Which factors drive which volatility in the grain sector?
AbstractThe present paper attempts to find empirical evidence on volatility in the grain sector (wheat, corn and soybean). The first challenge is to measure volatility. Intra-year volatility, inter-year volatility in level and return, also conditional volatility are defined and then calculated. The second challenge is to determine which factors impact volatility. The results show that depending on how volatility is measured, factors driving volatility are very different regarding their quantitative importance. Low stock to use ratio drives up mostly intra-year volatility but only moderately inter-year volatility and has almost no impact on conditional volatility. In contrast, a well functioning international market (trade flows without restriction) lowers considerable conditional volatility but has almost no effect on intra-year volatility.
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Bibliographic InfoPaper provided by European Association of Agricultural Economists in its series 123rd Seminar, February 23-24, 2012, Dublin, Ireland with number 122486.
Date of creation: 23 Feb 2012
Date of revision:
volatility; agricultural commodities; Risk and Uncertainty; C26; C32; Q11;
Find related papers by JEL classification:
- C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
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