Progress 10/01/11 to 10/01/16
Outputs Target Audience:
Nothing Reported
Changes/Problems:
Nothing Reported
What opportunities for training and professional development has the project provided?
Nothing Reported
How have the results been disseminated to communities of interest?Publications. What do you plan to do during the next reporting period to accomplish the goals?
Nothing Reported
Impacts What was accomplished under these goals?
Research related to the price transmission of wholesale to retail Bangladesh rice prices was analyzed. Our results showed that wholesale and retail prices are cointegrated (move together over time), and wholesale market plays a leadership role in determining retail prices, which is in line with industrial organization theory. Our results confirm the fear and concerns of consumers about the existence of price asymmetry. In other words retail prices rise in line with increases in wholesale price but retail prices don't fall to the same extent when wholesale prices decrease. Research was conducted to determine the value of the U.S. rice futures market and supply and demand information published by the U.S. Department of Agriculture (USDA) to the U.S. rice marketing system. Results shows that the USDA provides the futures market with important information, which is vital to the price discovery process. In an era of declining federal budgets, it is important to provide economic justification for the continued publication of USDA reports. Our results undoubtedly show that USDA reports play a vital role in helping futures market to discover price and that this is particularly important for the U.S. rice market, where there is a paucity of private data and forecast to supplement government numbers. Also, the lack of interim private rice forecasts suggests that there is an information gap between USDA reports. The information gap is an opportunity that could be profitably exploited by private firms that could provide accurate and timely forecasts of monthly USDA numbers and final production numbers released in January. This, of course, begs the question as to why this private information does not currently exist. We speculate that this is a classic "chicken and egg" situation, where lack of private information may be attributed to low trading volume in rice futures and low trading volume is perhaps partly explained by a lack of private information. An important future research question to address is to identify all of the potential factors that might be contributing to low trading volume in U.S. rice futures contract.
Publications
- Type:
Journal Articles
Status:
Awaiting Publication
Year Published:
2017
Citation:
McKenzie A. M. and Darby, Jessica L. Information Content of USDA Rice Reports and Price Reactions of Rice Futures.Agribusiness an International Journal
- Type:
Journal Articles
Status:
Published
Year Published:
2016
Citation:
Mohammad Jahangir Alam, A.M. McKenzie, Ismat Ara Begum, Jeroen Buysse, Eric J. Wailes and Guido Van Huylenbroeck. Asymmetry Price Transmission in the Deregulated Rice Markets in Bangladesh: Asymmetric Error Correction Model. Agribusiness an International Journal
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Progress 10/01/14 to 09/30/15
Outputs Target Audience:
Nothing Reported
Changes/Problems:
Nothing Reported
What opportunities for training and professional development has the project provided?
Nothing Reported
How have the results been disseminated to communities of interest?
Nothing Reported
What do you plan to do during the next reporting period to accomplish the goals?
Nothing Reported
Impacts What was accomplished under these goals?
A better understanding of how rice market volatility impacts margins between wholesale and retail markets in Bangladesh. A better understanding of how rice futures prices react to USDA report information.
Publications
- Type:
Journal Articles
Status:
Published
Year Published:
2015
Citation:
Alam, M. J., J. Buysse, A.M. McKenzie. "Asymmetry Price Transmission in the De-regulated Rice Markets in Bangladesh: Asymmetric Error Correction Model" Agribusiness: an International Journal, in press
Song Liu, Tingfei Tang, A. M. McKenzie, and Yibin Liu. Low-Frequency Volatility in Chinas Gold Futures Market and Its Macroeconomic Determinants. Mathematical Problems in Engineering, May 2015.
Darby, Jessica L., and A. M. McKenzie. Information Content of USDA Rice Reports and Price Reactions of Rice Futures. Inquiry, 2015, Vol 2, p5-13.
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Progress 10/01/13 to 09/30/14
Outputs Target Audience: US farmers, grain elevators, and rice farmers Changes/Problems:
Nothing Reported
What opportunities for training and professional development has the project provided? Dr. McKenzie's expertise in futures and options markets was recognized by CFARE when he was invited to present a hands-on workshop covering the fundamentals of agricultural futures and options for congressional staff of all Members of the House Committee on Agriculture on Tuesday, January 28 2014. How have the results been disseminated to communities of interest?
