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A meta-analysis of the impact of agricultural extension services 农业推广服务影响的元分析
IF 5.1 2区 经济学 Q1 AGRICULTURAL ECONOMICS & POLICY Pub Date : 2022-02-15 DOI: 10.1108/caer-07-2021-0130
Kolawole Ogundari
PurposeThis study aims to address two research questions. First, do the agricultural extension services have an impact on the potential outcomes considered in the primary studies, and to what extent? Second, how sensitive is the reported impact to the study-specific characteristics in the primary studies?Design/methodology/approachThe paper synthesizes 45 studies that assessed the causal impact of agricultural extension services published in 2004–2021, using meta-regression analysis. It considers three measures of effect sizes – Cohen’s, Hedges and principal correlation coefficient (PCC) – to standardize the reported impact of agricultural extension services in the primary studies.FindingsThe empirical results show that, on average, agricultural extension services have statistically significant and positive impacts on the potential outcomes identified in the primary studies. However, the magnitude of the impact is considered medium-sized. Other results show that the effect size estimates of agricultural extension services' impact significantly vary with the data type (cross-sectional data vs. panel data), research design (non-experimental vs. experimental design) and econometric methods employed in the primary studies.Practical implicationsOne can argue that the medium-sized impact we estimated indicates evidence of a moderate, weak relationship between agricultural extension services and the potential outcomes considered in the primary studies. This means that agricultural extension services need to be restructured in the current form to stimulate change in the agricultural sector globally. In addition, the sensitivity of effect sizes to study attributes (i.e. data types, research design and econometric methods) shows that researchers and academicians need to pay attention to these attributes to provide more reliable estimates for policy purposes.Originality/valueThis is the first study that attempts to shed light on the overall performance of agricultural extension services using a meta-regression analysis approach.
本研究旨在解决两个研究问题。首先,农业推广服务是否对初步研究中考虑的潜在结果有影响,影响程度如何?其次,报告的影响对主要研究的特定特征有多敏感?本文综合了2004-2021年发表的45项研究,利用元回归分析评估了农业推广服务的因果影响。它考虑了效应大小的三种测量方法——Cohen’s, Hedges和主相关系数(PCC)——来标准化初步研究中报告的农业推广服务的影响。实证结果表明,平均而言,农业推广服务对初步研究确定的潜在结果具有统计学显著的正向影响。然而,影响的程度被认为是中等程度。其他结果表明,对农业推广服务影响的效应大小估计随着数据类型(横断面数据vs.面板数据)、研究设计(非实验设计vs.实验设计)和初步研究中采用的计量方法的不同而显著不同。实际意义有人可能会说,我们估计的中等影响表明,农业推广服务与初步研究中考虑的潜在结果之间存在适度、微弱的关系。这意味着农业推广服务需要在目前的形式下进行重组,以刺激全球农业部门的变革。此外,效应量对研究属性(即数据类型、研究设计和计量方法)的敏感性表明,研究人员和学者需要关注这些属性,以便为政策目的提供更可靠的估计。原创性/价值这是第一个试图利用元回归分析方法阐明农业推广服务总体绩效的研究。
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引用次数: 7
Pre- and post-production water treatment in the food processing industry: managerial perceptions of environmental pressure increase adoption of voluntary environmental management 食品加工行业生产前和生产后的水处理:管理层对环境压力的认识增加了自愿环境管理的采用
IF 5.1 2区 经济学 Q1 AGRICULTURAL ECONOMICS & POLICY Pub Date : 2022-02-15 DOI: 10.1108/caer-09-2019-0174
T. Meng, Qijun Jiang, W. Florkowski
PurposeThis paper examines pre- and post-production water treatment practices among food processors and investigates factors, especially managerial perceptions of environmental pressure that encourage or preclude either process.Design/methodology/approachTo consider potential spillover effects across two water-treatment practices, the bivariate probit model based on random utility theory is used to investigate how practices are influenced by managerial perceptions of environmental pressure and measured by manager perceptions on water costs, water availability, water safety and quality.FindingsResults indicate that firms with a managerial perception that water costs are low are less likely to conduct both pre- and post-production water treatment practices, while the perception of high water quality has a negative effect on water treatment prior to use. This study also confirms the positive correlation of the pre- and post-water treatment practices among food processors. Practices also change with firm features including production scope, scale, target market and expected future sales growth.Practical implicationsThis study provides unique insights about water treatment practices and generates knowledge to enhance food safety and environmental sanitation in the food industry. Results are helpful to design and provide additional training and educational programs that target the enhancement of environmental and water quality awareness among food company managers and modify food safety policy instruments and environmental regulations pertaining to surface water resources.Originality/valueResearch exploring water-treatment practices in the food industry has been limited. Using a representative sample of food processors in the city of Shanghai, this study contributes to the literature on the examination of internal drivers of voluntary environmental management (VEM) with a focus on managerial perceptions of environmental pressure, establishes the correlation between pre- and post-production water treatment practices and identifies and quantifies the effects of relevant factors.
