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Dynamique du prix international du coton : aléas, aversion au risque et chaos

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  • Yankou Diasso

Abstract

While the recent spike in commodity prices revived the debate on the endogenous versus exogenous fluctuations explanation, we show in this paper that the two phenomena are present together in the dynamics of the monthly cotton prices. Our application of chaos detecting tools (correlation dimension, Lyapunov exponents) on the price series shows the existence of auto-generated fluctuations. But the ARCH effect test also confirms the existence of randomness. So we used a combined model of chaotic stochastic processes (Mackey-Glass ? EGARCH) inspired by the theory of heterogeneous agents to reproduce the prices? characteristics. Our results suggest that the complex dynamics of prices could be caused by the heterogeneity of farmers? expectations. JEL classification : C22, E32, O13.

Suggested Citation

  • Yankou Diasso, 2014. "Dynamique du prix international du coton : aléas, aversion au risque et chaos," Recherches économiques de Louvain, De Boeck Université, vol. 80(4), pages 53-86.
    • Handle: RePEc:cai:reldbu:rel_804_0053
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products

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