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

Abstract

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Volatility; Grain; Price; SUREG; Arbitrage
• Subjects: Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q0 - General > Q02 - Commodity Markets; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q1 - Agriculture > Q11 - Aggregate Supply and Demand Analysis ; Prices; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q1 - Agriculture > Q17 - Agriculture in International Trade; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q1 - Agriculture > Q18 - Agricultural Policy ; Food Policy

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