Developing monthly agricultural export price indexes

Transcription

1 Developing monthly agricultural export price indexes Kirk Zammit, Chris Boult, Shiji Zhao & Liangyue Cao Australian Bureau of Agricultural and Resource Economics and Sciences Research by the Australian Bureau of Agricultural and Resource Economics and Sciences 1 December 2017

2 Outline Why ABARES developed this price index What are the main features of this price index? How did we construct the index? Results 2

3 Agriculture is highly export oriented Average values, to domestic consumption export $48b $7.4b $8.3b 78% 70% $4.4b 66% $1.2b 74% $1.5b 98% $2.6b 98% 41% Wheat Sugar Cotton lint Beef Wool Dairy products Total agricultural production 3

4 Existing indexes do not meet our needs Index ABS IPD ABS EPI RBA ICP ABARES unit returns Current weighted Paasche Annually weighted chained Laspeyres Annually weighted chained Laspeyres Annually weighted chained Fisher Weights Average of the most recent two years Average of the most recent two years Annual average Price data source Average export unit values (AUV) Survey and limited use of AUVs Indicator prices AUVs Coverage 100% 100% ~65% ~75% Subindexes Yes Yes No No Frequency Quarter Quarter Month Annual Classification BOP ANZSIC, BOP AHECC Top eight exports by value ABARES 4

5 Outline Why ABARES developed this price index What are the main features of this price index? How did we construct the index? Results 5

6 ABARES commodity classification Total agriculture Crops Livestock & livestock products Industrial crops Grains Oilseeds Pulses Horticulture Meat Live animals Wool & skins Dairy Wine Sugar Cotton Wheat Barley Sorghum Oats Maize Rice Canola Cottonseed Sunflower Safflower Soybeans Linseed Chickpeas Lupins Peas Other Fruit Tree nuts Vegetables Other Beef & veal Mutton Lamb Pig meat Poultry Feeder/ slaughter cattle Breeder cattle Live sheep Other Greasy wool Wool semi processed Sheep skins Butter Cheese Milk powders Other Peanuts 6

7 Source data average export unit values (AUV) Suited for agricultural products (homogeneous) Measure of prices received Comprehensive coverage Readily available 7

8 Monthly index Agricultural prices are volatile % -10 ABS implicit price deflator CPI Useful for analysis Can be aggregated 8

9 Outline Why ABARES developed this price index What are the main features of this price index? How did we construct the index? Results 9

10 We chose the Fisher index 225 Agricultural export price indexes Paasche Fisher Laspeyres Index Jul-90 Jul-93 Jul-96 Jul-99 Jul-02 Jul-05 Jul-08 Jul-11 Jul-14 Jul-17 10

11 The Fisher index controls for substitution bias 11

12 Positive relationship between price and quantity is more prevalent in Livestock & livestock products 60 Paasche - Laspeyres spread Livestock & livestock products Crops 10 ppt Jul-90 Jul-93 Jul-96 Jul-99 Jul-02 Jul-05 Jul-08 Jul-11 Jul-14 Jul-17 12

13 The Fisher index has desirable axiomatic properties Factor reversal Approximately consistent in aggregation 13

14 Controlling divergence between the Laspeyres and Paasche Indexes Paasche - Laspeyres spread Chained Unchained 4 ppt Jul-02 Jul-05 Jul-08 Jul-11 Jul-14 Jul-17 14

15 Fisher test of transitivity Fisher Direct Index Fisher Chained Index Index

16 But how frequently should we chain? Monthly Chaining Annual Chaining Unchained Fisher Index Jul-02 Jul-05 Jul-08 Jul-11 Jul-14 Jul-17 16

17 Construction of weights 17

18 Construction of weights Laspeyres Paasche Dec 2017 June 2016 June 2017 June

19 Outline Why ABARES developed this price index What are the main features of this price index? How did we construct the index? Results 19

20 Monthly agricultural export price indexes Livestock & livestock products All Agriculture Crops Index Jul-90 Jul-93 Jul-96 Jul-99 Jul-02 Jul-05 Jul-08 Jul-11 Jul-14 Jul-17 20

21 Monthly agricultural export price indexes USD AUD Index Jul-90 Jul-93 Jul-96 Jul-99 Jul-02 Jul-05 Jul-08 Jul-11 Jul-14 Jul-17 21

22 Subindexes crops Pulses Oilseeds Grains Industrial crops Index Jun-02 Jun-05 Jun-08 Jun-11 Jun-14 Jun-17 22

23 Subindexes livestock and livestock products Live animals Meat Dairy Wool and Skins 100 Index Jun-02 Jun-05 Jun-08 Jun-11 Jun-14 Jun-17 23

24 We would really appreciate your feedback on: 1. Chaining method 2. Construction of weights 3. Use of average unit values Thank you 24

25 agriculture.gov.au/abares

26 Export price index comparison 180 Export price indexes ABARES RBA Jul-1999 Jul-2002 Jul-2005 Jul-2008 Jul-2011 Jul-2014 Jul

27 Indicator prices Available monthly BUT: Difficult to build a comprehensive index Some indicator prices are approximate measures Each indicator price is measured differently Do not reflect the actual return to Australia 27

28 Cotton prices AUV Cotlook 'A' $/t Jul-99 Jul-02 Jul-05 Jul-08 Jul-11 Jul-14 Jul-17 28

29 Survey prices Gold standard BUT: No access/very expensive Only available on a quarterly basis 29

30 Index formulas 30