Agricultural Commodity Futures Market Volatility: A Case for Punctuated Equilibrium

George P. Apperson

No 196760, 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia from Southern Agricultural Economics Association

Abstract: Agricultural commodity futures markets have experienced dramatic price swings since 2007 as compared to previous periods. Applied economic research has not reached a consensus as to whether market fundamentals or speculative participation has been the cause of the increased volatility. Policy research has concentrated on the legislative intent of the law and how recent financial and commodity market regulation should revert back to the successful policies of the twentieth century. Policy scholars credit financial and commodity market turmoil to changes in regulatory policy, but no specific research has been identified that associates changes in market behavior with changes in regulatory policy. This paper addresses the following research question: why has agricultural commodity futures price volatility changed over time? Applying quasi-experimental analysis methodology with change-point analysis design and econometric modeling, this research uses cotton futures price variability (volatility) as a measurement of commodity market behavior. The findings indicate that commodity futures market regulation is one of many factors that may lead to a change in cotton futures market volatility.

Keywords: Agricultural; Finance (search for similar items in EconPapers)
Pages: 25
Date: 2014
New Economics Papers: this item is included in nep-agr
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/196760/files/S ... ity_PE_Submitted.pdf (application/pdf)

Related works:
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:saea15:196760

DOI: 10.22004/ag.econ.196760

Access Statistics for this paper

More papers in 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia from Southern Agricultural Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().