Price volatility in food markets: can stock building mitigate price fluctuations?

Teresa Serra and Jose Maria Gil

No 126055, 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil from International Association of Agricultural Economists

Abstract: This article studies US corn price fluctuations in the past two decades. Price volatility is explained by volatility clustering, the influence of energy prices, corn stocks and global economic conditions. A multivariate GARCH specification that allows for exogenous variables in the conditional covariance model is estimated both parametrically and semiparametrically. Findings provide evidence of price volatility transmission between ethanol and corn markets. They also suggest that macroeconomic instability can increase corn price volatility. Finally, stock building is found to significantly reduce corn price fluctuations.

Keywords: Agricultural and Food Policy; Demand and Price Analysis (search for similar items in EconPapers)
Pages: 36
Date: 2012
New Economics Papers: this item is included in nep-agr and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
https://ageconsearch.umn.edu/record/126055/files/Ethanol.pdf (application/pdf)

Related works:
Journal Article: Price volatility in food markets: can stock building mitigate price fluctuations? (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:iaae12:126055

DOI: 10.22004/ag.econ.126055

Access Statistics for this paper

More papers in 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil from International Association of Agricultural Economists Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().