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A Heteroskedastic Multivariate Tobit Analysis of Price Dynamics in the Presence of Price Floors

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  • Jean-Paul Chavas
  • Kwansoo Kim

Abstract

This article presents an econometric analysis of the effects of price floors on price dynamics and price volatility in a multimarket context. We investigate the implications of a government price-support program providing a censoring mechanism to the price determination process. The analysis uses a dynamic multivariate Tobit model under time-varying volatility. The model is applied to the U.S. dairy markets with a special focus on the effects of government price-support programs in a period of market liberalization. The econometric analysis provides useful information on the multimarket effects of price supports on price dynamics and price volatility. Copyright 2004, Oxford University Press.

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  • Jean-Paul Chavas & Kwansoo Kim, 2004. "A Heteroskedastic Multivariate Tobit Analysis of Price Dynamics in the Presence of Price Floors," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(3), pages 576-593.
    • Handle: RePEc:oup:ajagec:v:86:y:2004:i:3:p:576-593
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    File URL: http://hdl.handle.net/10.1111/j.0002-9092.2004.00602.x
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    1. Mutuc, Maria Erlinda M. & Rejesus, Roderick M. & Pan, Suwen & Yorobe, Jose M., 2012. "Impact Assessment of Bt Corn Adoption in the Philippines," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 44(1), pages 117-135, February.
    2. Hassan Harajli & Ali Chalak, 2019. "Willingness to Pay for Energy Efficient Appliances: The Case of Lebanese Consumers," Sustainability, MDPI, vol. 11(20), pages 1-20, October.
    3. No, Sung Chul & Salassi, Michael E., 2006. "Dynamic Analysis and Forecasts of Rough Rice Price under Government Price Support Program: An Application of Bayesian VAR," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35279, Southern Agricultural Economics Association.
    4. Maart, Syster Christin & Musshoff, Oliver & Maack, Moritz, 2012. "Impact of Price Floors: A Real Options Based Experimental Approach," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126073, International Association of Agricultural Economists.
    5. Bolotova, Yuliya V. & Novakovic, Andrew M., 2015. "An Empirical Analysis of Wholesale Cheese Pricing Practices on the Chicago Mercantile Exchange (CME) Spot Cheese Market," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 18(3), pages 1-18, September.
    6. Du, Xiaodong & Dong, Fengxia, 2014. "Heterogeneous Responses to Market Information and The Impact on Price Volatility and Trading Volume: The Case of Class III Milk Futures," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169769, Agricultural and Applied Economics Association.
    7. Wu, Feng & Guan, Zhengfei & Suh, Dong Hee, 2017. "The Effects of Tomato Suspension Agreements on Market Price Dynamics," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258224, Agricultural and Applied Economics Association.
    8. Backus, Peter, 2010. "Is charity a homogeneous good?," Economic Research Papers 270773, University of Warwick - Department of Economics.
    9. Backus, Peter, 2010. "Is charity a homogeneous good?," The Warwick Economics Research Paper Series (TWERPS) 951, University of Warwick, Department of Economics.
    10. Liu, Hongbo & Parton, Kevin A. & Zhou, Zhangyue & Cox, Rod, 2011. "Away-from-Home Meat Consumption in China," Asian Journal of Agriculture and Development, Southeast Asian Regional Center for Graduate Study and Research in Agriculture (SEARCA), vol. 8(2), pages 1-15, December.
    11. Junfei Bai & Jill J. McCluskey & Hainan Wang & Shi Min, 2014. "Dietary Globalization in Chinese Breakfasts," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 62(3), pages 325-341, September.
    12. Kaittisak Kumse & Nobuhiro Suzuki & Takeshi Sato, 2020. "Does oligopsony power matter in price support policy design? Empirical evidence from the Thai Jasmine rice market," Agricultural Economics, International Association of Agricultural Economists, vol. 51(3), pages 373-385, May.
    13. Ihli, Hanna Julia & Gassner, Anja & Musshoff, Oliver, 2018. "Experimental insights on the investment behavior of small-scale coffee farmers in central Uganda under risk and uncertainty," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 75(C), pages 31-44.
    14. Ihli, Hanna Julia & Musshoff, Oliver, 2013. "Understanding the Investment Behavior of Ugandan Smallholder Farmers: An Experimental Analysis," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150331, Agricultural and Applied Economics Association.
    15. Barrera, Carlos, 2010. "¿Respuesta asimétrica de precios domésticos de combustibles ante choques en el WTI?," Working Papers 2010-016, Banco Central de Reserva del Perú.
    16. Ihli, Hanna Julia & Musshoff, Oliver, 2013. "Investment Behavior of Ugandan Smallholder Farmers: An Experimental Analysis," GlobalFood Discussion Papers 154775, Georg-August-Universitaet Goettingen, GlobalFood, Department of Agricultural Economics and Rural Development.
    17. Xiaodong Du & Fengxia Dong, 2016. "Responses to market information and the impact on price volatility and trading volume: the case of Class III milk futures," Empirical Economics, Springer, vol. 50(2), pages 661-678, March.
    18. D’Antoni, Jeremy M. & Mishra, Ashok K. & Blayney, Donald, 2013. "Assessing participation in the Milk Income Loss Contract program and its impact on milk production," Journal of Policy Modeling, Elsevier, vol. 35(2), pages 243-254.
    19. Wolf, Christopher A. & Tonsor, Glynn T., 2013. "Dairy Farmer Policy Preferences," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 38(2), pages 1-15, August.
    20. Belasco, Eric J., 2008. "The Role of Price Risk Management in Mitigating Fed Cattle Profit Exposure," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 33(3), pages 1-17.
    21. Syster C. Maart-Noelck & Oliver Musshoff & Moritz Maack, 2013. "The impact of price floors on farmland investments: a real options based experimental analysis," Applied Economics, Taylor & Francis Journals, vol. 45(35), pages 4872-4882, December.

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