Distribution of Canadian Agricultural Program Payments
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1 Distribution of Canadian Agricultural Program Payments Janelle Mann and Brandon Schaufele Presented at the Risk Management Workshop November 6, 2017
2 BACKGROUND Papers that have studied Canada s agricultural payment programs with a focus primarily on efficiency (Rude and Ker, 2013; Vercammen, 2013; Schaufele, Unterschultz and Nilsson, 2010; Kimura, Anton et al., 2011) Here we investigate the distribution, or equity, of Canada s evolving agricultural payment programs Distribution of Canadian Agricultural Payments Mann and Schaufele
3 DATA Tax filer data from Statistics Canada All operations with a positive gross farm income within a year, divided into percentiles 3,000 operations per percentile in ,600 operations per percentile in 2006 Methods employ gross farm revenue data Distribution of Canadian Agricultural Payments Mann and Schaufele
4 METHOD Distribution of Canadian Agricultural Payments Mann and Schaufele
5 RESULTS Distribution of Canadian Agricultural Payments Mann and Schaufele
6 RESULTS Distribution of Canadian Agricultural Payments Mann and Schaufele
7 CONCLUSION Overall, a rule emerges from empirical analysis; the top quartile of farms earn 75% of all agricultural revenues and receive 90% of the program payments (approximate). Distribution of Canadian Agricultural Payments Mann and Schaufele
8 QUESTIONS TO PONDER Is this observed inequity due to program design? Simulation using cow-calf data indicates Kakwani index of compared to in observed data. What is driving the observed inequity? Do policy makers, producers, and tax payers care about equity? Distribution of Canadian Agricultural Payments Mann and Schaufele
9 Free Riding on Non-Index Funds Janelle Mann, Charles Grant, and Larry Rigaux Presented at the Risk Management Workshop November 6, 2017
10 BACKGROUND Phoenix Agri-Tec market information report includes the net speculative position of non-index funds Non-index funds (thinking funds) versus index funds (non-thinking funds) Non-index funds (thinking funds) often hold over 25% of total open interest
11 BACKGROUND
12 BACKGROUND
13 BACKGROUND ρ = *** ρ = *** ρ = *** ρ = ***
14 RESEARCH QUESTIONS Commodity traders, who are mainly hedgers would like to know: Do non-index fund (thinking funds) trading activities provide useful market signals? Are non-index funds (thinking funds) profitable?
15 DATA Weekly Tuesday aggregate futures positions held by non index funds published by the U.S. Commodity Futures Trading Commission Thank you Phoenix AgriTec for collecting and providing the data! Weekly Tuesday futures price from (post commodity boom, )
16 DATA Weekly Tuesday aggregate futures positions held by non index funds published by the U.S. Commodity Futures Trading Commission Thank you Phoenix AgriTec for collecting and providing the data! Weekly Tuesday futures price from (post commodity boom, ) Futures for soybeans, corn, and cattle are rolled over on the first Tuesday of the expiring futures month (deliverable contracts) whereas futures for hogs is rolled over on the third Tuesday of the expiring futures month (cash settled contract)
17 METHOD MARKET SIGNAL Do non-index fund (thinking funds) trading activities provide useful market signals? Granger causality following Toda and Yamamoto (1995) Y t = Nearby commodity futures price X t = Net speculative position for non-index funds H 0 : Net speculative positions for non-index funds do not Granger cause commodity futures prices H 1 : Net speculative positions for non-index funds Granger cause commodity futures prices
18 RESULTS MARKET SIGNAL Corn (p-value = ) and live hogs (p-value = ) Speculative positions for non-index funds (thinking funds) in and of itself do not provide any new / additional information for individual traders Soybeans (p-value = ) and live cattle (p-value = ) Speculative positions for non-index funds in and of itself do provide new / additional information for individual traders
19 METHOD - PROFITABILITY Are non-index funds (thinking funds) profitable?
20 METHOD - PROFITABILITY Are non-index funds (thinking funds) profitable?
21 RESULTS - PROFITABILITY
22 RESULTS - PROFITABILITY
23 RESULTS - PROFITABILITY
24 RESULTS - PROFITABILITY
25 CONCLUDING REMARKS Do non-index fund (thinking funds) trading activities provide useful market signals? Are non-index funds (thinking funds) profitable? Yes Soybeans and live cattle No Corn and lean hogs
26 CONCLUDING REMARKS Do non-index fund (thinking funds) trading activities provide useful market signals? Are non-index funds (thinking funds) profitable? Yes Soybeans and live cattle No Corn and lean hogs Additional contributions Roll-over method and profitability calculation Potential extensions Nonlinear Granger causality
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