Recent Publications

2018

Gutierrez L (2018) Benefits and Disadvantages of Commodity Financialization: Selected Agricultural Experiences, in Jégourel Y., The Financialization of Commodity Markets: A Short-lived Phenomenon?  OCP Policy Center, ISBN 978-9954-9717-8-9

2017

Gutierrez L (2017) Impacts of El Niño-Southern Oscillation on the wheat market: A global dynamic analysis. PLoS ONE 12(6): e0179086. https://doi.org/10.1371/journal.pone.0179086

2016

Gutierrez L. (2016). Panel stationary tests against changes in persistence. (with R. Cerqueti,M. Costantini and J. Westerlund). Statistical Papers, DOI: 10.1007/s00362-016-0864-6

2015

Gutierrez L. (2015). A Global VectorAutoregression model for the analysis of the wheat export prices. (with F.Piras and P. P. Roggero). American Journal of Agricultural Economics, 97(5): 1494-1511

2013

Gutierrez L. (2013). Speculative bubbles in agricultural commodities markets. European Review of Agricultural Economics, 40(2): 217-238. Editor's Choice!

2012

Gutierrez L. (2012). Bootstrap innovational outlier unit root tests in dependent panels. (with Mauro Costantini). Economics Letters, 117(3), 817–819.

Gutierrez L. (2012). Spatial and non spatial approaches to  agricultural convergence in Europe (with Maria Sassi). Economia e Diritto Agroalimentare, XVII(1): 9-38.

2011

Gutierrez L. (2011). Bootstrapping Asset Price Bubbles. Economic Modelling,  28(6): 2488-2493.

Gutierrez L. (2011). L’ottovolante dei prezzi agricoli internazionali: Up-down-up and what next? (with Roberto Fanfani). Economia e Diritto Agroalimentare, XVI(2): 169-181.

2010

Gutierrez L. (2010). Bolla speculativa o meccanismi di mercato? Alcune riflessioni sulla dinamica dei prezzi agricoli, in F. De Filippis e D. Romano, eds Crisi Economica e Agricoltura, Quaderni Gruppo 2013, Maggio 2010.

Gutierrez L. (2010). The Economic Impact of Public Support to Agriculture: An International Perspective (R. Fanfani, E. Ball, L. Gutierrez, eds), New York : Springer.

Gutierrez L. (2010) The Behaviour of Relative Food Prices: An Analysis Across the European Countries  (with Cristina Brasili and Roberto Fanfani), in R. Fanfani, E. Ball, L. Gutierrez, eds, The Economic Impact of Public Support to Agriculture: An International Perspective,  New York : Springer.

Gutierrez L. (2010). Simple tests for cointegration in panels with structural breaks, Applied Economics Letters, 17(2): 197-200.

2009

Gutierrez L. (2009) Sampling at different frequencies and the power of panel unit root tests, Economics Letters, 102(1) : 59-61. Hootest article in Economics Letters Oct-Dec. 2008

Gutierrez L. (2009) Technical efficiency of the Sardinia cork industry: a stochastic frontier approach, (with M. Gutierrez). In S. Zapata, ed., Cork oak woodlands and cork industry: present, past an future, Barcellona: Museo del Suro de Palafrugell.

2008

Gutierrez L. (2008). Competitiveness in Agriculture and Food Industry: US and EU Perspectives. (R. Fanfani, E. Ball, L. Gutierrez, E. Ricci Maccarini eds). Bologna: Bonomia University Press.

2007

Gutierrez L. (2007). Panel data analysis of export-led growth hypothesis. (with Indira Romero), Working Paper Cepal, october 2007.   (in spanish) 

Gutierrez L. (2007). Farmland prices, structural breaks and panel data (with Joakim Westerlund and Ken Erickson). European Review of Agricultural Economics, 34(2):   161-179.

Gutierrez L. (2007). Simple panel unit root tests to detect change in persistence  (with Mauro Costantini), Economics Letters, 96(3): 363-368.

Gutierrez L. (2007). Convergence in the agricultural incomes: a comparison between the US and EU (with Cristina Brasili and Roberto Fanfani). Economia e Diritto Agroalimentare, XII(1), 59-78.

2006

Gutierrez L. (2006). Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison, Oxford Bulletin of Economics and Statistics, 68(4), 519-540.

2005

Gutierrez L. (2005). Some notes on convergence. In C. Brasili, ed. Structural changes and economic convergence in the European regions, Bologna: CLEUP. (in italian).

