Volatility in Cereal Prices: Intra- Versus Inter-annual Volatility

被引：22

作者：

Ott, Herve ^{[1
,2
]}

机构：

[1] Thuenen Inst, Braunschweig, Germany

[2] European Commiss, Joint Res Ctr, Inst Prospect Technol Studies, Seville, Spain

来源：

JOURNAL OF AGRICULTURAL ECONOMICS | 2014年 / 65卷 / 03期

关键词：

Agricultural commodities; cereal price volatility; instrumental variables; pooled GMM estimates; unit root tests; UNIT-ROOT TESTS; COMMODITY; ESTIMATORS; IMPACT;

D O I：

10.1111/1477-9552.12073

中图分类号：

F3 [农业经济];

学科分类号：

0202 ; 020205 ; 1203 ;

摘要：

Intra-annual (within crop year) price volatility and inter-annual (between crop years) price volatility are measured for wheat, maize, rice, barley, oats and rye. A set of explanatory variables is used in a pooled regression to explain variations in these price volatilities. With low cereal stocks, supply (yield) shocks (defined here as volatilities, as for the price volatilities) mostly influence inter-annual volatility while other influential factors are the crude oil price and exchange rate. Cereal demand and interest rate shocks combined with low stocks affect intra-annual volatility, while other explanatory factors include exchange rate and crude oil price shocks. The derivatives market activity appears to have no significant effect on either intra-or inter-annual volatility. In contrast, large cereal stocks and a well-functioning international cereal market reduce the effects of shocks in the explanatory variables on both intra-and inter-annual volatilities.

引用

页码：557 / 578

页数：22

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