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Storage and the Volatility of Agricultural Prices: A Model of Endogenous Fluctuations

  • Sophie Mitra

    (Fordham University, Department of Economics)

  • Jean-Marc Boussard

    (Institut National de Recherche en Agronomie (INRA))

Recent developments in world food markets stress the importance of identifying the sources of food price volatility. This paper develops a nonlinear Cobweb model with endogenous volatility which accounts for several characteristics of agricultural commodity markets (seasonality, storage) and leads to price series with positive skewness and autocorrelation, as in actual commodity prices. Practical consequences may imply a rethinking of the current methods of world food market regulation.

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File URL: http://legacy.fordham.edu/images/academics/graduate_schools/gsas/economics/dp2008_11_mitra_boussard.pdf
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Paper provided by Fordham University, Department of Economics in its series Fordham Economics Discussion Paper Series with number dp2008-11.

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Date of creation: 2008
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Handle: RePEc:frd:wpaper:dp2008-11
Contact details of provider: Web page: http://www.fordham.edu/economics/
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  1. Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers 145, Princeton, Woodrow Wilson School - Public and International Affairs.
  2. Mackey, Michael C., 1989. "Commodity price fluctuations: Price dependent delays and nonlinearities as explanatory factors," Journal of Economic Theory, Elsevier, vol. 48(2), pages 497-509, August.
  3. Ravallion, Martin, 1996. "Famines and economics," Policy Research Working Paper Series 1693, The World Bank.
  4. Boussard, Jean-Marc, 1996. "When risk generates chaos," Journal of Economic Behavior & Organization, Elsevier, vol. 29(3), pages 433-446, May.
  5. William Brock & Pietro Dindo & Cars Hommes, 2006. "Adaptive rational equilibrium with forward looking agents," International Journal of Economic Theory, The International Society for Economic Theory, vol. 2(3-4), pages 241-278.
  6. Hommes, Cars & van Eekelen, Arno, 1996. "Partial equilibrium analysis in a noisy chaotic market," Economics Letters, Elsevier, vol. 53(3), pages 275-282, December.
  7. Jean-Marc Boussard, 2005. "Price risk management instruments in agricultural and other unstable markets," Risk and Insurance 0505001, EconWPA.
  8. repec:cup:cbooks:9780521326162 is not listed on IDEAS
  9. Hommes, Cars H., 1998. "On the consistency of backward-looking expectations: The case of the cobweb," Journal of Economic Behavior & Organization, Elsevier, vol. 33(3-4), pages 333-362, January.
  10. Deaton, Angus & Laroque, Guy, 1996. "Competitive Storage and Commodity Price Dynamics," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 896-923, October.
  11. Robert W. Fogel, 1989. "Second Thoughts on the European Escape from Hunger: Famines, Price Elasticities, Entitlements, Chronic Malnutrition, and Mortality Rates," NBER Historical Working Papers 0001, National Bureau of Economic Research, Inc.
  12. Howroyd, T. D. & Russell, A. M., 1984. "Cournot oligopoly models with time delays," Journal of Mathematical Economics, Elsevier, vol. 13(2), pages 97-103, October.
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