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On the drivers of global grain price volatility: an empirical investigation

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  • Fabio Gaetano Santeramo
  • Emilia Lamonaca

    (University of Foggia, Foggia, Italy)

Abstract

Several drivers 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. 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 Gaetano Santeramo & Emilia Lamonaca, 2019. "On the drivers of global grain price volatility: an empirical investigation," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(1), pages 31-42.
  • Handle: RePEc:caa:jnlage:v:65:y:2019:i:1:id:76-2018-agricecon
    DOI: 10.17221/76/2018-AGRICECON
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    More about this item

    Keywords

    arbitrage; grain market; price dynamics; Seemingly Unrelated Regression Equations (SURE); shocks;
    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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