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Price volatility in food markets: can stock building mitigate price fluctuations?

  • Serra, Teresa
  • Gil, Jose Maria
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    This article studies US corn price fluctuations in the past two decades. Price volatility is explained by volatility clustering, the influence of energy prices, corn stocks and global economic conditions. A multivariate GARCH specification that allows for exogenous variables in the conditional covariance model is estimated both parametrically and semiparametrically. Findings provide evidence of price volatility transmission between ethanol and corn markets. They also suggest that macroeconomic instability can increase corn price volatility. Finally, stock building is found to significantly reduce corn price fluctuations.

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    File URL: http://purl.umn.edu/126055
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    Paper provided by International Association of Agricultural Economists in its series 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil with number 126055.

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    Date of creation: 2012
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    Handle: RePEc:ags:iaae12:126055
    Contact details of provider: Web page: http://www.iaae-agecon.org/
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    18. Lai, YiHao & Chen, Cathy W.S. & Gerlach, Richard, 2009. "Optimal dynamic hedging via copula-threshold-GARCH models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2609-2624.
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