Template-Type: ReDIF-Article 1.0 Author-Name: Dejan Živkov Author-Workplace-Name: Novi Sad School of Business, University of Novi Sad, Novi Sad, Serbia Author-Name: Marijana Joksimović Author-Workplace-Name: Faculty of Finances, Banking and Audit, Alfa University, Belgrade, Serbia Author-Name: Suzana Balaban Author-Workplace-Name: Faculty of Finances, Banking and Audit, Alfa University, Belgrade, Serbia Title: Measuring parametric and semiparametric downside risks of selected agricultural commodities Abstract: In this paper, we evaluate the downside risk of six major agricultural commodities - corn, wheat, soybeans, soybean meal, soybean oil and oats. For research purposes, we first use an optimal generalised autoregressive conditional heteroscedasticity (GARCH) model to create residuals, which we later use for measuring downside risks via parametric and semiparametric approaches. Modified value-at-risk (mVaR) and modified conditional value-at-risk (mCVaR) provide more accurate downside risk results than do ordinary value-at-risk (VaR) and conditional value-at-risk (CVaR). We report that soybean oil has the lowest mVaR and mCVaR because it has two very favourable features - skewness around zero and low kurtosis. The second-best commodity is soybeans. The worst-performing downside risk results are in wheat and oats, primarily because of their very high kurtosis values. On the basis of the results, we propose to investors and various agents involved with these agricultural assets that they reduce the risk of loss by combining these assets with other financial or commodity assets that have low risk. Keywords: Cornish-Fisher expansion, generalised autoregressive conditional heteroscedasticity (GARCH) model, grains Journal: Agricultural Economics Pages: 305-315 Volume: 67 Issue: 8 Year: 2021 DOI: 10.17221/148/2021-AGRICECON File-URL: http://agricecon.agriculturejournals.cz/doi/10.17221/148/2021-AGRICECON.html File-Format: text/html X-File-Ref: http://agriculturejournals.cz/RePEc/caa/references/age-202108-0001.txt Handle: RePEc:caa:jnlage:v:67:y:2021:i:8:id:148-2021-AGRICECON Template-Type: ReDIF-Article 1.0 Author-Name: Bartłomiej Bajan Author-Workplace-Name: Department of Economics and Economic Policy in Agribusiness, Faculty of Economics and Social Sciences, Poznan University of Life Sciences, Poznan, Poland Author-Name: Natalia Genstwa Author-Workplace-Name: Department of Economics and Economic Policy in Agribusiness, Faculty of Economics and Social Sciences, Poznan University of Life Sciences, Poznan, Poland Author-Name: Luboš Smutka Author-Workplace-Name: Department of Trade and Finance, Faculty of Economics and Management, Czech University of Life Sciences, Prague, Czech Republic Title: The similarity of food consumption patterns in selected EU countries combined with the similarity of food production and imports Abstract: The purpose of the paper was to analyse changes in food consumption patterns in the European Union (EU) countries and link these patterns with food production and imports. The two research questions posed by the authors were as follows i): are the structures of the consumption, production and importation of food becoming more similar or more diverse among EU countries, and ii) are changes in food consumption patterns caused by changes in domestic production, or has food been imported to a greater extent from abroad. The study investigated countries which that have been continuously keeping relevant statistics since 1961. The food consumption structures recorded in the years 1961-1969 and 2010-2017 were compared among these countries. Following this, the countries were grouped into subsets using the criterion of greatest similarity in terms of food consumption structures. The same was done in the case of their food production and imports. The study found that countries were becoming increasingly similar in terms of their consumption patterns. An opposite situation occurred concerning food production. In the case of food imports, structural diversity between countries decreased. It follows that changes in food consumption patterns mainly occurred through the adjustment of imports. Keywords: food balance, market unification, structure diversity Journal: Agricultural Economics Pages: 316-326 Volume: 67 Issue: 8 Year: 2021 DOI: 10.17221/307/2020-AGRICECON File-URL: http://agricecon.agriculturejournals.cz/doi/10.17221/307/2020-AGRICECON.html File-Format: