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Title: Essays on agricultural commodity prices
Authors: Zhu, Yichen
Issue Date: 2021
Publisher: Newcastle University
Abstract: Interests in commodity price dynamics are not new phenomena. Booms and slumps in recent decades have renewed the interest in understanding the factors behind agricultural commodity price movements. This thesis includes a collection of empirical chapters concentrate on critical aspects concerning the movement behaviours of selected grains prices in the United States. In particular, this thesis contributes to studies in applied commodity price analysis. The agricultural commodity price is characterised as being highly volatile and the factors lying behind these fluctuations are characterised by a significant complexity. Chapter 2 discusses the agricultural commodity price developments and main factors associated with agricultural commodity price dynamics in the United States. This chapter leads the subsequent chapters with the motivations for the selected factors discussed in this thesis and the technical methods. Using data on energy markets and agricultural commodity export prices, chapter 3 identifies the long-term co-movements between diesel prices and corn export prices in the U.S., considering diesel powers the U.S. economy in exporting agricultural commodities and offering long-term productivity gains in the fundamental sectors. The analysis provides evidence of a positive connection between diesel prices and corn export prices in the long-term. Besides, by employing the quantile-based analysis, this study also finds the long-run relations between corn and diesel prices vary over different market conditions. The findings in chapter 3 imply that the response of corn export prices to changes in diesel prices is generally much steeper when corn export prices at normal levels than in extreme levels. Considering the threats of climate changes on agricultural commodity production, chapter 4 analyses the effects of extreme climate events on the movements of agricultural commodity price. Particularly, the chapter explores the extent by which changes in an important climate phenomenon, El Niño Southern Oscillation (ENSO), have contributed to the dynamics of grains prices in the United States. Previous works contribute to the belief that the dynamic relation of ENSO events on grain prices should be nonlinear in nature. To take the climate volatility information and nonlinear feature into account, this analysis fits an interval-based threshold model. This chapter finds that the warm condition increases the prices of soybeans II and corn, and the cooler condition has an impact on wheat and corn. These results can help form policies on storage and production decisions. Chapter 5 provides evidence for the agricultural commodity market efficiency of the United States on the causal effects of agricultural commodity futures prices on cash prices. Applying three time-varying methods, with placed on grains markets including wheat, soybean and corn, chapter 5 finds that the causal effects between futures and cash prices change over time and depend on agricultural commodity markets. This chapter has proved that the cash and futures prices linkages behave differently in wheat and soybean, corn markets, implying a time-varying bidirectional causality in the wheat markets but unidirectional causal effects in the soybean and corn markets. The joint theme and main contribution of this thesis lie on providing new evidence in relevant issues in applied agricultural commodity prices analysis by employing econometric methods in a novel way
Description: Ph. D. Thesis.
Appears in Collections:Newcastle University Business School

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