Papers by Seung-Ryong Yang
World free trade increases durum production in the United States, has little impact on Canada, an... more World free trade increases durum production in the United States, has little impact on Canada, and decreases French durum production. France cannot compete with the United States due to higher production costs. U.S. exports increase, while French exports decrease.
Journal of futures markets, 1995
Knowing the price distribution is important in financial economics. Equilibrium models such as th... more Knowing the price distribution is important in financial economics. Equilibrium models such as the capital asset pricing model, option pricing models, and portfolio models of asset allocation are based on assumptions about the distribution of prices. Much research has attempted to approximate the return generating process in futures markets. Two important findings have emerged. First, the unconditional distribution of most futures returns is leptokurtic [e.g., Cornew, Town, and Crowson (1984); Hall, Brorsen, and Irwin (1 989)]. A leptokurtic, or fat-tailed, distribution has more observations around the mean and in the extreme tails than a normal distribution. In practice, this implies that extremely high or low returns are more likely than with a normal distribution. Second, most futures returns are conditionally heteroskedastic [e.g., Connolly (1989); Fujihara and Park (1990); Yang and Brorsen (1993)l. This implies that current return variability can be explained by past information. Further, the conditional heteroskedasticity guarantees unconditionally
Daily cash price changes are not normally distributed. Their empirical distributions have fat tai... more Daily cash price changes are not normally distributed. Their empirical distributions have fat tails and most are skewed. In addition, they are not independent. Among the diffusion-jump, extended generalized autoregressive conditional heteroskedasticity (GARCH), and deterministic chaos processes, a GARCH process with residuals following a student distribution is the most likely. Our GARCH model reduces leptokurtosis, removes nonlinear dependence, and provides a considerable improvement over the i.i.d. normal model. The GARCH process is not well calibrated because it cannot explain all the observed nonnormality, but it does yield asymptotically valid hypothesis tests. Key words: conditional heteroskedasticity, deterministic chaos, diffusion-jump, leptokurtosis, market anomalies, skewness. Daily price data have been used to study lags between cash and futures prices (Oellermann and Farris; Brorsen, Bailey, and Richardson), ana-lyze spatial price discovery (Spriggs, Kaylen, and Bessler)...
Institute of Life Science and Natural Resources
Statistical Series Reports, 1991
Journal of Agricultural and Resource Economics, 1991
This study examines three alternative models of correcting for heteroskedasticity in wheat yield:... more This study examines three alternative models of correcting for heteroskedasticity in wheat yield: the time trend variance, the GARCH, and an econometric model that includes the potential sources of heteroskedasticity. Nonnested test results suggest that modeling the sources of heteroskedasticity is the preferred procedure. Including potential sources of heteroskedasticity as explanatory variables removed the heteroskedasticity in the sample wheat yields. The results also suggest that the GARCH specification is a promising model of correcting for heteroskedasticity when the sources cannot be identified. The time trend variance model alone may misspecify the true variance structure.
ACKNOWLEDGMENTSThe authors wish to acknowledge the contribution of the clerical andprofessional s... more ACKNOWLEDGMENTSThe authors wish to acknowledge the contribution of the clerical andprofessional staff of the Department of Agricultural Economics who haveparticipated in the preparation of this report.Special thanks is due to Ms. Jean Ah Puck for typing this manuscript.We also express our thanks to Ms. Charlene Lucken for her editorialsuggestions.
The objective of this paper is to analyze the current and future food security situations under c... more The objective of this paper is to analyze the current and future food security situations under climate change using the food security index developed by Yang and Kim, KUFSI. The KUFSI comprises of three components: production capability, economic affordability, and food availability in the world market. The KUFSI is applied to four major grains (rice, wheat, corn, and soybeans). We first predict the domestic production capability under the Representative Concentration Pathway 8.5 (or simply RCP 8.5) scenario recently released by the IPCC of UN. The scenario forecasts the world-wide temperature and precipitation from 2011 to 2099. With the information we predict the rice yield and production up to 2099. We then predict the consumption level and calculate the KUFSI for rice. This index together with KUFSI for the remaining three crops is used to calculate the KUFSI for Korea up to 2099. The results show that the climate change endangers the food security in Korea especially after 207...
Korean Journal of Agricultural Management and Policy
Korean Journal of Agricultural Management and Policy
Journal of Rural and Development, 2014
The objective of this study is to develop a food security index that is consistent with five prin... more The objective of this study is to develop a food security index that is consistent with five principles: boundedness, reliability, duplicability, applicability, and predictability. The index developed, called National Food Security Index (NFSI), is easy to interpret and comparable across time and among countries. The NFSI is composed of three components, physical availability, economic affordability, and market accessibility, and can be calculated in terms of calories as well as quantity. The NFSI measures a country’s capability of accessing the food it requires on a yearly basis. The index can be used to build early warning systems for individual countries.
Korean Journal of Organic Agricultue
Sustainability
Recently, in Korea, there have been some disturbing events forcing a trade-off between the expans... more Recently, in Korea, there have been some disturbing events forcing a trade-off between the expansion of agrophotovoltaic (APV) power plants and the agricultural policy to enhance the public benefit function of agriculture. Under this context, this study attempts to examine the public perception of agricultural landscape and the APV power plants and to analyze the impact of APV power plants on the amenity value of the agricultural landscape. The results of the analysis based on the choice experiment method shows that the marginal willingness-to-pay for a rural tourism accommodation with a ‘agricultural landscape view’ is USD 64.37 higher compared to ‘agrophotovoltaics panel view.’ This implies that the value of the agricultural landscape decreases when solar panels are installed on farmland, signifying the detrimental impact of the APV power plants on the multi-functionality of agriculture. If the installation of APVs is expanded to farmlands nationwide, the amenity value of agricult...
Korean Journal of Agricultural Management and Policy
Korean Journal of Agricultural Management and Policy
Korean Journal of Agricultural Management and Policy
Applied Economic Perspectives and Policy, 1996
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Papers by Seung-Ryong Yang