text/html X-File-Ref: http://agriculturejournals.cz/RePEc/caa/references/age-202108-0002.txt Handle: RePEc:caa:jnlage:v:67:y:2021:i:8:id:307-2020-AGRICECON Template-Type: ReDIF-Article 1.0 Author-Name: Jiawu Dai Author-Workplace-Name: Hunan Key Laboratory of Macroeconomic Big Data Mining and Its Application, School of Business, Hunan Normal University, Changsha, China Author-Name: Liurui Deng Author-Name: Lan Yang Author-Workplace-Name: Hunan Key Laboratory of Macroeconomic Big Data Mining and Its Application, School of Business, Hunan Normal University, Changsha, China Title: Testing the absorber hypothesis of exchange rates for the overshooting of agricultural prices in China Abstract: This study aims to test the overshooting effect of agricultural prices and the absorber hypothesis of exchange rates by extending the existing overshooting model. Using a combination of modern time series methods and monthly aggregate data from China, we demonstrate that overshooting of agricultural prices does indeed occur since the impact of monetary expansion on flexible agricultural prices is significantly larger than on relatively sticky industrial prices. Granger causality tests confirm that monetary expansion is a possible determinant of the movements of both agricultural and industrial prices, thus providing a solid empirical foundation for the overshooting hypothesis. Our findings also confirm the absorber hypothesis, in that the overshooting effect of agricultural prices under a fixed exchange rate regime (ERR) is shown to be greater than that under a floating ERR. The main policy implication is that policymakers should pay attention to the spillover effect of monetary expansion on agricultural prices when adjusting macroeconomic policies, especially under a fixed ERR. Keywords: cointegration, floating exchange rates, monetary policy, vector autoregression Journal: Agricultural Economics Pages: 327-336 Volume: 67 Issue: 8 Year: 2021 DOI: 10.17221/309/2020-AGRICECON File-URL: http://agricecon.agriculturejournals.cz/doi/10.17221/309/2020-AGRICECON.html File-Format: text/html X-File-Ref: http://agriculturejournals.cz/RePEc/caa/references/age-202108-0003.txt Handle: RePEc:caa:jnlage:v:67:y:2021:i:8:id:309-2020-AGRICECON Template-Type: ReDIF-Article 1.0 Author-Name: Nazir Muhammad Abdullahi Author-Workplace-Name: College of Economics and Management, Northwest A&F University, Shaanxi, China Author-Workplace-Name: Department of Business Administration and Entrepreneurship Development, School of Rural Technology and Entrepreneurship Development, Kano State Polytechnic, Kano, Nigeria Author-Name: Olufemi Adewale Aluko Author-Workplace-Name: Department of Finance, Faculty of Management Sciences, University of Ilorin, Ilorin, Nigeria Author-Name: Xuexi Huo Author-Workplace-Name: College of Economics and Management, Northwest A&F University, Shaanxi, China Title: Determinants, efficiency and potential of agri-food exports from Nigeria to the EU: Evidence from the stochastic frontier gravity model Abstract: This study uses an extended gravity model to examine the determinants, efficiency and potential of agri-food exports from Nigeria to the EU for the 1995-2019 period. It uses a stochastic frontier analysis (SFA) to estimate the extended gravity model. The results show that the economic size (GDP) of Nigeria and the EU countries, as well as bilateral distance, positively determine agri-food exports from Nigeria to the EU. Also, the results show that Nigeria's agri-food exports to the EU are negatively determined by the income (per capita GDP) of Nigeria and its EU trading countries, bilateral exchange rate and EU new member states (NMS). The results further show that Nigeria scores relatively low in terms of the efficiency of its agri-food exports to the EU countries. On a final note, the study shows that Nigeria's agri-food exports with the EU have a relatively large potential that has not been exploited. We document policy recommendations in this study. Keywords: agri-food exports, EU, gravity model, Nigeria, stochastic frontier analysis Journal: Agricultural Economics Pages: 337-349 Volume: 67 Issue: 8 Year: 2021 DOI: 10.17221/15/2021-AGRICECON File-URL: http://agricecon.agriculturejournals.cz/doi/10.17221/15/2021-AGRICECON.html File-Format: text/html X-File-Ref: http://agriculturejournals.cz/RePEc/caa/references/age-202108-0004.txt Handle: RePEc:caa:jnlage:v:67:y:2021:i:8:id:15-2021-AGRICECON