Disagreement on sunspots and soybeans futures price
Jan-Henning Feil and
Economic Modelling, 2021, vol. 95, issue C, 385-393
Disagreement on information could cause market price volatilities through the channels of gradual information flow, limited attention, and heterogeneous priors. High food price volatilities could incur severe welfare loss. This paper analyzes the effect of sunspots on the volatility of soybeans futures price in a framework of the disagreement theory. Empirically, we use the monthly time series datasets of soybeans futures price and sunspots activities from 1988-2018 to investigate how sunspots affect the volatilities of soybeans futures price by estimating the GARCH, GJR-GARCH, and Markov-switching GARCH models. Our findings can be summarized as: (1) extremely low sunspot activity could lead to both a high level and a high volatility for soybeans futures price; and (2) when considering regime changes, the disagreement level is nonlinear in the high volatility regime in which the high price volatility exists on both extremely low and high sunspot activities.
Keywords: Disagreement; Sunspots; Investors’ behaviors; Soybeans futures price (search for similar items in EconPapers)
JEL-codes: G12 G14 G41 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:95:y:2021:i:c:p:385-393
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