Gutierrez L. (2005). Common trends and convergence. In C. Brasili, ed. Structural changes and economic convergence in the European regions, Bologna: CLEUP. (in italian).

2003

Gutierrez L. (2003). International R&D spillovers and productivity growth in the agricultural sector: A panel cointegration approach. (with Michele M. Gutierrez). European Review of Agricultural Economics, 30(3): 281-303

Gutierrez L. (2003). On the power of panel cointegration tests. A Monte Carlo comparison. Economics Letters, 80(1): 105-111. Ranking 16 of the most requested articles 2003 

2002

Gutierrez L. (2002). Borrowing constraints and the agricultural investment decision process, Agribusiness: An International Journal, 8(1): 101-114.

Gutierrez L. (2002), Why is agricultural labour productivity higher in some countries than others?, Agricultural Economics Review, 3(1): 58-78

2000

Gutierrez L.(2000), Convergence in the EU and USA agriculture, European Review of Agricultural Economics, 27(2): 187-206.

 1999

Gutierrez L. (1999), Agricultural productivity growth and convergence among countries, Cahiers d’Economie et Sociologie Rurales, 53: 3-48.

 

Email me (info@gutierrezluciano.net) if you want copies of any of these papers


Impacts of El Niño-Southern Oscillation on the wheat market: A global dynamic analysis. PLoS ONE

Abstract

Although the widespread influence of the El Niño-Southern Oscillation (ENSO) occurrences on crop yields of the main agricultural commodities is well known, the global socio-economic consequences of ENSO still remain uncertain. Given the global importance of wheat for global consumption by providing 20% of global calories and nourishment, the monitoring and prediction of ENSO-induced variations in the worldwide wheat market are essential for allowing national governments to manage the associated risks and to ensure the supplies of wheat for consumers, including the underprivileged. To this end, we propose a global dynamic model for the analysis of ENSO impacts on wheat yield anomalies, export prices, exports and stock-to-use ratios. Our framework focuses on seven countries/regions: the six main wheat-exporting countries—the United States, Argentina, Australia, Canada, the EU, and the group of the main Black Sea export countries, i.e. Russia, Ukraine, and Kazakhstan—plus the rest of the world. The study shows that La Niña exerts, on average, a stronger and negative impact on wheat yield anomalies, exports and stock-to-use ratios than El Niño. In contrast, wheat export prices are positively related to La Niña occurrences evidencing, once again, its steady impact in both the short and long run. Our findings emphasize the importance of the two ENSO extreme phases for the worldwide wheat market.

Keywords : Global dynamic models, Wheat market, El Niño-Southern Oscillation

EL classification: G14, Q14, C12, C15.


Panel stationary tests against changes in persistence. Statistical Papers,

Abstract

In this paper we propose new panel tests to detect changes in persistence. The test statistics are used to test the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1), from I(1) to I(0), and in an unknown direction. The limiting null distributions of the tests are derived and evaluated in small samples by means of Monte Carlo simulations. An empirical illustration is also provided.

Keywords : Persistence, Stationarity, Panel data

JEL classification: C12, C22.


A Global VectorAutoregression model for the analysis of the wheat export prices. American Journal of Agricultural Economics

Abstract

Food commodity price fluctuations have an important impact on poverty and food insecurity across the world. Conventional models have not provided a complete picture of recent price spikes in agricultural commodity markets, while there is an urgent need for appropriate policy responses. Perhaps new approaches are needed in order to better understand international spill-overs, the feedback between the real and the financial sectors and also the link between food and energy prices. In this article we present the results from a new worldwide dynamic model that provides the short and long-run impulse responses of the international wheat price to various real and financial shocks.

Keywords : Global dynamic models, Price analysis, Wheat market

JEL classification: G14, Q14, C12, C15.


Speculative bubbles in agricultural commodities markets, European Review of Agricultural Economics, 40(2): 217-238. Editor's Choice!

Abstract

Numerous factors have been proposed in the literature as explaining the recent commodity price movements. In this paper we focus on the impact of speculative bubbles on commodity prices. We investigate whether commodity prices might have deviated from their intrinsic values, which are based on market fundamentals, during the recent price spike of 2007-2008. We use a bootstrap methodology to compute the finite sample probability distribution of the tests recently proposed in Phillips, Wu and Yu (2011) and Phillips and Yu (2009b). Monte-Carlo simulations show that the bootstrap methodology works well, and allows us to identify explosive processes and collapsing bubbles for three of the four analyzed agricultural commodity futures markets, i.e. wheat, corn and rough rice. There was less evidence of price exuberance in soybeans prices.

