economics of volatility in agricultural marketsaic.ucdavis.edu/events/volatility/volatility.pdf ·...
TRANSCRIPT
Economics of Volatility in Agricultural Markets
Daniel A. Sumner
University of California Agricultural Issues Center
December 8, 2010
30Inflation‐adjustedU.S. milk price and marketing assitance loan rate
25
20
5 dollars)
15
per cw
t (2005
10
Milk price
Milk support price
$ p
5
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
/98
/99
000
001
002
003
004
005
006
008
009
010
011
1980/
1981/
1982/
1983/
1984/
1985/
1986/
1987/
1988/
1989/
1990/
1991/
1992/
1993/
1994/
1995/
1996/
1997/
1998/
1999/20
2000/20
2001/20
2002/20
2003/20
2004/20
2005/20
2007/20
2008/20
2009/20
2010/20
15%
Deviation from 3 year moving average, real annual US all milk price
10%
5%
‐5%
0%
‐10%
20%
‐15%
‐20%
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
18
U.S. milk production, monthly, Jan. 2000‐Oct. 2010
17
16
cwt
14
15
thousand
13
14
12
‐00
‐00
v‐00
r‐01
p‐01
b‐02
‐02
c‐02
y‐03
t‐03
r‐04
g‐04
‐05
‐05
v‐05
r‐06
p‐06
b‐07
‐07
c‐07
y‐08
t‐08
r‐09
g‐09
‐10
‐10
Jan
Jun
Nov
Apr
Sep
Feb
Jul
Dec
May Oct
Mar
Aug
Jan
Jun
Nov
Apr
Sep
Feb
Jul
Dec
May Oct
Mar
Aug
Jan
Jun
90
Real annual U.S. price of beef, 1999‐2009
85
80
85
cwt
75
80
dollars per
75
2005
70
65
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
10%
Deviation from 3 year moving average, real annual US beef price
6%
8%
2%
4%
‐2%
0%
2%
6%
‐4%
2%
10%
‐8%
‐6%
‐10%
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
44
U.S. annual beef production, 1988‐2009
43
42
ds
41
Billion pound
40
B
38
39
38
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
3.00
Real annual U.S. price of almonds, 1999‐2009
2.50
2.00
pound
1.50
dollars per p
1.002005 d
0.50
0.00
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
40%
Deviation from 3 year moving average, annual real US almond price
30%
20%
0%
10%
‐10%
30%
‐20%
‐30%
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
800
Annual US almond production, 1981‐2010
700
500
600
c tons
400
usand m
etric
200
300
Thou
0
100
0
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
3.00Natural log of real U.S. all wheat price, 1866‐2009
2.50
2.00
1.50
1.00
0 00
0.50
0.00
1866
1871
1876
1881
1886
1891
1896
1901
1906
1911
1916
1921
1926
1931
1936
1941
1946
1951
1956
1961
1966
1971
1976
1981
1986
1991
1996
2001
2006
2009
9 Inflation‐adjustedU.S. wheat price and marketing assitance loan rates
8
Wheat price
6
7
Wheat support price
dollars)
5
ushel(2005 d
3
4
$ per bu
2
0/81
1/82
2/83
3/84
4/85
5/86
6/87
7/88
8/89
9/90
0/91
1/92
2/93
3/94
4/95
5/96
6/97
7/98
8/99
2000
2001
2002
2003
2004
2005
2006
2008
2009
2010
2011
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
199
1998
1999/2
2000/2
2001/2
2002/2
2003/2
2004/2
2005/2
2007/2
2008/2
2009/2
2010/2
40%
Deviation from 3 year moving average, annual real US all wheat price
30%
20%
0%
10%
‐10%
30%
‐20%
‐30%
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Annual U.S. all wheat production, 1980‐2010
2.7
2.9
2.5
els
2 1
2.3
Billion bushe
1.9
2.1B
1 5
1.7
1.5
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
700
Real annual U.S. price of winegrapes, 1999‐2009
660
680
620
640
r ton
580
600
620
5 dollars per
560
580
2005
520
540
500
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
4%
Deviation from 3 year moving average, annual real US winegrape price
2%
0%
‐2%
‐4%
8%
‐6%
‐8%
2001
2002
2003
2004
2005
2006
2007
2008
2009
0.28
Real annual U.S. price of apples, 1991‐2009
0 24
0.26
0.22
0.24
r pound
0.18
0.2
5 dollars per
0.14
0.16
2005
0.1
0.12
30%
Deviation from 3 year moving average, annual real U.S. apple price
20%
10%
0%
‐10%
30%
‐20%
‐30%
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
5.5
Annual U.S. apple production, 1991‐2009
5.1
5.3
4.7
4.9
tons
4 3
4.5
4.7
lion m
etric t
3 9
4.1
4.3
Mil
3 5
3.7
3.9
3.5
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
24
Real annual U.S. price of head lettuce, 1996‐2009
22
23
21
22
cwt
19
20
dollars per
17
182005
16
17
15
1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
20%
Deviation from 3 year moving average, annual real U.S. head lettuce price
15%
20%
5%
10%
0%
‐10%
‐5%
20%
‐15%
‐20%
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
140Real monthly price of crude oil (Europe Brent Spot Price FOB), Jan 1990‐
Oct 2009
100
120
80
100
per barrel
60
2005 dollars
20
40
2
0
990
990
991
992
993
993
994
995
996
996
997
998
999
999
000
001
002
002
003
004
005
005
006
007
008
008
009
010
Jan‐19
Oct‐19
Jul‐19
Apr‐19
Jan‐19
Oct‐19
Jul‐19
Apr‐19
Jan‐19
Oct‐19
Jul‐19
Apr‐19
Jan‐19
Oct‐19
Jul‐20
Apr‐20
Jan‐20
Oct‐20
Jul‐20
Apr‐20
Jan‐20
Oct‐20
Jul‐20
Apr‐20
Jan‐20
Oct‐20
Jul‐20
Apr‐20
450
Indexed real prices for milk, wheat and crude oil
350
400Wheat
Milk
Oil
250
300
00=100
150
200
250
January 200
50
100
150
0
50
000
000
001
001
002
002
003
003
004
004
005
005
006
006
007
007
008
008
009
009
010
010
Jan‐20
Jul‐20
Jan‐20
Jul‐20
Jan‐20
Jul‐20
Jan‐20
Jul‐20
Jan‐20
Jul‐20
Jan‐20
Jul‐20
Jan‐20
Jul‐20
Jan‐20
Jul‐20
Jan‐20
Jul‐20
Jan‐20
Jul‐20
Jan‐20
Jul‐20
12.0
U.S. unemployment rate, seasonally adjusted, monthly
10.0
8.0
6.0
4.0
0.0
2.0
0 0
Jan‐00
May
‐00
Sep‐00
Jan‐01
May
‐01
Sep‐01
Jan‐02
May
‐02
Sep‐02
Jan‐03
May
‐03
Sep‐03
Jan‐04
May
‐04
Sep‐04
Jan‐05
May
‐05
Sep‐05
Jan‐06
May
‐06
Sep‐06
Jan‐07
May
‐07
Sep‐07
Jan‐08
May
‐08
Sep‐08
Jan‐09
May
‐09
Sep‐09
Jan‐10
May
‐10
Sep‐10
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