Disentangling Corn Price Volatility: The Role of Global Demand, Speculation, and Energy
Despite extensive literature on contributing factors to the high commodity prices and volatility in the recent years, few have examined these causal factors together in one analysis.We quantify empirically the relative importance of three factors: global demand, speculation, and energy prices/policy in explaining corn price volatility. A structural vector auto-regression model is developed and variance decomposition is applied to measure the contribution of each factor in explaining corn price variation. We find that speculation is important, but only in the short run. However, in the long run, energy is the most important followed by global demand.
Volume (Year): 44 (2012)
Issue (Month): 03 (August)
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- Xiaodong Du and Lihong Lu McPhail, 2012.
"Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 2).
- Du, Xiaodong, 2012. "Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 125146, International Association of Agricultural Economists.
- Teguh Dartanto & Usman, 2011. "Volatility of World Soybean Prices, Import Tariffs and Poverty in Indonesia," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 5(2), pages 139-181, May. Full references (including those not matched with items on IDEAS)