THE EFFECT OF MARKET SHOCKS ON THE VOLATILITY OF CORN PRICE

Deborah Bridges (), Frank Tenkorang () and Greg Nies ()
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Deborah Bridges: University of Nebraska at Kearney, Department of Marketing, Agribusiness, and Supply Chain Management, 1917 W 24th St, Kearney, NE, USA
Frank Tenkorang: University of Nebraska at Kearney, Department of Accounting, Finance, and Economics 1917 W 24th St, Kearney, NE, USA
Greg Nies: University of Nebraska at Kearney, Department of Marketing, Agribusiness, and Supply Chain Management, 1917 W 24th St, Kearney, NE, USA

Review of Economic and Business Studies, 2023, issue 31, 9-18

Abstract: The volatility of agricultural markets makes risk management for producers a challenge. Market shocks, such as the increased demand for corn-based ethanol in the mid 2000s and the recent COVID-19 disruption, only exacerbate the problem. The paper investigates the impact of these two shocks on corn price volatility using futures commodity prices. ARCH/GARCH estimations are compared for the ethanol pre-expansion and expansion periods and pre-COVID-19 shutdown and COVID-19 shutdown periods. The results indicate a high level of price volatility due to the shocks, thus worsening corn producers' price risk situation.

Keywords: Ethanol; Price volatility; COVID-19; ARCH; GARCH; Corn (search for similar items in EconPapers)
JEL-codes: P32 Q12 Q14 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:aic:revebs:y:2023:j:31:bridgesd

DOI: 10.47743/rebs-2023-1-0001

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