目的本文考察了食品加工商在生产前和生产后的水处理实践,并调查了鼓励或阻碍这两种过程的因素,特别是管理层对环境压力的看法。设计/方法/方法为了考虑两种水处理实践的潜在溢出效应,使用基于随机效用理论的双变量probit模型来研究实践如何受到管理层对环境压力的感知的影响,并通过管理层对水成本、水可用性、水安全和质量的感知来衡量。研究结果表明,管理层认为水成本低的公司不太可能进行生产前和生产后的水处理实践,而对高水质的看法对使用前的水处理产生负面影响。这项研究还证实了食品加工商在水处理前和水处理后的做法之间的正相关性。实践也随着公司的特点而变化,包括生产范围、规模、目标市场和预期的未来销售增长。实际意义这项研究提供了关于水处理实践的独特见解,并为加强食品行业的食品安全和环境卫生提供了知识。研究结果有助于设计和提供额外的培训和教育计划,旨在提高食品公司管理人员的环境和水质意识,并修改与地表水资源有关的食品安全政策文书和环境法规。独创性/价值探索食品行业水处理实践的研究有限。本研究使用上海市食品加工商的代表性样本,对自愿环境管理(VEM)内部驱动因素的研究文献做出了贡献,重点是管理层对环境压力的感知,建立生产前和生产后水处理实践之间的相关性,并识别和量化相关因素的影响。
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引用次数: 0
Exploring the relationship between plot size and fertilizer use efficiency: evidence from large-scale farming in China 探索地块大小与肥料利用效率的关系——来自中国大规模农业的证据
IF 5.1 2区 经济学 Q1 AGRICULTURAL ECONOMICS & POLICY Pub Date : 2022-02-10 DOI: 10.1108/caer-02-2021-0043
Fang Li, S. Feng, Hualiang Lu, F. Qu, M. D’haese
PurposeThis paper investigates the relationship between plot size and fertilizer use efficiency (FE) in Chinese large-scale farming and searches for the underlying mechanisms that explain this relationship.Design/methodology/approachBased on a household- and plot-level data set of large-scale production units (LSPUs) from Jiangsu and Jiangxi Provinces, the technical and fertilizer use efficiency of large-scale rice production is estimated by applying a translog stochastic frontier production function. The authors impose a monotonicity condition on the translog frontier using a three-step procedure to get theoretically consistent efficiency estimates. A beta regression model is then used to explore the association between plot size and LSPUs' efficiency in fertilizer application.FindingsThe average FE for the sampled plots is around 30%, which shows a large potential for LSPUs to reduce fertilizer use. A U-shaped relationship is observed between plot size and FE. The authors relate this non-linear pattern to the substitution of labour with capital-intensive technology and the efficiency differences in terms of farming performance between family and hired workers.Originality/valueFirst, according to the authors’ knowledge, this paper is a first attempt to study the size–efficiency relationship focussing on fertilization practices of large-scale farming. The second contribution lies in the large-scale ranges of the plot-level data set. Third, efforts are made to reveal the mechanisms determining the plot size–FE relationship. Fourth, the authors provide guiding evidence for policymaking, as they show that the size of individual plots deserves equal attention in land consolidation decisions. Methodologically, this paper improves existing estimates of single-factor technical efficiency issued from a restricted production frontier model.
