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Which factors drive which volatility in the grain sector?

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  • Ott, Herve
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    Abstract

    The 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 Info

    Paper provided by European Association of Agricultural Economists in its series 123rd Seminar, February 23-24, 2012, Dublin, Ireland with number 122486.

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    Date of creation: 23 Feb 2012
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    Handle: RePEc:ags:eaa123:122486

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    Keywords: volatility; agricultural commodities; Risk and Uncertainty; C26; C32; Q11;

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