This study analyzed the asymmetric price transmission in the international soybean market, using data from the US (Chicago Futures), European (Rotterdam), Brazilian (Paranaguá), Argentinian (Rosario Futures and R...This study analyzed the asymmetric price transmission in the international soybean market, using data from the US (Chicago Futures), European (Rotterdam), Brazilian (Paranaguá), Argentinian (Rosario Futures and Rosario Spot), and Chinese (Spot and Futures) markets. The study looked at the price transmission between these markets over a period of almost 10 years, from September 2009 to May 2019. The Phillips-Perron unit root test was used to determine the order of integration of the time series. The Engle-Granger cointegration test failed to find any evidence of cointegration between the Chinese and Argentinian markets with any others of the international markets. The lack of cointegration was associated with highly government intervened markets. The cointegration and threshold test proposed by Enders and Siklos, succeeded in rejecting the Null hypothesis and finding cointegration among the series after structural breaks had been taken into account. The BDS test for nonlinearity showed that most of the time series were nonlinear, which prompted the investigation to look into nonlinear modelling. To evaluate asymmetric price transmission, the study used the Threshold autoregressive (TAR) model and the momentum threshold model (MTAR). The Argentine and Chinese markets were primarily suspected of exhibiting asymmetric price transmission due to structural government intervention. However, the test results failed to reject the null hypothesis and revealed asymmetric price transmission between these markets and the international market. As expected, the results found no evidence of asymmetric price transmission in the Paranaguá, Rotterdam, and Chicago markets. Hence, it can be concluded that symmetric price transmission is more prevalent in the global soybean market than asymmetric price transmission.展开更多
The paper studies the relationship, adjustment ability, path, efficiency and intensity of price transmission in the swine industry chain in China, which consists of the prices of corn, compound feed for fattening pig,...The paper studies the relationship, adjustment ability, path, efficiency and intensity of price transmission in the swine industry chain in China, which consists of the prices of corn, compound feed for fattening pig, piglet, pig and pork. Monthly prices covering a period of 18 yr （1994-2011） are analyzed using a Market-Chain Cooperated Model （MCM）. The empirical results show that there exists a stable long-term cointegration and short-term dynamic relationship in the price system. First, the adjustment speed of each price series is very slow and the transmission path is top-down and one-way significantly. Second, the price from upstream to downstream lags about 2 mort, while there is no lag in price transmission from midstream to downstream. Third, in terms of price transmission intensity, the price of pig impacted greatly on pork price, not only in the current period but also through the whole period. Besides, the price of corn has the largest lagged effects on pork price. According to the above empirical results, we suggest that government should strengthen monitoring and early warning of the swine industry chain, especially the upstream and midstream, attach great importance to the timely adjustment of feed prices and perfect the measures of price subsidy.展开更多
This paper examines the vertical price relationship between upstream and downstream products in China＇s layer industry chain by estimating elasticity coefficients of the price transmission. We use cointegration tests...This paper examines the vertical price relationship between upstream and downstream products in China＇s layer industry chain by estimating elasticity coefficients of the price transmission. We use cointegration tests, error correction models and finite distributed lag models to analyze vertical price shifts between corn, layer feed, egg-laying chicken and egg prices. With monthly data from 1994 to 2010, our results show that various prices in China＇s layer industry chain are well integrated. In addition, our results indicate that both long-run and short-run price relationships between upstream and downstream products in layer industry chain exist and the long-run equilibrium, to a certain extent, may eliminate the short-run dynamics price deviation. We also found that the influence of corn and feed prices on egg prices is still more remarkable than egg-laying chicken prices. Our findings imply that governments should pay more attention to corn and layer feed prices in order to stabilize egg prices under the conditions of market integration.展开更多
