Disentangling Corn Price Volatility: The Role of Global Demand, Speculation, and Energy
AbstractDespite extensive literature on contributing factors to the high commodity prices and volatility in the recent years, few have examined these causal factors together in one analysis.We quantify empirically the relative importance of three factors: global demand, speculation, and energy prices/policy in explaining corn price volatility. A structural vector auto-regression model is developed and variance decomposition is applied to measure the contribution of each factor in explaining corn price variation. We find that speculation is important, but only in the short run. However, in the long run, energy is the most important followed by global demand.
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Bibliographic InfoArticle provided by Southern Agricultural Economics Association in its journal Journal of Agricultural and Applied Economics.
Volume (Year): 44 (2012)
Issue (Month): 03 (August)
corn; global demand; energy; price volatility; speculation; structural vector autoregression; Marketing; Q11; C32; G2; Q4;
Find related papers by JEL classification:
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G2 - Financial Economics - - Financial Institutions and Services
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
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