Agricultural Liberalization Policy and Commodity Price Volatility: A GARCH Application
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Abstract
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DOI: 10.22004/ag.econ.132337
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Other versions of this item:
- Jian Yang & Michael Haigh & David Leatham, 2001. "Agricultural liberalization policy and commodity price volatility: a GARCH application," Applied Economics Letters, Taylor & Francis Journals, vol. 8(9), pages 593-598.
Citations
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Cited by:
- Sibanjan Mishra, 2019. "Testing Martingale Hypothesis Using Variance Ratio Tests: Evidence from High-frequency Data of NCDEX Soya Bean Futures," Global Business Review, International Management Institute, vol. 20(6), pages 1407-1422, December.
- Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
- Maitre d'Hotel, Elodie & le Cotty, Tristan & Jayne, Thomas S., 2012.
"Is A Public Regulation Of Food Price Volatility Feasible In Africa? An Arch Approach In Kenya,"
123rd Seminar, February 23-24, 2012, Dublin, Ireland
122551, European Association of Agricultural Economists.
- Elodie Maître d'Hôtel & Tristan Le Cotty & Thomas Jayne, 2012. "Is a public regulation of food price volatility feasible in Africa? An arch approach in Kenya," Post-Print hal-00801361, HAL.
- Chan, Kam C. & Fung, Hung-Gay & Leung, Wai K., 2004. "Daily volatility behavior in Chinese futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 491-505, December.
- Mr. Shaun K. Roache, 2010. "What Explains the Rise in Food Price Volatility?," IMF Working Papers 2010/129, International Monetary Fund.
- Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis, 2011. "Volatility Trends and Optimal Portfolios: the Case of Agricultural Commodities," DEOS Working Papers 1113, Athens University of Economics and Business.
- Čermák, M. & Malec, K. & Maitah, M., 2017. "Price Volatility Modelling – Wheat: GARCH Model Application," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 9(4).
- Jian Yang & Titus Awokuse, 2003.
"Asset storability and hedging effectiveness in commodity futures markets,"
Applied Economics Letters, Taylor & Francis Journals, vol. 10(8), pages 487-491.
- Yang, Jian & Awokuse, Titus O., 2002. "Asset Storability And Hedging Effectiveness In Commodity Futures Markets," Staff Papers 15826, University of Delaware, Department of Food and Resource Economics.
- Alan Woodland & Kishti Sen, 2010. "The volatility of Australian traded goods' prices," Applied Economics, Taylor & Francis Journals, vol. 42(30), pages 3849-3869.
- Mittal, S & Hariharan, VK & Subash, SP, 2018. "Price volatility trends and price transmission for major staples in India," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 31(1).
- Elodie Maître d'Hôtel & Tristan Le Cotty & Thom Jayne, 2013.
"Trade Policy Inconsistency and Maize Price Volatility: An ARCH Approach in Kenya,"
African Development Review, African Development Bank, vol. 25(4), pages 607-620.
- Elodie Maître d'Hôtel & Tristan Le Cotty & Thom Jayne, 2013. "Trade Policy Inconsistency and Maize Price Volatility: An ARCH Approach in Kenya," African Development Review, African Development Bank, vol. 25(4), pages 607-620, December.
- Elodie Maître d'Hôtel & Tristan Le Cotty & Thom Jayne, 2013. "Trade Policy Inconsistency and Maize Price Volatility: An ARCH Approach in Kenya," Post-Print hal-00946226, HAL.
- Daria Loginova & Marco Portmann & Martin Huber, 2021.
"Assessing the Effects of Seasonal Tariff‐rate Quotas on Vegetable Prices in Switzerland,"
Journal of Agricultural Economics, Wiley Blackwell, vol. 72(2), pages 607-627, June.
- Daria Loginova & Marco Portmann & Martin Huber, 2020. "Assessing the effects of seasonal tariff-rate quotas on vegetable prices in Switzerland," Papers 2012.02966, arXiv.org.
- Loginova, Daria & Portmann, Marco & Huber, Martin, 2021. "Assessing the effects of seasonal tariff-rate quotas on vegetable prices in Switzerland," FSES Working Papers 521, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Xiaojie Xu & Yun Zhang, 2023. "Coking coal futures price index forecasting with the neural network," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 36(2), pages 349-359, June.
- Robert Finger & Nadja El Benni, 2012. "A Note on Price Risks in Swiss Crop Production – Empirical Results and Comparisons with other Countries," Journal of Socio-Economics in Agriculture (Until 2015: Yearbook of Socioeconomics in Agriculture), Swiss Society for Agricultural Economics and Rural Sociology, vol. 5(1), pages 131-151.
- Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 1-9, March.
- Naveen Musunuru, 2016. "Examining Volatility Persistence and News Asymmetry in Soybeans Futures Returns," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(4), pages 487-500, December.
- Wang, Lu & Wu, Rui & Ma, WeiChun & Xu, Weiju, 2023. "Examining the volatility of soybean market in the MIDAS framework: The importance of bagging-based weather information," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in international dairy commodity markets," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 65(3), pages 704-728, July.
- Millon, Lara & Barré, Kévin & Julliard, Romain & Compère, Pierre & Kerbiriou, Christian, 2021. "Calculation of biodiversity level between different land-uses to improve conservation outcomes of biodiversity offsetting," Land Use Policy, Elsevier, vol. 101(C).
- Apperson, George P., 2017. "Agricultural Commodity Futures Price Volatility: A Market Regulatory Policy Study," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258210, Agricultural and Applied Economics Association.
- Cong, Ren & Lo, Alex Y., 2017. "Emission trading and carbon market performance in Shenzhen, China," Applied Energy, Elsevier, vol. 193(C), pages 414-425.
- Kilima, Fredy & Chung, Chanjin & Kenkel, Philip L. & Mbiha, Emanuel, 2004. "The Impact Of Market Reforms On Spatial Volatility Of Maize Price In Tanzania," 2004 Annual meeting, August 1-4, Denver, CO 20332, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Georg V. Lehecka, 2014. "Have food and financial markets integrated?," Applied Economics, Taylor & Francis Journals, vol. 46(18), pages 2087-2095, June.
- Anthony N. Rezitis & Konstantinos S. Stavropoulos, 2010. "Supply response and price volatility in the Greek broiler market," Agribusiness, John Wiley & Sons, Ltd., vol. 26(1), pages 25-48.
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