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Explaining grain and oilseed price volatility: The role of export restrictions

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  • Rude, James
  • An, Henry

Abstract

This study examines the impact that export restrictions have had on price volatility. Food price volatility causes planning problems for policy makers and is disruptive to the food supply chain. An increasingly common response to stabilizing domestic prices is to implement export restrictions. However, if the country is a large enough exporter, the restriction can exacerbate global price volatility. Using price data on maize, wheat, rice and soy, we estimate the effect of export taxes and quantitative restrictions – as well as other macroeconomic variables – on price volatility. First, we use a univariate structural time series approach to remove regularities such as cycles and trends to yield an estimate of filtered price volatilities. Second, we regress the estimated volatilities from the first stage on a set of explanatory variables using a generalized method of moments (GMM) approach. The results from the GMM regression show that export restrictions implemented between 2006 and 2011 increased price volatility for wheat and rice but not maize and soybean. Simulation results show that the contribution of export restrictions to price volatility is the same order of magnitude as key macroeconomic variables.

Suggested Citation

  • Rude, James & An, Henry, 2015. "Explaining grain and oilseed price volatility: The role of export restrictions," Food Policy, Elsevier, vol. 57(C), pages 83-92.
  • Handle: RePEc:eee:jfpoli:v:57:y:2015:i:c:p:83-92
    DOI: 10.1016/j.foodpol.2015.09.002
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    References listed on IDEAS

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    Cited by:

    1. 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.
    2. Estrades, Carmen, 2015. "The Role of Export Restrictions in Agriculture Trade," 2015: Trade and Societal Well-Being, December 13-15, 2015, Clearwater Beach, Florida 229229, International Agricultural Trade Research Consortium.
    3. Santeramo, Fabio Gaetano & Lamonaca, Emilia & Contò, Francesco & Stasi, Antonio & Nardone, Gianluca, 2017. "Drivers of grain price volatility: a cursory critical review," MPRA Paper 79427, University Library of Munich, Germany.
    4. An, Henry & Qiu, Feng & Zheng, Yanan, 2016. "How do export controls affect price transmission and volatility spillovers in the Ukrainian wheat and flour markets?," Food Policy, Elsevier, vol. 62(C), pages 142-150.
    5. Dalheimer, Bernhard & Brümmer, Bernhard & Jaghdani, Tinoush Jamali, 2017. "Impacts of Export Restrictions on Food Price Volatility: Evidence from VAR-X and EGARCH-X Models," 57th Annual Conference, Weihenstephan, Germany, September 13-15, 2017 262151, German Association of Agricultural Economists (GEWISOLA).
    6. Santeramo, Fabio Gaetano, 2017. "Market Fundamentals And International Grain Price Volatility," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 260908, European Association of Agricultural Economists.
    7. Natalia Vasylieva, 2018. "Ukrainian Agricultural Contribution to the World Food Security: Economic Problems and Prospects," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 14(4), pages 215-224.

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