Home Price Dependence between Different Beef Cuts and Quality Grades: A Copula Approach at the Retail Level for the U.S. Beef Industry
Article
Licensed
Unlicensed Requires Authentication

Price Dependence between Different Beef Cuts and Quality Grades: A Copula Approach at the Retail Level for the U.S. Beef Industry

  • Dimitrios Panagiotou EMAIL logo and Athanassios Stavrakoudis ORCID logo
Published/Copyright: March 17, 2015

Abstract

The objective of this study is to assess the degree and the structure of price dependence between different cuts of the beef industry in the USA. This is pursued using the statistical tool of copulas. To this end, it utilizes retail monthly data of beef cuts, within and between the quality grades of Choice and Select, over the period 2000–2014. For the Choice quality grade, there was evidence of asymmetric price co-movements between all six pairs of beef cuts under consideration. No evidence of asymmetric price co-movements was found between the three pairs of beef cuts for the Select quality grade. For the pairs of beef cuts formed between the Choice and Select quality grades, the empirical results point to the existence of price asymmetry only for the case of the chuck roast cut.

Keywords: Q11; C13; L66

References

Berg, D. 2009. “Copula Goodness-of-Fit Testing: An Overview and Power Comparison.” The European Journal of Finance 15:675–701.10.1080/13518470802697428Search in Google Scholar

Brechmann, E. C., and U. Schepsmeier. 2013a. “Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine.” Journal of Statistical Software 52:1–27.10.18637/jss.v052.i03Search in Google Scholar

Brechmann, E. C., and U. Schepsmeier. 2013b. “Modeling Dependence with C-and D-Vine Copulas: The R-Package CDVine.” Journal of Statistical Software 52:1–27.10.18637/jss.v052.i03Search in Google Scholar

Bureau of Labor Statistics. 2014. “Consumer Price Indices.” Accessed July 7, 2014. http://data.bls.gov/cgi-bin/srgate.Search in Google Scholar

Byrd, R. H., P. Lu, J. Nocedal, and C. Zhu. 1995. “A Limited Memory Algorithm for Bound Constrained Optimization.” SIAM Journal on Scientific Computing 16:1190–1208.10.2172/204262Search in Google Scholar

Chen, X., and Y. Fan. 2006. “Estimation of Copula-Based Semiparametric Time Series Models.” Journal of Econometrics 130:307–335.10.1016/j.jeconom.2005.03.004Search in Google Scholar

Choroś, B., R. Ibragimov, and E. Permiakova. 2010. “Copula Estimation.” In Copula Theory and Its Applications, 77–91. Berlin, Heidelberg: Springer.10.1007/978-3-642-12465-5_3Search in Google Scholar

Dißmann, J., E. Brechmann, C. Czado, and D. Kurowicka. 2013. “Selecting and Estimating Regular Vine Copulae and Application to Financial Returns.” Computational Statistics & Data Analysis 59:52–69.10.1016/j.csda.2012.08.010Search in Google Scholar

Durante, F., and C. Sempi. 2010. “Copula Theory: An Introduction.” In Copula Theory and Its Applications, 3–31. Berlin, Heidelberg: Springer.10.1007/978-3-642-12465-5_1Search in Google Scholar

Emmanouilides, C., P. Fousekis, and V. Grigoriadis. 2013. “Price Dependence in the Principal EU Olive Oil Markets.” Spanish Journal of Agricultural Research 12(1):3–14.10.5424/sjar/2014121-4606Search in Google Scholar

Emmanouilides, C. J., and P. Fousekis. 2014. “Vertical Price Dependence Structures: Copula-Based Evidence from the Beef Supply Chain in the USA.” European Review of Agricultural Economics. Published online. doi:10.1093/erae/jbu006.Search in Google Scholar

Gaißer, S., M. Ruppert, and F. Schmid. 2010. “A Multivariate Version of Hoeffding’s Phi-Square.” Journal of Multivariate Analysis 101:2571–86.10.1016/j.jmva.2010.07.006Search in Google Scholar

Genest, C., and W. Huang. 2012. “A Regularized Goodness-of-Fit Test for Copulas.” Journal de la Société Française de Statistique & Revue de Statistique Appliquée 154:64–77.Search in Google Scholar

Genest, C., B. Rémillard, and D. Beaudoin. 2009. “Goodness-of-Fit Tests for Copulas: A Review and a Power Study.” Insurance: Mathematics and Economics 44:199–213.10.1016/j.insmatheco.2007.10.005Search in Google Scholar

Ghalanos, A. 2014. “Rugarch: Univariate GARCH Models.” R Package Version 1.3-4.Search in Google Scholar

Goodwin, B., and M. Holt. 1999. “Price Transmission and Asymmetric Adjustment in the Us Beef Sector.” American Journal of Agricultural Economics 81:630–637.10.2307/1244026Search in Google Scholar

