This dissertation consists of three chapters. The first chapter titled ``U.S. Grass-fed Beef Price Premiums" examined monthly retail-level price premiums for grass-fed beef (relative to conventional grain-fed beef) in the U.S. from 2014 through 2021. We found that premiums were heterogeneous, with premium cuts (such as sirloin steak, tenderloin, ribeye, and filet mignon) enjoying the highest premiums. Premiums were not consistent with price levels, as the lowest premiums were observed for short ribs, skirt steak, and flank steak. Our findings suggest that grass-fed beef price premiums were negatively affected by the consumption of food away from home. Changes in income, increased information about taste, protein and minerals, fat, revocation of the USDA grass-fed certification program in 2016 and COVID-19 pandemic, also affected premiums for several individual cuts. Premiums were not sensitive to changes in information about climate change. The second chapter, ``Impact of Animal Disease Outbreaks on The U.S. Meat Demand'', examined the impact of the mad cow (BSE) and bird flu (AI) outbreaks on the demand for beef, pork, and broilers in the U.S from 1997 to 2019. Using time-varying elasticities obtained from a Rotterdam model with animal disease cases, we found that BSE outbreaks reduced beef consumption by 0.64 percent and increased pork consumption by 2.34 percent, on average. While BSE outbreaks reduced beef demand, these effects were short lived and did not extend beyond one quarter. On the other hand, broiler consumption decreased during the HPAI outbreaks while beef and broiler consumption increased after such outbreaks. Our time-varying cross-price elasticities indicated that substitution between beef and broilers and beef and pork strengthened after Quarter 4 of 2003. The third chapter is titled ``Impact of North American Mad Cow Disease Outbreaks on The U.S. Cattle Futures". Our study developed a distributional event response model (DERM) framework to show the duration and magnitude of market responses of the U.S. cattle futures market during episodes of mad cow disease (BSE) in North America between 2010 and 2019. Our results indicated that the 2017 U.S. BSE outbreak reduced the returns of live cattle futures. Additionally, the average duration of the BSE event response was about 8.5 days. / Doctor of Philosophy / This dissertation focused on the price analysis of the U.S. livestock market. The first chapter analysed the pattern of grass-fed beef price premiums measured as the difference between grass-fed beef price and conventional beef price. We mainly explored how the premiums were affected by consumers' income, food consumption away from home, and information on climate change, beef taste, and nutrition. We found that consumption of food away from home reduced the grass-fed beef price premiums. In addition, increased information about taste, protein and minerals, fat, and COVID-19 pandemic, could also affected the grass-fed premiums for several individual cuts. The second chapter explored how mad cow diseases and bird flu diseases affected the demand for beef, pork, and chicken. We particularly investigated how each disease outbreak affected the meat demand. My result showed that in the presence of mad cow diseases in the U.S., people bought more pork. This result that retailers should have higher pork demand when mad cow diseases are detected. The third chapter explored how mad cow diseases in North America affected the U.S. live cattle futures. We showed that the U.S. mad cow disease in 2017 reduced the returns of U.S. cattle futures and this impact lasted about 8.5 days. Simultaneously, we found that mad cow disease outbreaks in Canada did not significantly affect the U.S. cattle futures.

Submitted by Odilon Jose de Oliveira Neto (professorodilon@yahoo.com.br) on 2013-09-27T20:34:42Z No. of bitstreams: 1 TESE_ODILON.pdf: 885119 bytes, checksum: 460d85982ff9b027e21ee9ef445337e1 (MD5) / Approved for entry into archive by Vera Lúcia Mourão (vera.mourao@fgv.br) on 2013-09-27T20:50:10Z (GMT) No. of bitstreams: 1 TESE_ODILON.pdf: 885119 bytes, checksum: 460d85982ff9b027e21ee9ef445337e1 (MD5) / Made available in DSpace on 2013-09-27T21:19:03Z (GMT). No. of bitstreams: 1 TESE_ODILON.pdf: 885119 bytes, checksum: 460d85982ff9b027e21ee9ef445337e1 (MD5) Previous issue date: 2013-09-20 / Several attempts of negotiation of future contracts and price indexes of beef cattle in Argentina and in Uruguay were frustrated along the years. The derivatives issued failed in a short period of time due to lack of liquidity. That scenery and other particularities of the live cattle spot market turned the administration of risk of prices into a problem for the economical agents of the meat chain. In this context, the following question emerged: the cross hedging with future contracts of Brazilian live cattle in the Brazilian Securities, Commodities and Futures Exchange (BM&FBovespa) is effective for the administration of risk of prices of beef steers in the Argentinian and Uruguayan spot market? In an effort to answer this question, it was proposed to verify if it is possible to mitigate the risk of the price volatility of the spot market of Argentinian and Uruguayan beef steers through of cross hedging in the futures market for Brazilian live cattle in the BM&FBovespa. For this, it was used static and dynamic models to estimate of the optimal cross hedge ratio and effectiveness of risk mitigation. The results of the hypothesis test of risk mitigating allow to assure that there are strong empirical evidences of effectiveness of the futures market of Brazilian live cattle in protection against the prices risk of the spot market of Argentinian and Uruguayan steers. Complementarily, it was analyzed the hypothesis of the futures market efficiency. The results present empirical evidence of a stochastic relationship common in long-term between spot and futures prices, and efficiency in predicting short-term price, which suggest that the future contracts of Brazilian live cattle in the BM&FBovespa allow adequate hedge of price for the Argentinian and Uruguayan steers in spot market. / Na Argentina e no Uruguai, diversas tentativas de negociação de contratos futuros e de índice de preços de carne bovina foram frustradas ao longo dos anos, tendo os derivativos lançados fracassado, em um curto espaço de tempo, por falta de liquidez. Esse cenário, somado a outras particularidades do mercado físico da carne bovina, torna o gerenciamento de risco de preços um problema para os agentes econômicos que atuam nessa cadeia produtiva. Nesse contexto, emergiu a seguinte questão: a proteção cruzada com contratos futuros de boi gordo brasileiro da Bolsa de Valores, Mercadorias e Futuros de São Paulo (BM&FBovespa) é efetiva para a administração do risco de preços dos novilhos de corte no mercado a vista argentino e uruguaio? Com a finalidade de responder a essa questão, propôs-se a verificar se é possível mitigar o risco da volatilidade de preços no mercado a vista dos novilhos de corte argentinos e uruguaios por meio do cross hedging no mercado futuro do boi gordo brasileiro na BM&FBovespa. Para tanto, foram utilizados modelos estáticos e dinâmicos de estimação da razão de cross hedge ótima e efetividade em mitigação do risco. Os resultados do teste de hipóteses de mitigação do risco permitiram assegurar que são fortes as evidências de efetividade do mercado futuro do boi gordo brasileiro na proteção contra o risco de preços do mercado a vista dos novilhos argentinos e uruguaios. Complementarmente, verificou-se a hipótese de eficiência do mercado futuro. Os resultados apresentaram evidências de um relacionamento estocástico comum no longo prazo entre os preços a vista e futuros, e de eficiência na predição dos preços no curto prazo, o que sugere que os contratos futuros de boi gordo brasileiro da BM&FBovespa permitem uma trava adequada de cotação-preço para os novilhos argentinos e uruguaios no mercado a vista.