Dochody gospodarstw rolnych a ryzyko walutowe Cezary Klimkowski Instytut Ekonomiki Rolnictwa i Gospodarki Żywnościowej Państwowy Instytut Badawczy
Presentation plan A few words about theory Impact of PLN/EUR on selected price indexes Exchange rate and subsidies Foreign exchange risk in Polish agriculture Conclusions
Definicje Kurs walutowy cena waluty krajowej wyrażona w walucie obcej Ryzyko walutowe prawdopodobieństwo uzyskania dochodów innych (mniejszych) od planowanych w wyniku zmian wartości waluty krajowej
World and domestic prices Domestic price Domestic price Domestic price Domestic price Pk 1 Pk 1 Pk 2 World price A. Autarky P 1 P 2 World price B. Trade restrictions: tariffs P 1 P 2 World price C. B. Trade restrictions: quotas World price D. Open economy
The power of the economy World and domestic prices relation Trade openess Open In-beetwen Autarky Large Considerable Considerable Zero Small Full Considerable Zero
Systemy kursowe Sposób ustalania kursu walutowego: Kursy stałe: Izba walutowa (currency board) System kursu bez własnej waluty (no separate legal tender) Kursy pośrednie: Właściwy kurs stały (conventional peg) K. stały w przedziale wahań (pegged ex. r. with horizontal bends) K. stabilizowany (stabilized arrangement) K. pełzający (crawling peg) K. zbliżony do pełzającego (crawl-like arrangement) Kursy płynne: K. płynne (floating) K. całkowicie płynny (free-floating)
Systemy kursowe w Europie w roku 2014
Exchange rate impact PLN=4EUR on domestic prices 150 100 100 50 0 20 40 40-50 -100-80 Costs Revenue Subsidies Income Consumption expenses
Exchange rate impact on domestic prices PLN=4EUR PLN=5EUR PLN=3EUR 150 125 100 100 75 50 40 40 20 25 50 50 15 30 30 0-50 -100-60 -80-100 Costs Revenue Subsidies Income Consumption expenses
Selected determinants of the level of Exchange Rate Pass-Through Behaviour of economic agents (producer/local currency pricing) Homogeneity of tradable goods (the larger homogeneity the stronger ERPT) Variablity of exchange rate (the larger variability the lower ERPT) Existence of non-tradable goods
Exchange rate impact on domestic prices PLN=4EUR PLN=5EUR PLN=3EUR 150 125 100 100 75 50 50 40 40 45 20 25 15 20 35 0-50 -100-70 -80-90 Costs Revenue Subsidies Income Consumption expenses
The aim of the price analysis To prove that Exchange Rate Pass-Through (ERPT) for agricultural products differ significantly from ERPT for agricultural means of production If this is true exchange rate changes matters and foreign exchange risk influence farmers income in Poland
Data Monthly indexes of prices of selected agricultural products and agricultural means of production: Indexes based on prices from France (in euro) and from Poland (in polish zloty) Exchange rate PLN/EUR Analyzed sector: I 2010 XII 2015 Each time series are logarythmized
Methods ADF and KPSS test -> stationarity AIC (Akaike) or BIC (Bayesian) -> VAR length Johansen test -> cointegration VECM -> Error Correction Term and its coeeficients
Results Analyzed index Cointegration Error-correction term β-coeeficients POL Exch Rate FRA α-coefficient (the pace of adjustment to longterm equilibrium) Cereals YES 1-1,16-1,01-0,470*** Diary YES 1-0,93-0,97-0,389** Urea YES 1-1,20-0,68-0,079*** NPK fertilizier NO - - - Feedingstuff-pigs YES 1-0,27-0,76-0,093* Feedingstuff-hens YES 1-0,26-0,95-0,102*** Machines NO - - - Tractores YES 1-10,34 3,99-0,008*** Fuel NO - - -
EU wheat prices [euro/ton] 300,00 6 250,00 5 200,00 4 150,00 3 100,00 2 50,00 1 0,00 sty 04 sty 05 sty 06 sty 07 sty 08 sty 09 sty 10 sty 11 sty 12 sty 13 sty 14 Wheat PLN/EUR 0
EU wheat prices changes [month-to-month] 1,40 1,30 1,20 1,10 1,00 0,90 Wheat Seria 2 0,80 0,70 0,60 sty 04 sty 05 sty 06 sty 07 sty 08 sty 09 sty 10 sty 11 sty 12 sty 13 sty 14
EU wheat prices index [month-to-month] 60 40 20 0 Wheat
month-to-month Index 100 50 0 Wheat EUR/PLN
month-to-month indexes 100 50 0 100 50 0 100 50 0 UE Rye EUR/PLN 100 50 0 Pig livestock EUR/PLN UE Cattle livestock UE Butter EUR/PLN
Exchange rate and agricultural income Value of sold production + Other revenues - Costs referring to agricultural production + Subsidies - Taxes - Other costs Income
Average Polish farm income in 2013 (according to FADN) Average 40000 30000 20000 10000 0-10000 -20000-30000
Simulation Ec Size Production Costs Depreciation Decoupled Payments Other Subsidies Income (1) 7457 5258 2018 1593 827 2601 (2) 18752 12516 3857 2962 1510 6851 (3) 43265 27831 6984 5336 2744 16530 (4) 90510 59484 12035 9167 4903 33061 (5) 285291 213831 23518 19530 9065 76537 (6) 1631058 1518390 120462 136022 46862 175090
Simulation Ec Size Income Income (10% depreciation) Change (%) Income (10% appreciation) Change (%) (1) 2601 3401 31% 1801-47% (2) 6851 8772 28% 4930-44% (3) 16530 20833 26% 12227-41% (4) 33061 41839 27% 24283-42% (5) 76537 102742 34% 50332-51% (6) 175090 321430 84% 28750-91%
Conclusions: Exchange Rate Pass-Through is much higher for agricultural products than for agricultural means of production Exchange rate strongly influence farmers income through price and value of subsidies change The biggest farms are the most dependant on exchange rate movements
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