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Price volatility and accuracy of price risk measurement depending on methods and data aggregation: The case of wheat prices in the EU countries

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  • Figiel, Szczepan
  • Hamulczuk, Mariusz
  • Klimkowski, Cezary

Abstract

In this paper we use weekly milling wheat price series for nine selected EU countries to evaluate levels and components of volatility in the period from July 2004 to April 2011 and to examine how sensitive the results can be to spatial aggregation of the price data. The prices were analyzed in levels and logarithmic rate of returns. To asses price risk, apart from basic measures of price variability, the price series were decomposed using multiplicative model in order to determine shares of seasonal and random components in the total variance of the prices. We also applied ARMAX model to separate the stochastic components of the price series to properly evaluate real price risk exposure and tested for ARCH and GARCH effects. We found considerable differences when comparing various price volatility measures calculated for the analyzed countries indicating that wheat price risk exposure may vary across the EU.

Suggested Citation

  • Figiel, Szczepan & Hamulczuk, Mariusz & Klimkowski, Cezary, 2012. "Price volatility and accuracy of price risk measurement depending on methods and data aggregation: The case of wheat prices in the EU countries," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122549, European Association of Agricultural Economists.
    • Handle: RePEc:ags:eaa123:122549
    DOI: 10.22004/ag.econ.122549
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    References listed on IDEAS

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    1. Dehn,Jan, 2000. "Commodity price uncertainty in developing countries," Policy Research Working Paper Series 2426, The World Bank.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Dong, Fengxia & Du, Xiaodong & Gould, Brian W., 2011. "Milk Price Volatility and its Determinants," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103617, Agricultural and Applied Economics Association.
    4. Jan Dehn, 2000. "Commodity Price Uncertainty in Developing Countries," Economics Series Working Papers WPS/2000-12, University of Oxford, Department of Economics.
    5. Jan Dehn, 2000. "Commodity price uncertainty in developing countries," CSAE Working Paper Series 2000-12, Centre for the Study of African Economies, University of Oxford.
    6. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Zaremba, Łukasz, 2017. "Vegetables Price Volatility in Poland – Onion and Carrot Case," Problems of World Agriculture / Problemy Rolnictwa Światowego, Warsaw University of Life Sciences, vol. 17(32, Part ), December.
    2. Larisa Nicoleta POP & Flavius ROVINARU & Mihaela ROVINARU, 2013. "Assessing The Price Risk On The Romanian Agricultural Market: Analyses And Implications," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, vol. 9, pages 469-479.
    3. Cezary Klimkowski, 2015. "Changes in selected polish agricultural price volatility," International Conference on Competitiveness of Agro-food and Environmental Economy Proceedings, The Bucharest University of Economic Studies, vol. 4, pages 86-95.

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    Keywords

    Risk and Uncertainty;

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