The vertical price transmission is generally considered as the relationship between two markets of the same production chain However, we can expand this concept to another relation which has not been deeply investiga...The vertical price transmission is generally considered as the relationship between two markets of the same production chain However, we can expand this concept to another relation which has not been deeply investigated： the joint products. They are the products which are produced in a single production process, but not correspond to the same chain. An especial case is the beef and milk markets in Costa Rica. Even if these products usually correspond to disconnect chains, in Costa Rica farms make use of cattle to produce both meat and milk. The cointegration framework is applied in order to indentify the price transmission among these markets. In addition, the asymmetric behavior and structural breaks are taken into account. Price transmission between each market pair was found. First, the cattle prices adjust in the milk-cattle relationship, second, beef meat prices adjust in the cattle-beef meat and in the milk - beef meat relationship. Finally, the equations allowing for structural breaks affect the estimates in the following three ways： after the break the elasticities became higher than 1, there is more evidence of cointegration, and the adjustment coefficients are significant only when a change in the long run is allowed.展开更多
The Brazilian citrus chain is comprised by an upstream farm sector, made up of numerous heterogeneous （by size and technology） farm units serviced by input suppliers, and a downstream segment consisting of a small n...The Brazilian citrus chain is comprised by an upstream farm sector, made up of numerous heterogeneous （by size and technology） farm units serviced by input suppliers, and a downstream segment consisting of a small number of processing industries. Our study examines the behavior of citrus pricing along this supply chain, focusing on the relationship between orange juice prices established in international markets and orange fruit prices paid to Brazilian farmers. Results indicate that the price of orange fruit is fundamentally linked to the price of its juice, regardless of data source considered for testing. Evidence was found indicating that there is asymmetry of price transmission within the Brazilian orange sector, with juice price increases being transmitted to the farmer in smaller proportions than juice price decreases. The results of our study did not give a particularly strong indication of the cause of this price asymmetry.展开更多
The reform on electricity pricing mechanism is a critical problem in power market construction in China, and is in mutual supplementation and promotion with the latter. In particular, the pricing mechanism for electri...The reform on electricity pricing mechanism is a critical problem in power market construction in China, and is in mutual supplementation and promotion with the latter. In particular, the pricing mechanism for electricity fed into network and that for electricity transmission and distribution as well as the relationship between coal and electricity prices, etc. have to be studied in depth. This paper presents several solutions and suggestions to these problems.展开更多
The State Council issued the Scheme for Reforming Electricity Pricing System m the second half of year 2003. It touches upon separating price of plant from that of network, sales price to network, transmission and dis...The State Council issued the Scheme for Reforming Electricity Pricing System m the second half of year 2003. It touches upon separating price of plant from that of network, sales price to network, transmission and distribution price, sales price and system principles in regard to electricity tariff mainly.展开更多
The National Development and Reform Commission beefed up its efforts to promote the work of electricity price reform in 2004. It took measures in aspects of easing price contradictions, tentatively implementing discri...The National Development and Reform Commission beefed up its efforts to promote the work of electricity price reform in 2004. It took measures in aspects of easing price contradictions, tentatively implementing discriminated price and time-of-use price and issuing a policy on the linkage of coal and electricity prices and price administration. In 2005 the basic thinking of the Commission's electricity price reform is to actively advance the pilot work of price reform,carry out the reform of transmission and distribution price, enlarge the scope of pilot work of large consumer's direct purchase, simplify sales price structure and bring about the linkage of coal and electricity prices.展开更多
Analyses the flow tracing based on power flow, points out that the detachment of reactive power and active power is unrealiable and concludes that the current is the real basic of flow tracing,and proposes the new flo...Analyses the flow tracing based on power flow, points out that the detachment of reactive power and active power is unrealiable and concludes that the current is the real basic of flow tracing,and proposes the new flow tracing model based on current, which devides the current into active current and reactive current, analyses the theory about the matrix to deal with the precision and realization of the flow tracing, and then proposes a new pricing model by fixed rate and marginal rate, which keeps not only economy information such as congestion cost in marginal cost based pricing, but also benefits to make both ends meet.展开更多
