Thesis (M.Sc.(Agric))(Agricultural Economics)--University of Pretoria, 2004. / Title from opening screen (viewed March 22, 2006). Includes summary. Includes bibliographical references.

Master of Agribusiness / Department of Agricultural Economics / Daniel M. O'Brien / On-farm grain storage plays a key role in the production and distribution of corn in the United States. It can have economic impacts on a farm’s profitability and production efficiency over time. With the free market system of the United States, market fundamentals are a key component of decisions made on the farm regarding construction of grain storage facilities and how they are used in marketing decisions throughout a given production and marketing year. This analysis researches how grain storage decisions in the Northern Mississippi area are effected by corn basis differentials between the Memphis, TN river market and the Northern Alabama corn market. Corn basis differentials are considered along with annual changes in corn futures market carry in response to variations in grain market fundamentals. The profitability of constructing, maintaining, and operating on-farm grain storage is analyzed based on the local history of the local corn market basis patterns and the carry priced into the corn futures market. Through this analysis it was found that the biggest obstacle affecting the profitability of on-farm grain storage was the upfront cost of the facility. As costs of the facility were incurred, grain had to be stored for longer periods of time in order to be profitable based on history of improved basis and market carry over time. On-farm storage became profitable over a shorter storage period once the upfront costs of grain storage and handling facilities were paid based on the operating costs and market conditions within the analysis. On-farm storage can be a useful tool for a farm to increase profitability over time, beyond the scope of this analysis. This analysis proves that in the Northern Mississippi area over time, grain storage can be profitable based on improved cash basis and futures market carry. However, due to ever-changing market conditions, on-farm grain storage does not replace the need for the development of grain marketing plans in order to increase the likelihood of profitability.

Depuis le début de la décennie 2000, le marché du maïs connaît un changement profond. D'une part, le prix enregistre une volatilité extrême sans précédent. D'autre part, ce marché bénéficie d'un déferlement massif des investisseurs financiers. Il offre des opportunités d'investissements financiers rentables en raison des crises récurrentes sur le marché boursier. Il est intéressant pour des investisseurs (spéculateurs, fondamentalistes, arbitragistes) d'avoir connaissance des résultats d'analyse des variations extrêmes du prix du marché du maïs. La maîtrise des variations extrêmes du prix permet une meilleure gestion du risque. Des études ont déjà été menées dans cette direction en utilisant des techniques du type « VaR ». Cependant, les différents modèles de gestion du risque par la VaR souffrent de certaines limites. Ils supposent l'hypothèse de la normalité des distributions. Or, la distribution des rendements du maïs montre des valeurs extrêmes. Cela ne permet pas une bonne appréciation du risque. Afin de contribuer à l'analyse des variations extrêmes de prix sur le marché du maïs, nous faisons appel aux modèles GARCH et à la théorie des valeurs extrêmes. Puis, dans un cadre multi-varié, le lien entre rendements spots et futures exprime le degré de la dépendance. Il permet ainsi d'analyser l'effet de la spéculation. Pour cela, nous utilisons la théorie des valeurs extrêmes couplée à la mesure de la dépendance qu'on appelle « copule » pour cerner les mouvements extrêmes des variations du prix au delà d'un seuil. En effet, la théorie des copules propose toute une gamme de fonctions capable de mesurer la dépendance asymétrique aux queues de la distribution des rendements spots et futures du maïs. / Since the early 2000s, the corn market is undergoing a profound change. On the one hand, the price has experienced unprecedented extreme volatility. Moreover, this market has a massive outpouring of financial investors. The corn market offers profitable financial investments due to recurrent crises in the stock market opportunities. It is interesting for investors (speculators, fundamentalists, arbitrageurs) to be aware of the analysis of extreme price changes in corn results. The mastery of extreme price changes provides better risk management. Studies have already been conducted in this direction by using techniques such as "VaR". However, the different models of risk management VaR suffer from certain limitations. They assume the assumption of normality of distributions. However, the distribution of return corn shows extreme values. This does not allow a proper assessment of risk. To contribute to the analysis of extreme price changes in the corn market, we use the GARCH models and the theory of extreme values. Then, in a multi-varied context, the link between returns and future spots expresses the degree of dependence. It allows analyzing the effect of speculation. We use extreme value theory coupled to the measure of dependence called "copula" to identify extreme movements of price changes beyond a threshold. Indeed, copula theory offers a range of features that can measure the asymmetric dependence tails of the distribution of spot return and futures of corn.