Hofert, M., I. Kojadinovic, M. Maechler, and J. Yan. 2014. “Copula: Multivariate Dependence with Copulas.” http://CRAN.R-project.org/package=copula, r package version 0.999-12.Search in Google Scholar

Jordanger, L. A., and D. Tjøstheim. 2014. “Model Selection of Copulas: AIC Versus a Cross Validation Copula Information Criterion.” Statistics & Probability Letters 92:249–255.10.1016/j.spl.2014.06.006Search in Google Scholar

Yan, J. 2007. “Enjoy the Joy of Copulas: With a Package Copula.” Journal of Statistical Software 21:1–21. http://www.jstatsoft.org/v21/i04/.10.18637/jss.v021.i04Search in Google Scholar

Kojadinovic, I., J. Yan, M. Holmes. 2011. “Fast Large-Sample Goodness-of-Fit Tests for Copulas.” Statistica Sinica 21:841–871.10.5705/ss.2011.037aSearch in Google Scholar

Leick, C., J. Behrends, T. Schmidt, and M. Schilling. 2012. “Impact of Price and Thickness on Consumer Selection of Ribeye, Sirloin, and Top Loin Steaks.” Meat Science 91(1):8–13.10.1016/j.meatsci.2011.11.021Search in Google Scholar

Manner, H. 2007. “Estimation and Model Selection of Copulas with an Application to Exchange Rates.” Technical Report. http://arnop.unimaas.nl/show.cgi?fid=9426.Search in Google Scholar

Meucci, A. 2011. “A Short, Comprehensive, Practical Guide to Copulas (May 20, 2011).” GARP Risk Professional 22–7. October 2011. Available at SSRN: http://ssrn.com/abstract=1847864 or http://dx.doi.org/10.2139/ssrn.1847864.10.2139/ssrn.1847864Search in Google Scholar

Nash, J. C. 2014. “On Best Practice Optimization Methods in R.” Journal of Statistical Software 60(2):1–14. http://www.jstatsoft.org/v60/i02.10.18637/jss.v060.i02Search in Google Scholar

Nash, J. C., and R. Varadhan. 2011. “Unifying Optimization Algorithms to Aid Software System Users: Optimx for R.” Journal of Statistical Software 43:1–14.10.18637/jss.v043.i09Search in Google Scholar

Nelsen, R. B. 2007. An Introduction to Copulas. New York, NY: Springer.Search in Google Scholar

Patton, A. J. 2012. “A Review of Copula Models for Economic Time Series.” Journal of Multivariate Analysis 110:4–18.10.1016/j.jmva.2012.02.021Search in Google Scholar

Pozo, V. F., T. C. Schroeder, and L. J. Bachmeier. 2013. “Asymmetric Price Transmission in the US Beef Market: New Evidence from New Data.” Proceedings of the NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. St. Louis, MO. Available at: http://www.farmdoc.illinois.edu/nccc134Search in Google Scholar

Qiu, F., and B. Goodwin. 2012. “Asymmetric Price Transmission: A Copula Approach.” Annual Meeting, August 12–14, 2012, Seattle, Washington, Agricultural and Applied Economics Association.Search in Google Scholar

R Core Team. 2014. R: A Language and Environment for Statistical Computing. Vienna, Austria: R Foundation for Statistical Computing. http://www.R-project.org/.Search in Google Scholar

Reboredo, J. C. 2012. “Do Food and Oil Prices Co-Move?” Energy Policy 49:456–467.10.1016/j.enpol.2012.06.035Search in Google Scholar

Savu, C., and M. Trede. 2010. “Hierarchies of Archimedean Copulas.” Quantitative Finance 10:295–304.10.1080/14697680902821733Search in Google Scholar

Sklar, A. 1959. “Fonctions de Repartition a N Dimensions et Leurs Marges.” Publicatons de L‘Institut Statistique de L‘Universite de Paris 8:229–31.Search in Google Scholar

United States Department of Agriculture. 2014. “Cattle and Beef.” Accessed July 7, 2014. http://www.ers.usda.gov/topics/animal-products/cattle-beef.aspx.Search in Google Scholar

United States Department of Agriculture – Agricultural Marketing Service. 1997. “United States Standards for Grades of Carcass Beef.” http://www.ams.usda.gov/AMSv1.0/getfile?dDocName=STELDEV3002979.Search in Google Scholar

United States Department of Agriculture – Economic Research Service. 2014. “Retail Prices for Beef, Pork, Poultry Cuts, Eggs, and Dairy Products.” Accessed July 7, 2014. http://www.ers.usda.gov/data-products/meat-price-spreads.aspx.Search in Google Scholar

Published Online: 2015-3-17
Published in Print: 2016-1-1

©2016 by De Gruyter

Downloaded on 11.9.2025 from https://www.degruyterbrill.com/document/doi/10.1515/jafio-2015-0001/html
Scroll to top button