Volatility And Relative Efficiency In Wheat Futures Markets
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Common Agriculture Policy and Price Stabilization - The Case of Wheat Market
Author | : Cezary Klimkowski |
Publisher | : |
Total Pages | : 0 |
Release | : 2020 |
Genre | : |
ISBN | : |
Agricultural prices volatility plays important role in the variety of economic processes. It directly impacts stability of farmers' income and has impact on economic efficiency of agricultural production. In this paper volatility of prices on Polish, European Union and global wheat market is quantified. The aim of the article is to answer the question whether Polish wheat price volatility changed after joining the European Union. Using monthly prices for two subperiods 1993-2004 and 2005-2014 absolute and relative volatility was estimated. The results indicate that there was a substantial volatility growth after accession to the European Union. However when the relation of volatility on Polish market to that observed on European and global market was estimated, there was a fall in the level of relative volatility, especially when short-term fluctuation were excluded from analyzed time series. To identify changes in volatility transmission patters Granger causality tests were also conducted. Change in wheat price volatility transmission was revealed. Before joining the European Union volatility of Polish wheat prices was Granger caused by fluctuations on global market, while after 2004 European prices volatility was found to be a Granger cause of Polish wheat prices volatility.
Deconstructing Wheat Price Spikes
Author | : United States Department of Agriculture |
Publisher | : CreateSpace |
Total Pages | : 48 |
Release | : 2014-12-09 |
Genre | : |
ISBN | : 9781505433609 |
In 2008, wheat futures prices spiked and then crashed along with prices for other agri-cultural and nonagricultural commodities. Market observers offered several theories to explain this common movement, or comovement, in prices, and have proposed policies to address the perceived problem of excessive price volatility. The design of an appropriate policy response would benefit from a better understanding of the cause of the observed price movements. This study uses an econometric model to decompose observed wheat prices into a set of economic factors and measure the relative contribution of each factor to observed price changes. Findings show that market-specific shocks related to supply and demand for wheat were the dominant cause of price spikes in the three U.S. wheat futures markets. Fluctuations in the global macroeconomy associated with broadbased demand shocks were relatively less significant for wheat than for other commodities like crude oil and corn. Finally, little evidence suggests commodity index trading contributed to recent price spikes.
The Economics of Food Price Volatility
Author | : Jean-Paul Chavas |
Publisher | : University of Chicago Press |
Total Pages | : 394 |
Release | : 2014-10-14 |
Genre | : Business & Economics |
ISBN | : 022612892X |
"The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.
Deconstructing Wheat Price Spikes
Author | : Joseph P. Janzen |
Publisher | : |
Total Pages | : 51 |
Release | : 2014-06-07 |
Genre | : Commodity futures |
ISBN | : 9781457855009 |
In 2008, wheat futures prices spiked and then crashed along with prices for other agricultural and nonagricultural commodities. Market observers offered several theories to explain this common movement, or comovement, in prices, and have proposed policies to address the perceived problem of excessive price volatility. The design of an appropriate policy response would benefit from a better understanding of the cause of the observed price movements. This study uses an econometric model to decompose observed wheat prices into a set of economic factors and measure the relative contribution of each factor to observed price changes. Findings show that market-specific shocks related to supply and demand for wheat were the dominant cause of price spikes in the three U.S. wheat futures markets. Fluctuations in the global macroeconomy associated with broadbased demand shocks were relatively less significant for wheat than for other commodities like crude oil and corn. Little evidence suggests commodity index trading contributed to recent price spikes. Tables and figures. This is a print on demand report.
Food Price Volatility and Its Implications for Food Security and Policy
Author | : Matthias Kalkuhl |
Publisher | : Springer |
Total Pages | : 620 |
Release | : 2016-04-12 |
Genre | : Business & Economics |
ISBN | : 3319282018 |
This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
The Role of Speculators in Recent Price Volatility in Wheat Futures Markets
Author | : Jacob Delane Holloway |
Publisher | : |
Total Pages | : 35 |
Release | : 2012 |
Genre | : Speculation |
ISBN | : |
Total Factor Productividty Growth in Agriculture
Author | : A. F. D. ávila |
Publisher | : |
Total Pages | : 54 |
Release | : 2010 |
Genre | : |
ISBN | : 9780444518743 |
In this chapter we compute measures of total factor productivity (TFP) growth for developing countries and then contrast TFP growth with technological capital indexes. In developing these indexes, we incorporate schooling capital to yield two new indexes: Invention-Innovation Capital and Technology Mastery. We find that TFP performance is strongly related to technological capital and that technological capital is required for TFP and cost reduction growth. Investments in technological capital require long-term (20- to 40-year) investments, which are typically made by governments and aid agencies and are the only viable escape route from mass poverty.
Excessive Speculation in the Wheat Market
Author | : United States. Congress. Senate. Committee on Homeland Security and Governmental Affairs. Permanent Subcommittee on Investigations |
Publisher | : |
Total Pages | : 522 |
Release | : 2009 |
Genre | : Commodity futures |
ISBN | : |