Common agriculture policy and price stabilisation – the case of wheat market

Cezary Klimkowski

Rural Areas and Development, 2016, vol. 13, 14

Abstract: 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.

Keywords: Agribusiness; Crop Production/Industries; Food Consumption/Nutrition/Food Safety (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ags:erdnra:276112

DOI: 10.22004/ag.econ.276112

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