Extreme Volatility in Agricultural Commodity Markets and Implications for Food Security

Athanasios Triantafyllou (), George Dotsis and Alexandros Sarris
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Athanasios Triantafyllou: Department of Economics National and Kapodistrian University of Athens
George Dotsis: Department of Economics National and Kapodistrian University of Athens
Alexandros Sarris: Department of Economics National and Kapodistrian University of Athens

Chapter 9 in Food Security and Sustainability, 2017, pp 161-174 from Springer

Abstract: Abstract Unexpected price changes and large upward/downward price swings have become very frequent and very common in the volatile agricultural markets. Sudden jumps in agricultural prices denote undesirable events for both policy makers and commodity producers, and create difficult situations for countries facing food security challenges. This is because unpredictable price increases raise the cost of food imports. The infrequent nature of these price changes makes it difficult to identify, anticipate and hedge them in a proper and timely fashion. Nevertheless, the nature of such events is important for food security planning. This is because low-income food deficit countries, which number 54 according to the latest 2015 list of the Food and Agriculture Organization (FAO) of the United Nations, may find it difficult to import at reasonable cost what they need in periods of international food commodity price spikes. The purpose of this chapter is to explore the nature of large basic food commodity price changes using extreme value theory tools.

Keywords: Commodity Price; Daily Return; Tail Index; Monthly Return; Expect Shortfall (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-40790-6_9

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DOI: 10.1007/978-3-319-40790-6_9

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