A time series analysis of the efficiency of selected U.S. farm commodity markets /
| Main Author: | |
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| Other Authors: | , |
| Format: | Thesis Book |
| Language: | English |
| Published: |
1982.
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| Subjects: | |
| Online Access: | ProQuest, Abstract Link to OAKTrust Copy Link to ProQuest Copy |
| Abstract: | The market for farm commodities in the United States underwent rapid and far-reaching changes during the seventies. Shortfalls in U.S. and world grain production and an increase in the cost of oil in the early seventies, among other factors, caused the average price per bushel of corn, sorghum, and soybeans received by U.S. farmers to more than double between 1971 and 1974. When world prices were below U.S. government price support levels, the Commodity Credit Corporation's activities reduced the impact of market changes on farmers. However, when world prices rose sharply after 1971, the influence of the government in the markets for corn, sorghum, and soybeans (the major inputs into the production of feed for animals) diminished. Consequently, farmers were more exposed to the effects of price fluctuations caused by changing demand and supply conditions. Under these circumstances, an analysis of the new economic relationships among the cash markets for corn, sorghum, and soybeans would assist producers, traders, and policy-makers in their efforts to make better control decisions and reduce the vulnerability of grain and soybean markets to changes in world supply and demand conditions. Time series models were used to investigate the dynamic relationship between the weekly cash prices of corn, sorghum, and soybeans in Houston, Kansas City, and the Plainview-Canyon-Farwell Triangle Area of Texas. This study analyzed the relationships among different commodities in each market location, the relationships among different market locations, and alternative methods of evaluating the pricing efficiency of cash markets for farm commodities. It was found that (1) in general, multivariate models performed better than univariate models, (2) all markets are inefficient, but the degree of inefficiency may not be enough to make profitable arbitrage possible, (3) most markets adjust to changes in supply/demand conditions within a week, although residual adjustments may take several weeks. These conclusions were supported by the poor forecasting performance of the models and by the speed of adjustment measured by the intermediate run multipliers from bivariate dynamic analysis. Corn behaved as a substitute for sorghum and a complement for soybeans. |
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| Item Description: | Typescript (photocopy). Vita. "Major subject: Agricultural Economics." |
| Physical Description: | xii, 211 leaves ; 29 cm |
| Bibliography: | Includes bibliographical references (leaves 180-184). |