Dynamique du prix international du coton: aléas, aversion au risque et chaos

Yankou Diasso ()

Recherches économiques de Louvain, 2014, vol. 80, issue 4, 53-86

Abstract: While the recent spike in commodity prices revived the debate on the endogenous versus exogenous fluctuations explanation, we show in this paper that the two phenomena are present together in the dynamics of the monthly cotton prices. Our application of chaos detecting tools (correlation dimension, Lyapunov exponents) on the price series shows the existence of auto-generated fluctuations. But the ARCH effect test also confirms the existence of randomness. So we used a combined model of chaotic stochastic processes (Mackey-Glass ? EGARCH) inspired by the theory of heterogeneous agents to reproduce the prices? characteristics. Our results suggest that the complex dynamics of prices could be caused by the heterogeneity of farmers? expectations. JEL classification : C22, E32, O13.

Keywords: cotton prices; endogenous fluctuations; heterogeneous expectations; Mackey-Glass – EGARCH model (search for similar items in EconPapers)
JEL-codes: C22 E32 O13 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=REL_804_0053 (application/pdf)
http://www.cairn.info/revue-recherches-economiques-de-louvain-2014-4-page-53.htm (text/html)
free

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cai:reldbu:rel_804_0053

Access Statistics for this article

More articles in Recherches économiques de Louvain from De Boeck Université
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().