目的研究中国规模农业中小区面积与肥料利用效率之间的关系,并寻找解释这种关系的潜在机制。设计/方法论/方法基于江苏和江西两省大型生产单位的家庭和小区级数据集,应用translog随机前沿生产函数估计了大型水稻生产的技术和肥料利用效率。作者使用三步程序在translog边界上施加单调性条件,以获得理论上一致的效率估计。然后使用β回归模型来探索小区大小与LSPU施肥效率之间的关系。发现采样地块的平均FE约为30%,这表明LSPU在减少化肥使用方面有很大潜力。在地块大小和FE之间观察到U形关系。作者将这种非线性模式与资本密集型技术对劳动力的替代以及家庭和雇佣工人在农业表现方面的效率差异联系起来。原创性/价值首先,根据作者的知识,本文首次尝试研究大规模农业施肥实践中的规模-效率关系。第二个贡献在于绘图级别数据集的大范围。第三,努力揭示决定地块大小-FE关系的机制。第四,作者为政策制定提供了指导性证据,因为他们表明,在土地整理决策中,个别地块的大小值得同等关注。在方法论上,本文改进了现有的限制生产前沿模型对单因素技术效率的估计。
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引用次数: 1
Classification-based forest management program and farmers' income: evidence from collective forest area in southern China 分类经营与农民收入——来自中国南方集体林区的证据
IF 5.1 2区 经济学 Q1 AGRICULTURAL ECONOMICS & POLICY Pub Date : 2022-02-02 DOI: 10.1108/caer-07-2021-0127
Chang Xu, Baodong Cheng, Mengzhen Zhang
PurposeThis article's purpose is to examine the effect of a Classification-Based Forest Management (CFM) program on farmers' income and determine whether its effect varies with the degree of farmers' concurrent occupations.Design/methodology/approachThe authors use representative panel survey data from Longquan to explore the welfare effects of CFM on farmers. The analysis uses differences-in-differences with propensity score matching (PSM-DID) estimation techniques to deal with endogeneity problems when farmers make the decision to participate in CFM.FindingsThe results show that CFM has a positive effect on part-time forestry households (where forestry income accounts for between 5 and 50% of total income). In contrast, it has a negative impact on full-time forestry households (forestry income accounts for more than 50%), and no clear effect on nonforestry households whose forestry income is less than 5%. This research also shows that the positive effect of CFM on farmers' total income is mainly due to increase of off-farm income driven by CFM, while the negative effects consist of CFM's reduction of forestry income.Originality/valueThe extent of CFM's economic benefits to farmers is uncertain and largely unexplored. This paper analyzes the impact of CFM on income structure to explore the mechanisms explaining its effects on farmers' income. There are still challenges in ensuring the reliability and accuracy of CFM assessment. This paper collected natural experimental data and used the estimation technology of PSM-DID to solve the possible endogeneity problems.
