On the drivers of global grain price volatility: an empirical investigation

Fabio Santeramo and Emilia Lamonaca

Agricultural Economics, 2019, vol. 65, issue 1, 31-42

Abstract: Several drivers 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. 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.

Keywords: arbitrage; grain market; price dynamics; Seemingly Unrelated Regression Equations (SURE); shocks (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: On the Drivers of Global Grain Price Volatility: an empirical investigation (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:caa:jnlage:v:65:y:2019:i:1:id:76-2018-agricecon

DOI: 10.17221/76/2018-AGRICECON

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