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Maispreisverhalten - Maispreistransmission während des Preisbooms an den Terminmärkten

Author

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  • Schmitz, Jochen
  • von Ledebur, Ernst-Oliver

Abstract

Seit dem Jahr 2000 haben vielfältige Faktoren die Agrarmärkte beeinflusst. Darunter sind wiederholte Angebotsknappheiten und die globale Nachfrageentwicklung zu nennen, welche den beobachteten Preisanstieg begünstigten. Angesichts der zunehmenden Interdependenz der Märkte stellt sich die Frage, ob eine isolierte Betrachtung eines einzelnen Marktes, wie in der bisherigen Literatur üblich, ausreichend ist. Die vorliegende Analyse stellt einen Beitrag zur Diskussion um die im Jahr 2008 beobachtbare Preisblase dar und geht auf die Zusammenhänge von Notierungen von Agrarrohstoffen an verschiedenen Warenterminbörsen ein. Im Fokus steht die Transmission der Preisvolatilität zwischen Warenterminbörsen. Es wird untersucht, ob und in welchem Ausmaß es zu einer Transmission während des drastischen Preisanstieges an den Agrar- und Rohstoffmärkten gekommen ist. Maisnotierungen von drei Warenterminbörsen werden in einem multivariaten GARCH Ansatz abgebildet. Somit ist es möglich, die Interaktionen zwischen den Börsen direkt zu modellieren. Die Ergebnisse werden vor dem Hintergrund der aktuellen Entwicklungen im Bereich der Agrar- und Biokraftstoffpolitik diskutiert.

Suggested Citation

  • Schmitz, Jochen & von Ledebur, Ernst-Oliver, 2009. "Maispreisverhalten - Maispreistransmission während des Preisbooms an den Terminmärkten," Arbeitsberichte aus der vTI-Agrarökonomie 02/2009, Johann Heinrich von Thünen Institute, Federal Research Institute for Rural Areas, Forestry and Fisheries.
    • Handle: RePEc:zbw:vtiaba:022009
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    References listed on IDEAS

    as
    1. Baffes, John, 2007. "Oil spills on other commodities," Resources Policy, Elsevier, vol. 32(3), pages 126-134, September.
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    More about this item

    Keywords

    Commodity Futures; Corn; Time Series; price volatility transmission; multi-variate GARCH;
    All these keywords.

    JEL classification:

    • Q1 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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