目的本文的目的是检验基于分类的森林管理(CFM)计划对农民收入的影响,并确定其影响是否随农民同时从事职业的程度而变化。设计/方法/方法利用龙泉市具有代表性的面板调查数据,探讨CFM对农民福利的影响。该分析使用差异与倾向得分匹配(PSM-DID)估计技术来处理农民决定参与CFM时的内生性问题。结果表明,CFM对非全日制林业家庭(林业收入占总收入的5%至50%)有积极影响。相比之下,它对全职林业家庭(林业收入占50%以上)有负面影响,对林业收入低于5%的非林业家庭没有明显影响。研究还表明,CFM对农民总收入的正向影响主要是由于CFM带动的非农收入增加,而负向影响则是CFM减少了林业收入。独创性/价值CFM对农民的经济效益程度尚不确定,而且在很大程度上尚未探索。本文分析了CFM对收入结构的影响,以探讨其对农民收入影响的机制。在确保CFM评估的可靠性和准确性方面仍然存在挑战。本文收集了自然实验数据,并使用PSM-DID的估计技术来解决可能的内生性问题。
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引用次数: 5
Effect of industrial structure on urban–rural income inequality in China 产业结构对中国城乡收入差距的影响
IF 5.1 2区 经济学 Q1 AGRICULTURAL ECONOMICS & POLICY Pub Date : 2022-02-01 DOI: 10.1108/caer-05-2021-0096
Diandian Chen, Yong Ma
PurposeSince 1978, China has made tremendous economic achievements through industrial upgrading. However, these achievements are accompanied by an expanding income gap between rural and urban areas. The purpose of this paper is to examine the relationship between industrial structure and urban–rural income inequality in China.Design/methodology/approach Using the fixed-effects model and provincial data for the period 1985–2019, this paper estimates a linear relationship between industrial structure and urban–rural income inequality. By decomposing total income inequality into four components, the paper then analyzes how industrial structure affects each component.FindingsThe results show that industrial structure imbalance and industrial upgrading are positively associated with urban–rural income inequality. The positive effect of industrial imbalance mainly comes from widening the wage gap, while that of industrial upgrading mainly comes from aggravating business income inequality and property income inequality. Moreover, industrial balance and upgrading are conducive to increasing the share of wage income at the cost of property income.Originality/valueBy progressively examining the total inequality and the inequality of income components, this paper provides a better understanding of how industrial structure affects urban and rural income inequality. The findings of this study highlight the “inequality cost” associated with industrial structure adjustment, which provide policy-related insights on the balance development of urban and rural areas.
目的1978年以来,中国通过产业升级取得了巨大的经济成就。然而,在取得这些成就的同时,城乡之间的收入差距也在扩大。本文的目的是检验中国产业结构与城乡收入不平等之间的关系。通过将总收入不平等分解为四个组成部分,分析了产业结构对每个组成部分的影响。研究结果表明,产业结构失衡和产业升级与城乡收入不平等呈正相关。产业失衡的积极影响主要来自于工资差距的扩大,而产业升级的积极影响则主要来自于企业收入不平等和财产性收入不平等的加剧。此外,产业平衡和升级有利于以财产性收入为代价提高工资性收入的份额。独创性/价值通过逐步研究总的不平等和收入组成部分的不平等,本文更好地理解了产业结构如何影响城乡收入不平等。这项研究的结果突出了与产业结构调整相关的“不平等成本”,为城乡平衡发展提供了与政策相关的见解。
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引用次数: 6
Unobservable land value in rural China and its microeconomic implication on land lease behavior 中国农村不可观测土地价值及其对土地租赁行为的微观经济学影响
IF 5.1 2区 经济学 Q1 AGRICULTURAL ECONOMICS & POLICY Pub Date : 2022-02-01 DOI: 10.1108/caer-05-2021-0100
Xu He, T. Sakurai
PurposeTotal farmland value exceeds its value in agriculture but is not directly perceptible to villagers in China. Thus, the exceeded part is often neglected when discussing farmer’s land transaction decision. This study aims to revisit the question about how land titling project affects farmer’s land renting-out and investigate how this unobservable land value would distort the intentional effects of land titling.Design/methodology/approachThis paper first modifies a two-period model by incorporating the unobservable part of land value into the farmers’ leasing decision problem. Following the implications from the theoretical analysis, this study then exploits the difference-in-differences and the triple-differences approach to confirm the distorting effects that are resulted from the unobservable land value.FindingsThe modified theoretical model of this study reveals that land titling would encourage farmers to rent out land when the unobservable land value is predicted to be low but discourage farmers’ willingness to rent-out when this value is predicted to be high. The core reason for this significant conclusion lands in the uncertainty of the unobservable land value. Empirical analysis then provided two evidences for this presumption. Furthermore, this study also gave a disproof of the argument that the uncovered discouraging effect is due to a stronger endowment effect.Originality/valueThis paper contributes to the literature by highlighting the unobservable land value in the farmers’ land-related decisions. This part of land value is always neglected in previous discussions about the land tenure system, but it would cause distorting effects especially in regions without private land ownership.
