| dc.description.abstracteng | In this thesis, so far insufficiently considered characteristics of long-run equilibriums in food markets are investigated. For this purpose, multivariate time series methodologies, which were developed for the estimation of long-run relationships by allowing for causality and convergence, are employed. In three essays, the proposed procedures are applied to food prices in Germany, the United States and Europe.
The long-run equilibrium is defined as a state of an economic system (e.g. a market), to which the variables of the system revert as a consequence of economic mechanisms after being affected by shocks. For the analysis of a long-run equilibrium scholars usually resort to the framework of cointegration. However, the corresponding econometric tests are limited to detecting the existence of a fixed long-run equilibrium of endogenous variables. This thesis contributes to the literature by proposing alternative methodologies, which enable an estimation of long-run equilibriums and thereby allow to take further properties into account, such as causality and convergence.
Exogenous shocks, like macroeconomic or policy changes, evidentially have an influence on food markets. Analyses of such relationships benefit from the procedures, which actually consider the causality structure. A well-known methodology, which measures the impact of a permanent change in the level of one variable on the level of another variable, is the long-run neutrality test of Fisher and Seater (1993). Their procedure is utilized here to investigate the influence of exogenous shocks on food prices. This empirical application is the first undertaking of this kind to be used in the literature. Furthermore, an extension of the basic framework is proposed, which considers a second exogenous variable in the relationship.
However, in some markets the long-run equilibrium is not fixed. The alterations might be triggered by policy measures or changes in market characteristics (e.g. spatial modifications, transaction cost reductions or supply chain improvements). The econometric concept of convergence can be deployed in order to determine whether the market efficiency is improving or worsening. In this thesis, the test of Phillips and Sul (2007), which is by definition a quite general procedure, is utilized for this purpose. The concept of convergence, particularly the aforementioned test, has not yet been employed intensively to study the dynamics of food markets.
Furthermore, this thesis makes important empirical and political contributions to the analysis of food markets. In the first case study, the impacts of money supply changes initiated by the European Central Bank and of agricultural policy modifications implemented by the European Commission on German food prices are investigated. Research into the influence of money supply on agricultural product prices has never been conducted on such a disaggregated level before. The results show that aggregated agricultural prices are neutral in the long run, whereas the effects differ for different disaggregated markets. Staple food prices in particular, are more sensitive to changes in money supply due to good storability and demand inelasticity. In contrast, animal product prices are less sensitive to money supply changes, perhaps due to larger demand elasticities and quick production adjustments. Furthermore, the policy component in the model reveals that the dynamics triggered by the EU’s decoupling policies (Mid-Term Review) increase production efficiency for specific products.
In a second case study, a theoretical model, which explains the influence of money supply on food markets, is derived in order to research the long-run impact of money supply on U.S. agricultural prices over the last five decades. The results reveal that agricultural prices as a whole and most individual product prices are neutral in response to money supply in the long run. However, the prices of products with large supply elasticities with respect to money supply remain significantly below a neutral equilibrium. Hence, the producers of these commodities are particularly vulnerable to monetary policy changes.
In the third case study, the unsteadiness of the long-run equilibriums of important livestock prices within the EU is analyzed. The occasional changes in the market structure result from policy measures, which are intended to offset the remaining non-tariff trade barriers, and the enlargements of the EU. Moreover, the different currencies in the market might contribute to the heterogeneity in the adjustment to a long-run equilibrium. In order to investigate these hypotheses, the single market after the important expansion of the EU to Eastern Europe in 2004 is analyzed. Including all EU countries, the results confirm that market efficiency is increasing. In a separate analysis of the new member states, their catching-up process is confirmed. Additionally, a comparison of EMU and non-EMU countries shows that the common currency significantly contributes to a further integration. | de |