THE EFFECT OF AGRICULTURAL FUTURES PRICE CHANGES ON THE AGRICULTURAL PRODUCTION IN AP VOJVODINA
DOI:
https://doi.org/10.5937/ekoPolj1903755ZKeywords:
Agricultural futures, Bayesian quantile regression estimationAbstract
This paper investigates whether global agricultural futures of corn, wheat, oats, soybean and canola have any influence on the annual agricultural production of these plants in AP Vojvodina. For the estimation purposes, the study applies robust Bayesian quantile regression. Besides, two scenarios are considered – 1) current futures prices, and 2) futures prices from the previous year. Estimated results suggest that current futures prices do not affect current agricultural production of corn, wheat, oats and soybean in AP Vojvodina, because the estimated quantile parameters have negative sign or they are very small. However, when futures prices from the previous year are analysed, the majority of estimated QR parameters bear positive sign, which means that Serbian farmers take into account in greater or lesser extent the global agricultural prices when they plan their annual agricultural plantation. According to the findings, canola futures have the greatest effect on the rising Serbian canola production.
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References
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24. Živkov, D., Njegić J., Pećanac, M. (2014). Bidirectional linkage between inflation and inflation uncertainty – the case of Eastern European countries. Baltic Journal of Economics, 14(1-2), 124-139., DOI: 10.1080/1406099x.2014.993831
2. Beckmann, J., Czudaj, R. (2014) Volatility transmission in agricultural futures markets. Economic Modelling, 36, 541–546., DOI: 10.1016/j.econmod.2013.09.036
3. Benoit, D.F., van den Poel, D. (2012). Binary quantile regression: a Bayesian approach based on the asymmetric Laplace distribution. Journal of Applied Econometrics, 27(7), 1174-1188., DOI: 10.1002/jae.1216
4. Benoit, D.F., van den Poel, D. (2017). bayesQR: A Bayesian Approach to Quantile Regression. Journal of Statistical Software, 76(7), 1-32., DOI: 10.18637/jss.v076.i07
5. Birovljev, J., Ercegovac, D., Radaković, M. (2012) Perspektive uvođenja robnih fjučersa na finansijsko tržište Srbije. Anali Ekonomskog fakulteta u Subotici, 27, 13-29. [in English: Birovljev, J., Ercegovac, D., Radaković, M. (2012) The perspectives of commodity futures introduction in Serbian financial markets. Anals of economic faculty in Subotica, 27, 13-29.]
6. Bohl, M.T., Siklos, P.L., Wellenreuther, C. (2018) Speculative activity and returns volatility of Chinese agricultural commodity futures. Journal of Asian Economics, 54, 69–91., DOI: 10.1016/j.asieco.2017.12.003
7. Bohl, M.T., Siklos, P.L., Stefan, M., Wellenreuther, C. (2019) Price discovery in agricultural commodity markets: Do speculators contribute? Journal of Commodity Markets, 100092., DOI: 10.1016/j.jcomm.2019.05.001
8. Dimpfl, T. Flad, M., Jung, R.C. (2017) Price discovery in agricultural commodity markets in the presence of futures speculation. Journal of Commodity Markets, 5, 50–62., DOI: 10.1016/j.jcomm.2017.01.002
9. Đurić, D., Ristić, J., Đurić, D., Vujanić, I. (2017) Export of agricultural and food products in the function of economic growth of republic of Serbia. Economics of Agriculture, 64(3), 887-900., DOI: 10.5937/ekopolj1703887d
10. Ignjatijević, S., Čavlin, M., Jahić, M. (2018) The impact of relevant factors on wheat supply and demand in the republic of Serbia. Economics of Agriculture, 65(1), 143-156., DOI: 10.5937/ekoPolj1801143I
11. Jia, R-L., Wang, D-H., Tu, J-Q., Sai-Ping Li, S-P. (2016) Correlation between agricultural markets in dynamic perspective—Evidence from China and the US futures. Physica A: Statistical Mechanics and Its Applications markets, 464, 83-92., DOI: 10.1016/j.physa.2016.07.048
12. Gilbert, C.L. (2010) How to understand high food prices. Journal of Agricultural Economics, 61(2), 398–425., DOI: 10.1111/j.1477-9552.2010.00248.x
13. Gulan, B. (2014) Stanje i perspektive poljoprivrede i sela u Srbiji, Privredna komora Srbije, Beograd. [in English: Gulan, B. (2014) Condition and perspectives of agriculture and village in Serbia. Economic chamber of Serbia, Belgrade.]