Transmission pricing has become a major issue in the discussions about the deregulated electricity markets. Consequently, open access to the transmission system is one of the basic topics to allow competition among pa...Transmission pricing has become a major issue in the discussions about the deregulated electricity markets. Consequently, open access to the transmission system is one of the basic topics to allow competition among participants in the energy market. Transmission costs have an important impact on relative competition among participants in the energy market as well as on short- and long-term economic efficiencies of the whole electricity industry, although they represent only close to 10% of the energy market price. This paper deals with the design and tests of a transmission pricing method based on the optimal circuit prices derived from the economically adapted network （EAN）. Prices derived from the EAN have the advantage of being in tune with the maximum revenue allowed to the owner of transmission assets and simplifying the optimal allocation of transmission costs among participants. Beginning from the conceptual design, the proposed method is tested on a three-bus network and on the IEEE 24-bus reliability test system.展开更多
文摘This study analyzed the asymmetric price transmission in the international soybean market, using data from the US (Chicago Futures), European (Rotterdam), Brazilian (Paranaguá), Argentinian (Rosario Futures and Rosario Spot), and Chinese (Spot and Futures) markets. The study looked at the price transmission between these markets over a period of almost 10 years, from September 2009 to May 2019. The Phillips-Perron unit root test was used to determine the order of integration of the time series. The Engle-Granger cointegration test failed to find any evidence of cointegration between the Chinese and Argentinian markets with any others of the international markets. The lack of cointegration was associated with highly government intervened markets. The cointegration and threshold test proposed by Enders and Siklos, succeeded in rejecting the Null hypothesis and finding cointegration among the series after structural breaks had been taken into account. The BDS test for nonlinearity showed that most of the time series were nonlinear, which prompted the investigation to look into nonlinear modelling. To evaluate asymmetric price transmission, the study used the Threshold autoregressive (TAR) model and the momentum threshold model (MTAR). The Argentine and Chinese markets were primarily suspected of exhibiting asymmetric price transmission due to structural government intervention. However, the test results failed to reject the null hypothesis and revealed asymmetric price transmission between these markets and the international market. As expected, the results found no evidence of asymmetric price transmission in the Paranaguá, Rotterdam, and Chicago markets. Hence, it can be concluded that symmetric price transmission is more prevalent in the global soybean market than asymmetric price transmission.
基金supported by the Key Projects of National Key Technology R&D Program during the 12th Five-Year Plan period(2012BAH20B04)the 948 Program of MoA of China(2012-Z1)the Technology and Construction of Agricultural Information Monitoring and Early Warning System of China(2012-ZL017)
文摘The paper studies the relationship, adjustment ability, path, efficiency and intensity of price transmission in the swine industry chain in China, which consists of the prices of corn, compound feed for fattening pig, piglet, pig and pork. Monthly prices covering a period of 18 yr （1994-2011） are analyzed using a Market-Chain Cooperated Model （MCM）. The empirical results show that there exists a stable long-term cointegration and short-term dynamic relationship in the price system. First, the adjustment speed of each price series is very slow and the transmission path is top-down and one-way significantly. Second, the price from upstream to downstream lags about 2 mort, while there is no lag in price transmission from midstream to downstream. Third, in terms of price transmission intensity, the price of pig impacted greatly on pork price, not only in the current period but also through the whole period. Besides, the price of corn has the largest lagged effects on pork price. According to the above empirical results, we suggest that government should strengthen monitoring and early warning of the swine industry chain, especially the upstream and midstream, attach great importance to the timely adjustment of feed prices and perfect the measures of price subsidy.
基金supported by the the National Key Technologies R & D Program of China (2009BADA9B01)
文摘This paper examines the vertical price relationship between upstream and downstream products in China＇s layer industry chain by estimating elasticity coefficients of the price transmission. We use cointegration tests, error correction models and finite distributed lag models to analyze vertical price shifts between corn, layer feed, egg-laying chicken and egg prices. With monthly data from 1994 to 2010, our results show that various prices in China＇s layer industry chain are well integrated. In addition, our results indicate that both long-run and short-run price relationships between upstream and downstream products in layer industry chain exist and the long-run equilibrium, to a certain extent, may eliminate the short-run dynamics price deviation. We also found that the influence of corn and feed prices on egg prices is still more remarkable than egg-laying chicken prices. Our findings imply that governments should pay more attention to corn and layer feed prices in order to stabilize egg prices under the conditions of market integration.
