Munich Personal RePEc Archive

On the Drivers of Global Grain Price Volatility : an empirical investigation

Fabio G., Santeramo and Emilia, Lamonaca (2018): On the Drivers of Global Grain Price Volatility : an empirical investigation. Forthcoming in: AGRICECON

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A vast number of studies examined the determinants of price volatility in agricultural markets. It is clear that the joint influence of several causes may generate market instability, but the partial contribution of different factors is still debated. We investigate how market-based drivers influence the global price volatility of three major grains: wheat, corn, barley. We adopt a Seemingly Unrelated Regression Equations model, in order to investigate potential common patterns and to control for the influence of external drivers. We compare inter-annual, intra-annual, and global volatility, to conclude on short-run and long-run dynamics of markets instability. We quantify the negative relationship linking (temporal) arbitrage and grain price volatility and conclude on the effects of supply movements on price volatility.

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