14. Haile, M. G., Wossen, T., Tesfaye, K., von Braun, J. (2017). Impact of climate change, weather extremes, and price risk on global food supply. Economics of Disasters and Climate Change, 1(1), 55-75., DOI: 10.1007/s41885-017-0005-2
15. Koenker, R., Bassett, G. (1978). Regression quantiles. Econometrica, 46(1), 33–50., DOI: 10.2307/1913643
16. Kuzman, B., Ercegovac, D., Momčilović, M. (2018) Development of derivative trading on financial market and agribusiness sector in Serbia. Economics of Agriculture, 65(2), 601-616., DOI: 10.5937/ekopolj1802601k
17. Li, Z., Lu, X. (2012) Cross-correlations between agricultural commodity futures markets in the US and China. Physica A: Statistical Mechanics and Its Applications, 391(15), 3930–3941., DOI: 10.1016/j.physa.2012.02.029
18. Ma, F., Zhang, Y., Wahab, M. I. M., Lai, X. (in press) The role of jumps in the agricultural futures market on forecasting stock market volatility: New evidence. Journal of forecasting, DOI: 10.1002/for.2569
19. Maestri, V. (2013). Imputed rent and distributional effect of housing-related policies in Estonia, Italy and the United Kingdom. Baltic Journal of Economics, 13(2), 37-60., DOI: 10.1080/1406099x.2013.10840532
20. Mahbub, N., Gemechu, E., Zhang, H., Kumar, A. (2019) The life cycle greenhouse gas emission benefits from alternative uses of biofuel coproducts. Sustainable Energy Technologies and Assessments 34, 173–186., DOI: 10.1016/j.seta.2019.05.001
21. Marković, J., Prodanović, R., Mutibarić, J. (2013) Proizvodnja i promet pšenice u Srbiji. Ekonomika, 59(2), 92-100. [in English: Marković, J., Prodanović, R., Mutibarić, J. (2013). Production and trade of wheat in Serbia. Economica, 59(2), 92-100.]
22. Pejanović, R., Gajdobranski, A. (2012) Determinante proizvodnje uljarica u Evropskoj uniji i Vojvodini. Agroekonomika, 55, 64-85. [in English: Pejanović, R., Gajdobranski, A. (2012) Determinants of oilseed production in European union and Vojvodina. Agroeconomics, 55, 64-85.]
23. Sriram, K., Ramamoorthi, R.V., Ghosh, P. (2013). Posterior consistency of Bayesian quantile regression based on the misspecified asymmetric Laplace density. Bayesian Analysis, 8(2), 489-504., DOI: 10.1214/13-ba817
24. Živkov, D., Njegić J., Pećanac, M. (2014). Bidirectional linkage between inflation and inflation uncertainty – the case of Eastern European countries. Baltic Journal of Economics, 14(1-2), 124-139., DOI: 10.1080/1406099x.2014.993831
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Published
2019-09-29
How to Cite
Živkov, D., Papić-Blagojević, N., & Lončar, S. (2019). THE EFFECT OF AGRICULTURAL FUTURES PRICE CHANGES ON THE AGRICULTURAL PRODUCTION IN AP VOJVODINA. Ekonomika Poljoprivrede, 66(3), 755–770. https://doi.org/10.5937/ekoPolj1903755Z
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