Keywords : Commodity Prices, Bubbles, Bootstrap, Unit Root Tests.

JEL classification: G14, Q14, C12, C15.


Bootstrap innovational outlier unit root tests in dependent panels, (with Mauro Costantini), Economics Letters, 117(3), 817–819.

Abstract

In this paper we propose new simple innovational outlier (IO) panel unit root tests with break. A bootstrap method for dealing with cross-sectional dependence is provided and small sample properties of the bootstrap tests are investigated by Monte Carlo experiments. The panel innovational outlier unit tests are then applied to a panel of 22 OECD inflation rates.

Keywords : Nonstationary panel data, Structural break, Innovational outlier model, Bootstrap.

JEL classification: C22, C23.


Spatial and non spatial approaches to  agricultural convergence in Europe (with Maria Sassi). Economia e Diritto Agroalimentare, XVII(1): 9-38.

Abstract

The paper starts from the critiques to the Barro-style methodology for convergence analysis with the aim of reviewing the econometric approaches for testing spatial effects in convergence process related to both cross sectional and panel data regressions, a framework that is applied to a sample of 80 regions of the EU-15 at NUTS-2 level over the time period from 1980 to 2007. The empirical analysis compares results from approaches and, at the same time, provides empirical evidence from techniques that are now widely recognised in the understanding of regional growth and the influence of space but never or rarely applied to the agricultural context. Results point out the complexity of the process of agricultural regional convergence in Europe that cannot be adequately captured by the non-spatial growth regression models that have dominated the research and policy debate in this field.

Keywords : Convergence,  Spatial approaches, Non spatial approaches.

JEL classification: C21, C33, Q19.


Bootstrapping Asset Price Bubbles, Economic Modelling, 28(6): 2488-2493.

Abstract

In this paper we propose a method that allows to test for asset prices bubbles. The method is mainly based on a bootstrap methodology which helps to compute the finite sample probability distribution of the asymptotic tests which were recently proposed in Phillips et al. (2011) and Phillips and Yu (2009). We apply the method to the Nasdaq stock price index and Case-Shiller house price index. The results indicate that speculation was behind the upsurge in both asset prices.

Keywords :  Rational Bubbles, Bootstrap, Nonstationary tests.

JEL classification: G14, C12, C15.


Simple tests for cointegration in panels with structural breaks, Applied Economics Letters, 17(2): 197-200.

Abstract

In the paper we extend Gregory and Hansen’s (1996a; 1996b)  cointegration tests to panel data, using the method proposed in Maddala and Wu (1999). We test the null hypothesis of no cointegration for all the units in the panel against the alternative hypothesis of cointegration, while allowing for a one-time structural break of unknown timing for at least some regressions.  We derive the panel tests for  tests and compare them with Pedroni’s (1999) panel cointegration tests. We show that Gregory and Hansen’s (1996a; 1996b) like panel tests have higher power to reject null when there is a structural change in the cointegration regression. We apply the statistics to the analysis of the well known Feldstein-Horioka puzzle for a sample of sixteen OECD countries. After we allow for a structural break in the cointegration regression, we find strong evidence of cointegration between saving and investment rates.

Keywords :  Panel cointegration tests, Structural breaks, Meta-Analysis, Feldstein-Horioka puzzle

JEL classification:  C22, C23, F32, F41.


Sampling at different frequencies and the power of panel unit root tests, Economics Letters, 102(1) : 59-61

Abstract

This paper consider the effect of changing sampling frequencies on the empirical power of Im et al. (2003) "first generation" panel unit root test, and Pesaran (2007) and Moon and Perron (2004) "second generation" panel unit root tests. We show using Monte carlo experiment that panel data with high sampling frequency can provide significant improvement in the finite empirical power of both types of panel unit root tests, especially when the panel has a small number of cross-sections N.

Keywords :  Sampling frequency; Empirical power, Panel unit root tests.

JEL Classification: C22 .


Panel data analysis of export-led growth hypothesis. (with Indira Romero), Working Paper Cepal, october 2007

Abstract

The main objective of this document is to show the application of modern econometric techniques, and compare the results obtained from non-stationary time series technique against those from the non-stationary panel date technique applied to a specific macroeconomic problem such as the export-led growth hypothesis.From the results of the country-by-country analysis we found evidence in favor of the export-led growth hypothesis only for 5 countries out of 40. On the other hand, using panel data techniques we found that the hypothesis holds for our sample. However, this result is valid once we impose a homogeneity assumption on the cointegration coefficients. These findings suggest caution, at least in the derivation of political economy recommendations respect to the export-led growth hypothesis.

