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On the Drivers of Global Grain Price Volatility : an empirical investigation

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  • Fabio G., Santeramo
  • Emilia, Lamonaca

Abstract

A vast number of studies examined the determinants of price volatility in agricultural markets. It is clear that the joint influence of several causes may generate market instability, but the partial contribution of different factors is still debated. We investigate how market-based drivers influence the global price volatility of three major grains: wheat, corn, barley. We adopt a Seemingly Unrelated Regression Equations model, in order to investigate potential common patterns and to control for the influence of external drivers. We compare inter-annual, intra-annual, and global volatility, to conclude on short-run and long-run dynamics of markets instability. We quantify the negative relationship linking (temporal) arbitrage and grain price volatility and conclude on the effects of supply movements on price volatility.

Suggested Citation

  • Fabio G., Santeramo & Emilia, Lamonaca, 2018. "On the Drivers of Global Grain Price Volatility : an empirical investigation," MPRA Paper 86795, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:86795
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    Cited by:

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    2. Piotr Bórawski & Marta Guth & Andrzej Parzonko & Tomasz Rokicki & Aleksandra Perkowska & James William Dunn, 2021. "Price volatility of milk and dairy products in Poland after accession to the EU," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(3), pages 111-119.
    3. Carlotta Penone & Samuele Trestini, 2022. "Testing for asymmetric cointegration of Italian agricultural commodities prices: Evidence from the futures-spot market relationship," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 68(2), pages 50-58.
    4. Puneet Vatsa & Dragan Miljkovic, 2022. "Energy and crop price cycles before and after the global financial crisis: A new approach," Journal of Agricultural Economics, Wiley Blackwell, vol. 73(1), pages 220-233, February.
    5. Samuele Trestini & Carlotta Penone, 2018. "Transmission of futures prices to the Italian spot market: Are there opportunities to hedge corn price risk?," Economia agro-alimentare, FrancoAngeli Editore, vol. 20(2), pages 193-204.
    6. Tan Ngoc Vu & Chi Minh Ho & Thang Cong Nguyen & Duc Hong Vo, 2020. "The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach," Agriculture, MDPI, vol. 10(4), pages 1-14, April.
    7. Harun Uçak & Yakup Ari & Esin Yelgen, 2022. "The volatility connectedness among fertilisers and agricultural crop prices: Evidence from selected main agricultural products," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 68(9), pages 348-360.
    8. Viganò, Elena & Maccaroni, Martina & Righi, Selene, 2022. "Finding the right price: supply chain contracts as a tool to guarantee sustainable economic viability of organic farms," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 25(3), January.
    9. MAJA JOKIC & BOGDAN LABAN & IVAN ARNAUTOVIc & DRAGANA POPOVIc & SLOBODAN POPOVIc, 2020. "The Importance Of Preparing An Internal Audit Report In Reporting To Top Management Of A Company That Makes Key Management Decisions In Its Work," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 2, pages 37-44, April.
    10. Dejan Živkov & Suzana Balaban & Marijana Joksimović, 2022. "Making a Markowitz portfolio with agricultural commodity futures," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 68(6), pages 219-229.
    11. Fabio Gaetano Santeramo & Emilia Lamonaca, 2021. "Food Loss–Food Waste–Food Security: A New Research Agenda," Sustainability, MDPI, vol. 13(9), pages 1-7, April.
    12. Carla Zarb? & Gioacchino Pappalardo & Roberta Selvaggi & Biagio Pecorino, 2023. "The EU agri-food system in the recent crisis scenarios," Economia agro-alimentare, FrancoAngeli Editore, vol. 2023(3), pages 87-107.

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    More about this item

    Keywords

    Volatility; Grain; Price; SUREG; Arbitrage;
    All these keywords.

    JEL classification:

    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q17 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agriculture in International Trade
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy; Animal Welfare Policy

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