目的农田总价值超过其在农业中的价值,但中国村民无法直接感知。因此,在讨论农民土地交易决策时,往往忽略了超额部分。本研究旨在重新审视土地所有权项目如何影响农民的土地出租的问题,并调查这种不可观测的土地价值如何扭曲土地所有权的故意影响。设计/方法论/方法本文首先通过将土地价值的不可观测部分纳入农民租赁决策问题来修改两个时期的模型。根据理论分析的启示,本研究利用差异和三重差异方法来确认不可观测土地价值产生的扭曲效应。研究结果本研究的修正理论模型表明,当不可观测的土地价值预计较低时,土地所有权会鼓励农民出租土地,但当该价值预计较高时,会抑制农民出租土地的意愿。得出这一重要结论的核心原因在于不可观测土地价值的不确定性。实证分析为这一假设提供了两个证据。此外,本研究还反驳了未发现的劝阻效应是由于更强的禀赋效应引起的论点。原创性/价值本文通过强调农民土地相关决策中不可观测的土地价值,为文献做出了贡献。这部分土地价值在以前关于土地保有制度的讨论中总是被忽视,但它会造成扭曲效应,尤其是在没有私人土地所有权的地区。
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引用次数: 0
How large is the farm income loss due to climate change? Evidence from India 气候变化造成的农业收入损失有多大?来自印度的证据
IF 5.1 2区 经济学 Q1 AGRICULTURAL ECONOMICS & POLICY Pub Date : 2022-01-27 DOI: 10.1108/caer-11-2020-0275
R. Kalli, P. Jena
PurposeClimate change is the most concerned issue in the global economy; increase in climate variability and uncertain climate events have caused distress in agriculture sector. The study estimates economic effect of climate change on agriculture income for the Indian state of Karnataka. The study reports the difference of result from past studies, where estimates from present study indicate higher negative impact of rise in temperature.Design/methodology/approachFixed effect panel regression method was used to examine change in agriculture revenue to climate response. Climate variables were classified based on the crop calendar to capture the damage caused by climate change. The authors use fine scale climate data set constructed at regional context for 20 districts and time period of 21 years (1992–2012).FindingsThe result showed that with 1-degree rise in average maximum temperature, the revenue declined by 17–21%. The prediction behavior of the different models was evaluated using out-of-sample forecast approach by training and testing historical data set.Originality/valueThe study adopts recent data sets on agriculture and the updated climate variables to estimate the climate change impact on agriculture. The study yields the better results when compared to previous traditional models applied in literature in Indian context. The study further evaluates the prediction behavior and robustness of the estimated models using out-of-sample forecast method.