文摘The vertical price transmission is generally considered as the relationship between two markets of the same production chain However, we can expand this concept to another relation which has not been deeply investigated： the joint products. They are the products which are produced in a single production process, but not correspond to the same chain. An especial case is the beef and milk markets in Costa Rica. Even if these products usually correspond to disconnect chains, in Costa Rica farms make use of cattle to produce both meat and milk. The cointegration framework is applied in order to indentify the price transmission among these markets. In addition, the asymmetric behavior and structural breaks are taken into account. Price transmission between each market pair was found. First, the cattle prices adjust in the milk-cattle relationship, second, beef meat prices adjust in the cattle-beef meat and in the milk - beef meat relationship. Finally, the equations allowing for structural breaks affect the estimates in the following three ways： after the break the elasticities became higher than 1, there is more evidence of cointegration, and the adjustment coefficients are significant only when a change in the long run is allowed.
文摘The Brazilian citrus chain is comprised by an upstream farm sector, made up of numerous heterogeneous （by size and technology） farm units serviced by input suppliers, and a downstream segment consisting of a small number of processing industries. Our study examines the behavior of citrus pricing along this supply chain, focusing on the relationship between orange juice prices established in international markets and orange fruit prices paid to Brazilian farmers. Results indicate that the price of orange fruit is fundamentally linked to the price of its juice, regardless of data source considered for testing. Evidence was found indicating that there is asymmetry of price transmission within the Brazilian orange sector, with juice price increases being transmitted to the farmer in smaller proportions than juice price decreases. The results of our study did not give a particularly strong indication of the cause of this price asymmetry.
文摘The reform on electricity pricing mechanism is a critical problem in power market construction in China, and is in mutual supplementation and promotion with the latter. In particular, the pricing mechanism for electricity fed into network and that for electricity transmission and distribution as well as the relationship between coal and electricity prices, etc. have to be studied in depth. This paper presents several solutions and suggestions to these problems.
文摘The State Council issued the Scheme for Reforming Electricity Pricing System m the second half of year 2003. It touches upon separating price of plant from that of network, sales price to network, transmission and distribution price, sales price and system principles in regard to electricity tariff mainly.
文摘The National Development and Reform Commission beefed up its efforts to promote the work of electricity price reform in 2004. It took measures in aspects of easing price contradictions, tentatively implementing discriminated price and time-of-use price and issuing a policy on the linkage of coal and electricity prices and price administration. In 2005 the basic thinking of the Commission's electricity price reform is to actively advance the pilot work of price reform,carry out the reform of transmission and distribution price, enlarge the scope of pilot work of large consumer's direct purchase, simplify sales price structure and bring about the linkage of coal and electricity prices.
文摘Analyses the flow tracing based on power flow, points out that the detachment of reactive power and active power is unrealiable and concludes that the current is the real basic of flow tracing,and proposes the new flow tracing model based on current, which devides the current into active current and reactive current, analyses the theory about the matrix to deal with the precision and realization of the flow tracing, and then proposes a new pricing model by fixed rate and marginal rate, which keeps not only economy information such as congestion cost in marginal cost based pricing, but also benefits to make both ends meet.
基金The first author gratefully acknowledges the support from Science and Research Branch, Islamic Azad University, Tehran, Iran.
文摘Transmission pricing has become a major issue in the discussions about the deregulated electricity markets. Consequently, open access to the transmission system is one of the basic topics to allow competition among participants in the energy market. Transmission costs have an important impact on relative competition among participants in the energy market as well as on short- and long-term economic efficiencies of the whole electricity industry, although they represent only close to 10% of the energy market price. This paper deals with the design and tests of a transmission pricing method based on the optimal circuit prices derived from the economically adapted network （EAN）. Prices derived from the EAN have the advantage of being in tune with the maximum revenue allowed to the owner of transmission assets and simplifying the optimal allocation of transmission costs among participants. Beginning from the conceptual design, the proposed method is tested on a three-bus network and on the IEEE 24-bus reliability test system.
