Browsing by Author "Legrand, Nicolas"

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    Essays on Adapting to Extreme Shocks: Local Market Correlations and Global Agricultural Trade Responses to Weather and Yield Variability
    Zheng, Yixing (Virginia Tech, 2024-12-23)
    This dissertation explores how extreme events, climate, and yield variability affect local agricultural markets and global agricultural trade, offering insights to improve resilience and adaptability. It comprises three chapters. The first chapter analyzes the co-movement of corn basis returns among six local market pairs in North Carolina during extreme events using Extreme Value Theory (EVT). By focusing on the basis, this paper investigates the local market correlations that reflect local market conditions. Results show stronger lower-tail correlations than upper tails, with Candor and Cofield reaching 0.76 during negative shocks, indicating asymmetric price-setting behavior. These findings highlight the reliance on shared infrastructure, emphasizing the need for coordinated risk management, supply chain resilience, and targeted insurance policies. The study also reveals non-normal, asymmetric tail distributions, underscoring the limitations of standard time series models that assume normal and symmetric residuals to capture extreme market correlations. The second chapter examines the significant direct effects of growing season, area-weighted weather shocks on wheat and corn exports and imports. A 1 ◦C rise in exporter temperatures reduces exports by 4.6%, while a 1 ◦C increase in importer temperatures raises imports by 3.7%. Similarly, a 1 mm increase in precipitation reduces exports and imports by 3%. Exporters prioritize domestic markets during weather shocks, with lower-income countries being particularly vulnerable to these disruptions. The third chapter investigates how bystander countries—unaffected exporters and import-reliant countries—adjust their trade in response to yield shocks in major wheat-exporting countries. Argentina demonstrates significant trade adjustments with its importers in response to both current and lagged yield shocks of major wheat exporters, potentially due to its export structure. Import-reliant countries with more diversified sourcing exhibit smaller trade adjustments, indicating the importance of diversification as a resilience strategy. These findings stress the importance of supportive policies and infrastructure to enhance global trade resilience and adaptation to extreme yield and weather shocks.
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    The Role of Storage in Commodity Markets: Indirect Inference Based on Grains Data
    Gouel, Christophe; Legrand, Nicolas (2025)
    We develop an indirect inference approach relying on a linear supply and demand model serving as an auxiliary model to provide the first full empirical test of the rational expectations commodity storage model. We build a rich storage model that incorporates a supply response and four structural shocks and show that exploiting information on both prices and quantities is critical for relaxing previous restrictive identifying assumptions and assessing the empirical consistency of the model’s features. Finally, we carry out a structural estimation on the aggregate index of the world’s most important staple food products. Our estimations show that supply shocks are the main drivers of food market dynamics and that our storage model is consistent with most of the moments in the data, including the high price persistence so far the subject of a long-standing puzzle.