目的气候变化是全球经济中最受关注的问题;气候变异性的增加和不确定的气候事件给农业部门带来了困境。该研究估计了气候变化对印度卡纳塔克邦农业收入的经济影响。该研究报告了与过去研究结果的差异,目前研究的估计表明温度上升的负面影响更大。设计/方法/方法固定效应面板回归法用于检验农业收入对气候变化的影响。根据作物日历对气候变量进行分类,以捕捉气候变化造成的损害。作者使用了在区域背景下构建的21年(1992-2012)的精细尺度气候数据集。结果表明,随着平均最高气温上升1度,收入下降了17-21%。通过训练和测试历史数据集,使用样本外预测方法评估不同模型的预测行为。原创性/价值该研究采用了最新的农业数据集和最新的气候变量来估计气候变化对农业的影响。与之前在印度背景下应用于文学的传统模型相比,这项研究产生了更好的结果。该研究使用样本外预测方法进一步评估了估计模型的预测行为和稳健性。
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引用次数: 6
Mutual proximity and heterogeneity in peer effects of farmers' technology adoption: evidence from China's soil testing and formulated fertilization program 农民技术采用对等效应的相互接近性和异质性:来自中国土壤试验和配方施肥方案的证据
IF 5.1 2区 经济学 Q1 AGRICULTURAL ECONOMICS & POLICY Pub Date : 2022-01-24 DOI: 10.1108/caer-10-2020-0250
Zhigang Xu, Kerong Zhang, Li Zhou, Ruiyao Ying
PurposeWhile the peer effects of technology adoption are well established, few studies have considered the variation in peer effects resulting from the mutual proximity between leaders and followers and the heterogeneity of farmers' learning technology. This study addresses the gap in the literature by analyzing the peer effects of technology adoption among Chinese farmers.Design/methodology/approachDrawing on a government-led soil testing and formulated fertilization program, this study uses survey data of farmers from three Chinese provinces to examine the peer effects of technology adoption. This study uses a probit model to examine how mutual proximity influences peer effects and their heterogeneity. Accordingly, farmers were divided into two groups, namely small- and large-scale farmers, and then into leaders or followers depending on whether they were selected by the government as model farmers.FindingsBoth small- and large-scale farmers are more likely to use formula fertilizer if their peers do so. However, a large-scale farmer is more likely to adopt formula fertilizer if the average adoption behavior of other large-scale model (leader) farmers is higher, while a small-scale farmer is more likely to adopt formula fertilizer if other small-scale non-model (follower) farmers have higher average adoption behavior. Moreover, the peer effect was weakened by geographic distance among small-scale farmers and by economic distance among large-scale farmers.Originality/valueThis study elucidates the means of optimizing social learning and technology adoption among farmers.
目的虽然技术采用的同伴效应已经确立,但很少有研究考虑到领导者和追随者之间的相互接近以及农民学习技术的异质性所导致的同伴效应的变化。本研究通过分析中国农民技术采用的同伴效应来弥补文献的空白。设计/方法/方法本研究借鉴政府主导的土壤测试和制定的施肥计划,使用来自中国三个省份的农民调查数据来检验技术采用的对等效应。本研究使用probit模型来检验相互接近如何影响同伴效应及其异质性。因此,农民被分为小农和大农两类,然后根据是否被政府选为模范农民,分为领导者和追随者。如果他们的同伴使用配方肥料,那么小规模和大规模的农民都更有可能使用配方肥料。然而,如果其他大规模模式(领导)农户的平均采用行为更高,则大户农户更倾向于采用配方肥,而如果其他小规模非模式(追随者)农户的平均采用行为更高,则小户农户更倾向于采用配方肥。此外,小农之间的地理距离和大农之间的经济距离削弱了同伴效应。原创性/价值本研究阐明了优化农民社会学习和技术采用的方法。
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引用次数: 9
How agricultural economists are using big data: a review 农业经济学家如何使用大数据:综述
IF 5.1 2区 经济学 Q1 AGRICULTURAL ECONOMICS & POLICY Pub Date : 2022-01-19 DOI: 10.1108/caer-09-2021-0167
Liang Lu, Guang Tian, Patrick L. Hatzenbuehler
PurposeThe purpose of this paper is to describe the main ways in which large amounts of information have been integrated to provide new measures of food consumption and agricultural production, and new methods for gathering and analyzing internet-based data.Design/methodology/approachThis study reviews some of the recent developments and applications of big data, which is becoming increasingly popular in agricultural economics research. In particular, this study focuses on applications of new types of data such as text and graphics in consumers' online reviews emerging from e-commerce transactions and Normalized Difference Vegetation Index (NDVI) data as well as other producer data that are gaining popularity in precision agriculture. This study then reviews data gathering techniques such as web scraping and data analytics tools such as textual analysis and machine learning.FindingsThis study provides a comprehensive review of applications of big data in agricultural economics and discusses some potential future uses of big data.Originality/valueThis study documents some new types of data that are being utilized in agricultural economics, sources and methods to gather and store such data, existing applications of these new types of data and techniques to analyze these new data.
