Empirical research on spatial and time series properties of agricultural commodity prices

Show simple item record

dc.contributor Svenska handelshögskolan, institutionen för finansiell ekonomi och ekonomisk statistik, finansiell ekonomi fi
dc.contributor Hanken School of Economics, Department of Finance and Statistics, Finance fi
dc.contributor.author Liu, Xing
dc.date.accessioned 2012-11-05T12:11:47Z
dc.date.available 2012-11-05T12:11:47Z
dc.date.issued 2012-11-05
dc.identifier.isbn 978-952-232-182-4
dc.identifier.issn L 0424-7256
dc.identifier.issn 2242-699X
dc.identifier.uri http://hdl.handle.net/10138/37399
dc.description.abstract The integration of European agriculture into the world economy has also accelerated price interaction between member states and the rest of the world during last decades. Consequently, the fluctuation in world market prices was more quickly transmitted to European member states, including Finland. Increasing price uncertainty and price volatility in agricultural products became more evident. The openness of regional agriculture such as EU and Finnish to the world is irreversible, and the international community needs timely and differentiated information on the situation in different places in order to respond appropriately. The theme of this dissertation concerns the properties of price linkage of agricultural commodities across space during the last decades. Such properties include hedging issues, price transmission and marketing margin in the agricultural commodity market. By understanding the issues, agricultural market participants, including farmers, processors, industries, consumers and policy makers can benefit from insights into these issues either in order to assess past actions and decisions or to derive guidelines for future action. In summary, this dissertation consists of 5 independent articles. Article 1 presents a case study on optimal hedging on Finnish wheat under both price and yield risks. The result shows that the forward contract might not be the best hedging tool for the farmers in Finland where the yield volatility per unit is bigger than price volatility. Article 2 presents an efficiency test of the CPO futures market in Malaysia for European participants using the cointegration technique. The results suggest that the futures market in Malaysia is not efficient for European participants, which indicates that they should be more cautious in using the hedging strategy in this futures market. Articles 3 focuses on the price transmission of the Finnish food market at vertical level, and Article 4 investigates horizontal price transmission of the Finnish meat market towards the European market in both symmetric and asymmetric ways. The result from Article 3 implies that the Finnish market is characterized by buyer power according to the measure of Lloyd et al. (2009). The result from Article 4 detects that the Finnish meat sector is integrated with EU benchmark countries symmetrically or asymmetrically. Moreover, the degree of integration and speed of adjustment of Finnish pork and beef towards the EU market are proved in different level. Article 5 presents an inventory model to investigate the relationship between price volatility and the inventory in the global wheat market. The results reveal that there is only a short-term significant relationship between price volatility and the inventory. fi
dc.language.iso en fi
dc.publisher Svenska handelshögskolan fi
dc.publisher Hanken School of Economics fi
dc.relation.ispartofseries Economics and Society – 249 fi
dc.subject spatial fi
dc.subject time series fi
dc.subject commodity prices fi
dc.subject price transmission fi
dc.subject hedging fi
dc.subject market power fi
dc.subject price volatility fi
dc.subject.other Finance fi
dc.title Empirical research on spatial and time series properties of agricultural commodity prices fi
dc.date.accepted 2012-11-19

Files in this item

Total number of downloads: Loading...

Files Size Format View
249_978-952-232-182-4.pdf 1.171Mb PDF View/Open

This item appears in the following Collection(s)

Show simple item record