish COP sector was taken as a case study due to its economic and political relevance. The empirical analysis is applied on farm-level data from the Farm Accountancy Data Network (FADN), observed from 2000 to 2004, based on. We use a reduced-form application of the dual model of investment under uncertainty and a system of censored and non censored equations is estimated. PD payments are found to increase short-run production and to generate a statically significant increase in the investment in farm assets. Results also show the importance of assessing the effects of PD payments in a dynamic framework as the one applied in this paper.farm investments, Common Agricultural Policy, decoupling, production., Agricultural and Food Policy, Food Consumption/Nutrition/Food Safety,

Non-parametric and Parametric Modeling of Biodiesel - Sunflower Oil - Crude Oil Price Relationships

Multivariate local linear regression and parametric error correction models are applied to assess price linkages and price transmission patterns between food and energy prices in Spain. Weekly biodiesel, sunflower and crude oil prices observed from November 2006 to October 2010 are used in the empirical analysis. Results suggest the existence of a long-run equilibrium relationship between the three prices studied. Biodiesel is the only variable that adjusts to deviations from this long-run parity. Local linear regression techniques show that the speed of adjustment of biodiesel prices is higher when biodiesel is cheap than when it is expensive. Energy prices are also found to influence sunflower oil prices through the short-run price dynamics.Price transmission, local linear regression, biodiesel, Spain, Demand and Price Analysis, Resource /Energy Economics and Policy,

Differential Uncertainties and Risk Attitudes between Conventional and Organic Producers: The Case of Spanish COP Farmers

The growing importance of economic factors in farmers decision to go organic has raised interest in characterizing the economic behavior of organic versus conventional farms. Published analyses so far have not considered differential uncertainties and farmers risk preferences between conventional and organic practices when comparing these techniques. Our article attempts to assess this issue. We use a model of farmer decision under risk to analyze the differential values between Spanish COP organic and conventional farms and to assess the incentives for adoption of organic practices. Results show that organic and conventional farms do have different abilities to control production risk as well as different risk preferences. Organic price premiums and subsidies are found to be powerful instruments to motivate adoption of organic techniques.Crop Production/Industries, Risk and Uncertainty,

Are The Spanish Citrus Farms Efficient?

Spain occupies the first position in the European and Mediterranean rankings of citrus production and trade. In our analysis we assess the technical efficiency with which this sector is operating. The main objective of this study is to analyze productivity and technical efficiency of Spanish citrus sector through citrus farms with high orange production. A stochastic frontier production model is estimated in which the technical inefficiency effects are defined by the time-varying inefficiency model. A primal approach is used to decompose Total Factor Productivity (TFP) growth into its various components. Results indicate improvement in efficiency scores of Spanish citrus farms along the period studied. Allocative efficiencies, technical efficiency change, and scale effects are found to be the main factors that increase TFP growth.Productivity Analysis,