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Zmienność cen pszenicy w Unii Europejskiej

Author

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  • Hamulczuk, Mariusz
  • Klimowski, Cezary

Abstract

Observed increased volatility of world commodity prices causes an increase of risk exposure. Thus market participants can not achieve the desired value of their goal function. The aim of this research was an assessment of wheat prices volatility in selected EU member states. Results of the analysis indicate a dispersion of volatility among the analyzed countries which is to some extent caused by the data aggregation effect. Lack of normality of log returns of the price series indicates a high possibility of outliers’ existence. Volatility of wheat prices is conditional which implies a need of using special risk measures. / Synopsis. Obserwowany wzrost zmienności cen na światowych rynkach rolnych powoduje coraz większą ekspozycję na ryzyko cenowe wpływając na możliwość niezrealizowania pożądanego poziomu wartości funkcji celu podmiotów rynkowych. Celem opracowania była ocena zmienności cen pszenicy w wybranych krajach UE jako podstawy szacowania ryzyka cenowego. Przeprowadzone badania wskazują na występowanie różnic w zmienności, przy czym w znacznej części są one pochodną agregacji danych. Brak normalności rozkładów zmian stóp zwrotu cen wskazuje na duże prawdopodobieństwo pojawiania się obserwacji odstających. Zmienność cen pszenicy ma charakter warunkowy, co implikuje konieczność stosowania odpowiednich miar szacunków zmienności.

Suggested Citation

  • Hamulczuk, Mariusz & Klimowski, Cezary, 2011. "Zmienność cen pszenicy w Unii Europejskiej," Problems of World Agriculture / Problemy Rolnictwa Światowego, Warsaw University of Life Sciences, vol. 11(26), pages 1-12, December.
    • Handle: RePEc:ags:polpwa:195339
    DOI: 10.22004/ag.econ.195339
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