目的本文的目的是描述整合大量信息以提供食品消费和农业生产新指标的主要方式,以及收集和分析基于互联网的数据的新方法。设计/方法论/方法本研究回顾了大数据的一些最新发展和应用,大数据在农业经济学研究中越来越受欢迎。特别是,本研究重点关注电子商务交易中消费者在线评论中的文本和图形等新型数据的应用,以及归一化差异植被指数(NDVI)数据以及其他在精准农业中越来越受欢迎的生产者数据。然后,这项研究回顾了数据收集技术,如网络抓取和数据分析工具,如文本分析和机器学习。本研究全面回顾了大数据在农业经济中的应用,并讨论了大数据未来的一些潜在用途。原创性/价值本研究记录了农业经济学中使用的一些新型数据、收集和存储此类数据的来源和方法、这些新型数据的现有应用以及分析这些新数据的技术。
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引用次数: 2
Liquidity of China’s agricultural futures market: measurement and cross-market dependence 中国农产品期货市场流动性:计量与跨市场依赖
IF 5.1 2区 经济学 Q1 AGRICULTURAL ECONOMICS & POLICY Pub Date : 2022-01-14 DOI: 10.1108/caer-05-2021-0099
Yuanyuan Xu, Jian Li, Linjie Wang, Chongguang Li
PurposeThis paper aims to present the first empirical liquidity measurement of China’s agricultural futures markets and study time-varying liquidity dependence across markets.Design/methodology/approachBased on both high- and low-frequency trading data of soybean and corn, this paper evaluates short-term liquidity adjustment in Chinese agricultural futures market measured by liquidity benchmark and long-term liquidity development measured by liquidity proxies.FindingsBy constructing comparisons, the authors identify the seminal paper of Fong, Holden and Trzcinka (2017) as the best low-frequency liquidity proxy in China’s agricultural futures market and capture similar historical patterns of the liquidity in soybean and corn markets. The authors further employ Copula-generalized autoregressive conditional heteroskedasticity models to investigate liquidity dependence between soybean and corn futures markets. Results show that cross-market liquidity dependence tends to be dynamic and asymmetric (in upper versus lower tails). The liquidity dependence becomes stronger when these markets experience negative shocks than positive shocks, indicating a concern on the contagion effect of liquidity risk under negative financial situations.Originality/valueThe findings of this study provide useful information on the dynamic evolution of liquidity pattern and cross-market dependence of fastest-growing agricultural futures in the largest emerging economy.
目的本文首次对中国农产品期货市场的流动性进行实证测量,并研究跨市场流动性的时变依赖性。设计/方法论/方法基于大豆和玉米的高频和低频交易数据,评估了以流动性基准衡量的中国农业期货市场短期流动性调整和以流动性代理衡量的长期流动性发展。通过构建比较,作者将Fong、Holden和Trzcinka(2017)的开创性论文确定为中国农业期货市场的最佳低频流动性代理,并捕捉到大豆和玉米市场流动性的相似历史模式。作者进一步使用Copula广义自回归条件异方差模型来研究大豆和玉米期货市场之间的流动性依赖性。结果表明,跨市场流动性依赖往往是动态的和不对称的(上尾部与下尾部)。当这些市场经历负面冲击时,流动性依赖性比正面冲击更强,这表明人们担心在负面金融情况下流动性风险的传染效应。原创性/价值本研究的发现为最大的新兴经济体中增长最快的农业期货的流动性模式和跨市场依赖性的动态演变提供了有用的信息。
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引用次数: 3
期刊
China Agricultural Economic Review
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