On the Drivers of Global Grain Price Volatility: an empirical investigation
Fabio Santeramo () and
MPRA Paper from University Library of Munich, Germany
A vast number of studies examined the determinants of price volatility in agricultural markets. It is clear that the joint influence of several causes may generate market instability, but the partial contribution of different factors is still debated. We investigate how market-based drivers influence the global price volatility of three major grains: wheat, corn, barley. We adopt a Seemingly Unrelated Regression Equations model, in order to investigate potential common patterns and to control for the influence of external drivers. We compare inter-annual, intra-annual, and global volatility, to conclude on short-run and long-run dynamics of markets instability. We quantify the negative relationship linking (temporal) arbitrage and grain price volatility and conclude on the effects of supply movements on price volatility.
Keywords: Volatility; Grain; Price; SUREG; Arbitrage (search for similar items in EconPapers)
JEL-codes: Q02 Q11 Q17 Q18 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-agr and nep-int
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