This research analyzes and models the relationship between corn, ethanol, and government subsidies. A two stage least squares model is used to estimate the demand for corn. Numerical estimations of central relationships between the markets are then used to evaluate the effects of changes in ethanol markets on domestic corn markets. The results show that an increase in the price of ethanol increases both the equilibrium quantity demanded and price of corn. Agricultural subsidies are then brought under question in light of these established relationships coupled with current trends in the ethanol and coin industries. Data used in the research comes from the United States Department of Agriculture's Economic Research Service among other sources.

O mercado brasileiro de milho (produção e consumo) passou por importantes mudanças estruturais nas duas primeiras décadas do século XXI, tanto nos sistemas de produção com a expansão da segunda safra como maior integração ao mercado externo, na condição de exportador. Nesse contexto, este trabalho visa a contribuir para a melhor compreensão da dinâmica da disponibilidade do cereal no mercado brasileiro, tomada de decisão de armazenagem sob condições de incertezas e transmissão assimétrica de preços entre regiões, por meio de três ensaios. Os dois primeiros são independentes, mas complementares. No primeiro, é estimado o fluxo mensal de oferta (disponibilidade) de milho no Brasil, em termos de ritmo de colheita (primeira e segunda safras) e demanda (consumo interno e exportação), para o período de fevereiro de 2001 a janeiro de 2018. Os resultados apontam a intensidade em que expansão do cultivo do milho segunda safra deslocou a maior disponibilidade interna do primeiro para o segundo semestre de cada ano, assim como as alterações nas quantidades de exportação e estoques. Partindo das evidências de alteração nos níveis de estoques, no segundo ensaio é analisada a decisão de armazenagem, sob a perspectiva de que os agentes tomam decisão de forma racional. Os resultados sugerem a forte influência da demanda externa, via exportações, sob o equilíbrio dinâmico, tanto nos preços domésticos do cereal quanto na disponibilidade e formação de estoques. No terceiro, são analisadas as relações de preços no mercado interno, em especial, os preços do cereal nas regiões de referência do contrato futuro de base de milho listado na Bolsa de Valores Brasil, Bolsa, Balcão (B3). Os resultados indicam que choques positivos nos preços em Campinas/SP são transmitidos as regiões selecionadas proporcionalmente aos choques negativos, e que os preços nas regiões de referência do contrato futuro de base apresentam forte relação com os preços no mercado paulista. Em síntese, os resultados deste trabalho evidenciam a importância das exportações tanto no fluxo de oferta, demanda e atividade de armazenagem, assim como a relação dos preços do cereal em Campinas/SP com os preços de diferentes regiões do mercado interno. / The Brazilian corn market (production and consumption) went through important structural changes in the first two decades of the twenty-first century, in the production system (with the expansion of the second crop) and regarding a participation increase in the international market, as an exporting country. In this context, this paper aims to enhance comprehension of the corn supply dynamics in the Brazilian market, storage decision-making in an uncertain scenario and price transmission through three papers. The first two are independent, but complementary. The first paper estimates the monthly corn supply in Brazil, in terms of harvesting pace (first and second crops) and demand (domestic consumption and exportation) between February 2001 and January 2018. The results of this study indicate how much the increase of the second crop corn has moved higher supply from the first to the second semester of each year, as well as the changes in the volumes exported and stocked. Based on the evidences of inventory changes, in the second paper, storage decision-making is assessed, considering that agents make decisions rationally. Results indicate a strong influence of exportations on the domestic corn prices, as well as on availability and stock building The third experiment analyzes prices in the domestic market, mainly in the reference regions for the future corn contract at the B3 Stock Exchange. Results indicate that price rises of corn in Campinas (SP) are transmitted to selected regions as intenselly as price drops, and that values in the reference regions for the future contract are strongly related to prices in the market of São Paulo State. In conclusion, the results obtained from this study highlight the importance of exportations for supply flow, demand and inventories, as well as the relation between corn prices in Campinas (SP) and in other Brazilian regions.