Keywords :  Panel non stationary analysis, Export-led growth hypothesis.

JEL classification:  C22.


Farmland prices, structural breaks and panel data (with Joakim Westerlund and Ken Erickson). European Review of Agricultural Economics, 34(2): 161-179.

Abstract

Earlier time series evidence indicates that farmland prices and cash rents are non-cointegrated, a finding at odds with the present value model of farmland prices. This paper argues that this absence of cointegration may be due to low power of tests and to the presence of structural change representing a shifting risk premium on farmland investments. To accommodate this possibility, recently proposed panel unit root and cointegration methods are employed. These are more powerful than conventional time series methods and allow for breaks in the cointegration relationship. In contrast to much of the earlier evidence, the results reported in this paper based on a large panel comprised of 31 U.S. states between 1960 and 2000 suggest that the present value model of farmland prices cannot be rejected when tested using these new methods.

Keywords: Farmland prices; Present value model; Non-stationary panel data analysis; Structural breaks.

JEL Classification: C22; C23; G12; Q14.

Dataset


Simple panel unit root tests to detect change in persistence  (with Mauro Costantini), Economics Letters, 96(3): 363-368.

Abstract

This paper extends a set of recursive ADF unit root tests for single time series proposed in Banerjee et al. (1992) and recently investigated in Taylor (2005) to panel data. Recursive unit root tests for each individual series and the associated rejection probabilities are computed. The inverse normal test (or Z test) suggested by Choi (2001) is then developed. Small sample properties of the recursive tests are investigated by Monte Carlo experiments. We show that they have good properties under the hypothesis that the individual series are cross-sectionally independently distributed.

Keywords: Panel data, Panel unit root tests, Structural breaks.

JEL Classification: C22, C23.


Convergence in the agricultural incomes: a comparison between the US and EU (with Cristina Brasili and Roberto Fanfani), Economia e Diritto Agroalimentare, XII(1), 59-78.

Abstract

In this paper we compare the changes in farm incomes in EU regions and US States between 1989 and 2002. The aim of this comparative analysis is highlight the patterns of convergence or divergence and how they differ over time. We use two recent analytical instruments: non-stationary panel analysis and dynamic distribution analysis. Both tools overcome the problems involved in using standard cross-section analysis. The results of the non-stationary panel analysis show that the EU regions are converging, and that family farm income per hectare is converging faster than net added value. In the US states the analysis shows that substantial differences in farm income persist, and there are no evident signs of convergence. In brief, there were more changes in farm income in the EU between and 1989 and 2002 than in the USA.

Keywords: Convergence, Panel data, Dynamic distribution analysis, Panel unit root tests.

EL Classifications: O47, R11, R23.


Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison,  Oxford Bulletin of Economics and Statistics, 68(4), 519-540.

Abstract

This paper deals with the finite sample performance of a set of unit root tests for cross correlated panels. As is well known, univariate tests are not powerful to reject the null of a unit root for the usual economic variables while panel tests, by exploiting the large number of cross-section units,  provide a device to increase the power of unit root tests. We investigate the finite sample properties of recently proposed panel unit root tests for cross-sectionally correlated panels. Specifically,  the size and power of Choi’s (2002), Bai and Ng’s (2003), Moon and Perron’s (2003), and Phillips and Sul’s (2003) tests are analyzed by a Monte Carlo simulation study. In synthesis, Moon and Perron’s (2003) tests show good size and power for different values of T and N and model specifications. Focusing on Bai and Ng’s (2003) procedure, the simulation study highlights first that the suggested ADF test for the nonstationary analysis of the common factor lack of power, and secondly the simulation shows that the pooled Dickey-Fuller-GLS test provides higher power than the pooled ADF test for the analysis of nonstationary properties of the idiosyncratic components. Choi’s (2002) tests are strongly oversized when the common factor influences the cross-section units heterogeneously. Finally, all the tests lack  power when a deterministic trend is included in the data generating process.  

Keywords : Panel unit root tests, Cross section dependence, Monte Carlo Simulation

JEL classification:  C2, C3, C5


Gutierrez L. (2003) International R&D spillovers and productivity growth in the agricultural sector: A panel cointegration approach. (with Michele M. Gutierrez).European Review of Agricultural Economics, 30(3): 281-303.

