Impact of external shocks on international corn price fluctuations

Shuai Liu, Dingyu Liu and Sibo Ge
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Shuai Liu: Center for Rural Economy in Major Grain Producing Areas, Jilin Agricultural University, Changchun, P.R. China
Dingyu Liu: College of Economics and Management, Jilin Agricultural University, Changchun, P.R. China
Sibo Ge: College of Economics and Management, Jilin Agricultural University, Changchun, P.R. China

Agricultural Economics, 2024, vol. 70, issue 1, 1-11

Abstract: In recent years, the external shock represented by COVID-19 has caused significant fluctuations in global corn prices. Based on the weekly data on international corn prices from 2020 to 2023, this paper constructs autoregressive conditional heteroskedasticity (ARCH) class and time-varying parameter - vector autoregression (TVP-VAR) models. After analysing the characteristics of corn price fluctuations, it further analyses the influence of external uncertainties such as COVID-19, international finance, the corn futures market, and international exports of corn on corn price fluctuations. The results show that international corn price fluctuations always have significant asymmetry. Nevertheless, the influence of past changes on the future will gradually disappear, and the corn market is not characterised by high risk and high return because of the phenomenon of flat or declining absolute returns during the periods of high volatility. All the selected external shocks also have a time-varying impact on corn price fluctuations, and there are differences in the impact size, impact direction, and impact duration. The external shocks led by COVID-19 had a transmission effect on other factors and then affected corn price fluctuations.

Keywords: autoregressive conditional heteroskedasticity (ARCH) class model; corn futures market; COVID-19; international exports of corn; time-varying parameter -; vector autoregression (TVP-VAR) model (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:caa:jnlage:v:70:y:2024:i:1:id:318-2023-agricecon

DOI: 10.17221/318/2023-AGRICECON

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