Nothing Reported
What do you plan to do during the next reporting period to accomplish the goals? Results from theco-operative grant work will be presented at NCCC-134 "Applied Commodity Price Analysis, Forecasting and Market Risk Management" conference in St. Louis, April 2015. Furthermore, McKenzie and Thomsen submitted an AAEA invited paper session proposal for 2015 AAEA meetings in San Francisco July-Aug 2015, titled "What Drives Uncertainty and Volatility in Agricultural Markets?"
Impacts What was accomplished under these goals?
Dr. McKenzie has 3 peer reviewed journal articles under review stemming from his research collaboration with a visiting scholar from China, Song Liu (Southern China Agricultural University). Dr. McKenzie and Dr. M. Thomsen secured a co-operative grant from USDA Office of the Chief Economist to analyze commodity price volatility using intra-day CME futures data.
Publications
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Progress 01/01/13 to 09/30/13
Outputs Target Audience: US farmers, grain elevators, and rice farmers Changes/Problems:
Nothing Reported
What opportunities for training and professional development has the project provided?
Nothing Reported
How have the results been disseminated to communities of interest?
Nothing Reported
What do you plan to do during the next reporting period to accomplish the goals? Analyze high frequency options and futures pricing data around importand agricultural commodity market events such as USDA reports
Impacts What was accomplished under these goals?
Live cattle Options markets were found to contain information about price expectations related to BSE. A greater understanding of dynamic price relationships between corn, ethanol and cruder oil markets were uncovered.
Publications
- Type:
Journal Articles
Status:
Published
Year Published:
2013
Citation:
Thomsen, M.R., A.M. McKenzie, and G. Power. Was there a Peso Problem in Cattle Options? Evidence from the 2003 Bovine Spongiform Encephalopathy Announcement. Agricultural Finance Review 2013 Vol73 Issue 3, 526-538.
Natenalov, V., A. M. McKenzie, and G. Van Huylenbroeck. Crude Oil corn ethanol nexus : a contextual approach. Energy Policy Vol. 63.December 2013, Pages 504513.
- Type:
Book Chapters
Status:
Published
Year Published:
2013
Citation:
Timothy E. Zimmer, Valerien O. Pede, and Andrew M. McKenzie. Valuing Risk Exposure and the Expected Cost of Margin Calls: The Case for a Secondary Market in Redistributing Liquidity Liability (Margin Credit Swaps). Business Review: Advanced Applications.
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Progress 01/01/12 to 12/31/12
Outputs OUTPUTS: Three Masters Theses commodity risk management topics were initiated. Specifically, returns to storing hedged corn and soybeans were analyzed; risk return characteristics of farmer-elevator marketing contracts were assessed; and the potential for developing an Asian based rice futures contract was evaluated. Work was also conducted on measuring the transmission of shocks in world rice prices to Bangladeshi rice markets. PARTICIPANTS: Not relevant to this project. TARGET AUDIENCES: US farmers, grain elevators, and Asian governments and rice farmers PROJECT MODIFICATIONS: Not relevant to this project.
Impacts The contracting research impacts include a better understanding, from the point of view of farmers, of the potential price risks and profitability of entering into different marketing contracts. The storage research shows that storing corn and soybeans without hedging does not generate consistently higher returns than selling crops at harvest time. The Asian futures market research indicates that Asian economies cannot currently support a rice futures contract.
Publications
- Alam, M. J., J. Buysse, A.M. McKenzie, E. J. Wailes, and G. Van Huylenbroeck. "The Dynamic Relationship between World and Domestic Prices of Rice under the Regime of Agricultural Trade Liberalization in Bangladesh." Journal of the Asia Pacific Economy Feb 2012, Vol. 17 Issue 1, p113-126
- Mckenzie, A.M., "Prefeasibility Study of an ASEAN Rice Futures Market." Asian Development Bank Sustainable Development Working Paper Series, No. 19, March 2012.
- Mckenzie, A.M "Potential Risk Management Benefits of Rice Futures Markets for developing countries - lessons from the US." World Bank FARMD Forum for Agricultural Risk Management and Development 2012
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