Abstract

This paper analyses, within the new growth theory framework and using panel cointegration techniques, the effect of agricultural international technological spillovers on total factor productivity growth for a sample of 47 countries during the period 1970-1992. The analysis shows that total factor productivity is strongly influenced by domestic as well as foreign public R&D spending in agricultural sector and geographical factors matters. Countries located in temperate zones benefit more than countries located in tropical zones from technological spillovers. Finally, the analysis shows that the rate of return to agricultural R&D spending is higher in tropical countries and this could justify new support and an even greater investment of funds for agricultural  R&D for these countries. 

Keywords : Technology spillover, agricultural productivity, panel cointegration.

JEL classification: C14, O30, Q16.


Gutierrez L. (2003). On the power of panel cointegration tests. A Monte Carlo comparison. Economics Letters, 80(1): 105-111.

Abstract

This paper enlarges on Karlsson and Löthgren’s (2000) results on panel unit root tests to panel cointegration tests. We show that for homogeneous panel, Kao’s (1999) tests have higher (lower) power than Pedroni’s (1999) tests when a small-T (high-T) number of observations are included in the panel and both tests show better performance than Larsson et al. (2001) test. In addition, depending on the T-dimension of the panel, cointegration tests can have high power when a small or high fraction of the relationships are cointegrated. This result suggests that when rejecting the null hypothesis of no cointegration for the whole panel not all the relationships can be really cointegrated. 

Keywords: Panel data, Panel cointegration tests. 

JEL classification: C22; C23.


Gutierrez L. (2002). Borrowing constraints and the agricultural investment decision process, Agribusiness: An International Journal, 8(1): 101-114.

Abstract

This paper develops a dynamic intertemporal model under the hypothesis of asymmetric information for the analysis of the rate of investment in the agricultural sector. The model stresses the importance of borrowing constraints for the investment decision of firms. Using the model we derive, following the Abel and Blanchard’s (1986) approach,  an estimate for marginal Tobin’s Q. We find that this series is positively and strongly related to the agricultural rate of investment in Italy during the period 1960-1996.

 Keywords: investment, Tobin-Q, borrowing constraints, user cost of capital.

JEL Classifications: Q14, E62, E22.


Gutierrez L. (2002). Why is agricultural labour productivity higher in some countries than others?, Agricultural Economics Review, 3(1): 58-78.

Abstract

Agriculture productivity varies dramatically in different regions of the world. Using recent theories of economic growth and recently provided data sets, this study finds some empirical regularities between agricultural labour productivity growth, investment and education, as well as environmental factors, for 44 countries during the period 1980-1993. I find strong evidence that where agricultural investment and educated people rates are higher, agricultural labour productivity grows faster. Secondly, geographical factors as well as freer trade influence growth.  Finally, I find evidence of conditional convergence, which means that cross-country agricultural productivity does not converge to the same level of steady-state but that productivity in each country converges to its own long-run equilibrium. 

Keywords: growth, trade, labour productivity, convergence.

JEL Classifications: O47, Q18, R11.


Gutierrez L. (2000). Convergence in the EU and USA agriculture, European Review of Agricultural Economics, 27(2), 187-206.

Abstract

This paper finds strong and robust evidence of convergence of labour productivity in the agricultural sector across all USA states and 11 EU countries during the period 1970-1992. Moreover, it was found that off-farm migration has a positive effect on the speed of convergence, especially for the EU rate of convergence. Holding off-farm migration rate constant, a stronger speed of convergence for EU countries, 2.9 per cent per year, compared to 1.9 per cent for US states was estimated. A 2.9 per cent convergence speed signifies that EU countries will need about 10 years to eliminate one-quarter of the gap between a country's initial output per worker and its own steady-state and half a century to eliminate three quarter of the gap. The transition interval is then finite, but it will take a long period of time.

Keywords: growth, labour productivity, convergence, migration.

JEL Classifications: O47, R11, R23.


Gutierrez L. (1999), Agricultural productivity growth and convergence among countries, Cahiers d’Economie et Sociologie Rurales, 53, 3-48.

Abstract

Agriculture productivity varies dramatically in different regions of world. New intellectual interest has been shown and new efforts have been made to analyse the sources of agricultural growth in recent years. The article considers three questions. First, has labour productivity in the agricultural sector been converging in the last twenty years? Second, which factors influence growth in the agricultural sectors? Third, have member countries of regional trade agreements benefited from spillover or agglomeration effects by growing faster? We find evidence of conditional convergence for a broad sample of countries, but the convergence rate is very low. Other things being equal, countries with higher amounts of technical inputs and more educated people grow faster. There is evidence that the European Union has stimulated productivity.

Keywords: growth, labour productivity, convergence.

JEL Classification: O47, R11, R23