O mercado brasileiro de milho (produção e consumo) passou por importantes mudanças estruturais nas duas primeiras décadas do século XXI, tanto nos sistemas de produção com a expansão da segunda safra como maior integração ao mercado externo, na condição de exportador. Nesse contexto, este trabalho visa a contribuir para a melhor compreensão da dinâmica da disponibilidade do cereal no mercado brasileiro, tomada de decisão de armazenagem sob condições de incertezas e transmissão assimétrica de preços entre regiões, por meio de três ensaios. Os dois primeiros são independentes, mas complementares. No primeiro, é estimado o fluxo mensal de oferta (disponibilidade) de milho no Brasil, em termos de ritmo de colheita (primeira e segunda safras) e demanda (consumo interno e exportação), para o período de fevereiro de 2001 a janeiro de 2018. Os resultados apontam a intensidade em que expansão do cultivo do milho segunda safra deslocou a maior disponibilidade interna do primeiro para o segundo semestre de cada ano, assim como as alterações nas quantidades de exportação e estoques. Partindo das evidências de alteração nos níveis de estoques, no segundo ensaio é analisada a decisão de armazenagem, sob a perspectiva de que os agentes tomam decisão de forma racional. Os resultados sugerem a forte influência da demanda externa, via exportações, sob o equilíbrio dinâmico, tanto nos preços domésticos do cereal quanto na disponibilidade e formação de estoques. No terceiro, são analisadas as relações de preços no mercado interno, em especial, os preços do cereal nas regiões de referência do contrato futuro de base de milho listado na Bolsa de Valores Brasil, Bolsa, Balcão (B3). Os resultados indicam que choques positivos nos preços em Campinas/SP são transmitidos as regiões selecionadas proporcionalmente aos choques negativos, e que os preços nas regiões de referência do contrato futuro de base apresentam forte relação com os preços no mercado paulista. Em síntese, os resultados deste trabalho evidenciam a importância das exportações tanto no fluxo de oferta, demanda e atividade de armazenagem, assim como a relação dos preços do cereal em Campinas/SP com os preços de diferentes regiões do mercado interno. / The Brazilian corn market (production and consumption) went through important structural changes in the first two decades of the twenty-first century, in the production system (with the expansion of the second crop) and regarding a participation increase in the international market, as an exporting country. In this context, this paper aims to enhance comprehension of the corn supply dynamics in the Brazilian market, storage decision-making in an uncertain scenario and price transmission through three papers. The first two are independent, but complementary. The first paper estimates the monthly corn supply in Brazil, in terms of harvesting pace (first and second crops) and demand (domestic consumption and exportation) between February 2001 and January 2018. The results of this study indicate how much the increase of the second crop corn has moved higher supply from the first to the second semester of each year, as well as the changes in the volumes exported and stocked. Based on the evidences of inventory changes, in the second paper, storage decision-making is assessed, considering that agents make decisions rationally. Results indicate a strong influence of exportations on the domestic corn prices, as well as on availability and stock building The third experiment analyzes prices in the domestic market, mainly in the reference regions for the future corn contract at the B3 Stock Exchange. Results indicate that price rises of corn in Campinas (SP) are transmitted to selected regions as intenselly as price drops, and that values in the reference regions for the future contract are strongly related to prices in the market of São Paulo State. In conclusion, the results obtained from this study highlight the importance of exportations for supply flow, demand and inventories, as well as the relation between corn prices in Campinas (SP) and in other Brazilian regions.

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