Volatility in US and Italian agricultural markets, interactions and policy evaluation
AbstractThe aim of this paper is to analyse the volatility and interactions among prices of agricultural commodities in Italy and US using the time series analysis. The cross market interactions are examined to test the hypothesis that the increased volatility of agricultural prices has been caused by crude oil price, then the cointegration and causality among different markets is also tested. For this analysis the spot prices of wheat, corn, soybeans in US and Italy and crude oil prices spanning from 2002 to 2010 are used. The results suggest the following considerations: i) the existence of causality in US markets with exogeneity of the oil on the US agricultural commodities, ii) evidence of cointegration between US and Italian commodities, suggesting a condition of market efficiency, iii) no evidence of cointegration between oil and Italian agri-commodities. The conclusion is that the oil volatility is transmitted to the US Ag- markets while US Ag- markets have influenced the volatility of the Italian agricultural markets.
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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 122530.
Date of creation: 23 Feb 2012
Date of revision:
time series analysis; agricultural commodity prices; linear and nonlinear Granger causality; market integration; Risk and Uncertainty; C14; C19; Q13;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
This paper has been announced in the following NEP Reports:
- NEP-AGR-2012-05-15 (Agricultural Economics)
- NEP-ALL-2012-05-15 (All new papers)
- NEP-CWA-2012-05-15 (Central & Western Asia)
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