Network Analysis of Price Comovements Among Corn Futures and Cash Prices

Q3 Business, Management and Accounting

Journal of Agricultural and Food Industrial Organization Pub Date : 2022-08-23 DOI:10.1515/jafio-2022-0009

Xiaojie Xu, Yun Zhang

{"title":"Network Analysis of Price Comovements Among Corn Futures and Cash Prices","authors":"Xiaojie Xu, Yun Zhang","doi":"10.1515/jafio-2022-0009","DOIUrl":null,"url":null,"abstract":"Abstract Due to significant implications for resource and food sectors that directly influence social well-being, commodity price comovements represent an important issue in agricultural economics. In this study, we approach this issue by concentrating on daily prices of the corn futures market and 496 cash markets from 16 states in the United States for the period of July 2006 – February 2011 through correlation based hierarchical analysis and synchronization analysis, which allow for determining interactions and interdependence among these prices, heterogeneities in price synchronization, and their changing patterns over time. As the first study of the issue focusing on prices of the futures and hundreds of spatially dispersed cash markets for a commodity of indubitable economic significance, empirical findings show that the degree of comovements is generally higher after March 2008 but no persistent increase is observed. Different groups of cash markets are identified, each of which has its members exhibit relatively stable price synchronization over time that is generally at a higher level than the synchronization among the futures and all of the 496 cash markets. The futures is not found to show stable price synchronization with any cash market. Certain cash markets have potential of serving as cash price leaders. Results here benefit resource and food policy analysis and design for economic welfare. The empirical framework has potential of being adapted to network analysis of prices of different commodities.","PeriodicalId":52541,"journal":{"name":"Journal of Agricultural and Food Industrial Organization","volume":"0 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2022-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"17","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Agricultural and Food Industrial Organization","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/jafio-2022-0009","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Business, Management and Accounting","Score":null,"Total":0}

引用次数: 17

Abstract

Abstract Due to significant implications for resource and food sectors that directly influence social well-being, commodity price comovements represent an important issue in agricultural economics. In this study, we approach this issue by concentrating on daily prices of the corn futures market and 496 cash markets from 16 states in the United States for the period of July 2006 – February 2011 through correlation based hierarchical analysis and synchronization analysis, which allow for determining interactions and interdependence among these prices, heterogeneities in price synchronization, and their changing patterns over time. As the first study of the issue focusing on prices of the futures and hundreds of spatially dispersed cash markets for a commodity of indubitable economic significance, empirical findings show that the degree of comovements is generally higher after March 2008 but no persistent increase is observed. Different groups of cash markets are identified, each of which has its members exhibit relatively stable price synchronization over time that is generally at a higher level than the synchronization among the futures and all of the 496 cash markets. The futures is not found to show stable price synchronization with any cash market. Certain cash markets have potential of serving as cash price leaders. Results here benefit resource and food policy analysis and design for economic welfare. The empirical framework has potential of being adapted to network analysis of prices of different commodities.

查看原文本刊更多论文

玉米期货与现货价格变动的网络分析

由于对直接影响社会福祉的资源和粮食部门的重大影响，商品价格变动代表了农业经济学中的一个重要问题。在这项研究中，我们通过基于相关性的分层分析和同步分析，集中研究了2006年7月至2011年2月期间美国16个州的玉米期货市场和496个现货市场的每日价格，从而确定了这些价格之间的相互作用和相互依存关系，价格同步的异质性，以及它们随时间的变化模式。作为第一个关注期货价格和数百个空间分散的现货市场价格的问题的研究，实证结果表明，2008年3月之后，波动程度普遍较高，但没有持续上升。确定了不同的现货市场组，每个组的成员在一段时间内表现出相对稳定的价格同步性，通常高于期货和所有496个现货市场之间的同步性。未发现期货与现货市场价格同步稳定。某些现货市场具有成为现货价格领导者的潜力。结果有利于资源和粮食政策的经济福利分析和设计。经验框架具有适应不同商品价格的网络分析的潜力。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Agricultural and Food Industrial Organization Business, Management and Accounting-Business, Management and Accounting (all)

CiteScore

3.10

自引率

0.00%

发文量

期刊介绍： The Journal of Agricultural & Food Industrial Organization (JAFIO) is a unique forum for empirical and theoretical research in industrial organization with a special focus on agricultural and food industries worldwide. As concentration, industrialization, and globalization continue to reshape horizontal and vertical relationships within the food supply chain, agricultural economists are revising both their views of traditional markets as well as their tools of analysis. At the core of this revision are strategic interactions between principals and agents, strategic interdependence between rival firms, and strategic trade policy between competing nations, all in a setting plagued by incomplete and/or imperfect information structures. Add to that biotechnology, electronic commerce, as well as the shift in focus from raw agricultural commodities to branded products, and the conclusion is that a "new" agricultural economics is needed for an increasingly complex "new" agriculture.