Methods to Analyse Agricultural Commodity Price Volatility [electronic resource] /
Piot-Lepetit, Isabelle.editor.
M'Barek, Robert.editor.
This book examines the issue of price volatility in agricultural commodities markets and how this phenomenon has evolved in recent years. The factors underlying the price spike of 2007-08 appear to be global and macroeconomic in nature, including the rapid growth in demand by developing countries, the international financial crisis, and exchange rate movements. Some of these factors are new, appearing as influences on price volatility only in the last decade. Although volatility has always been a feature of agricultural commodity markets, the evidence suggests that volatility has increased in certain commodity markets. A growing problem is that agricultural price shocks and volatility disrupt agricultural markets, economic incentives and incomes. With increased globalization and integration of financial and energy markets with agricultural commodity markets, the relationships between markets are expanding and becoming more complex. When a crisis such as a regional drought, food safety scare or a financial crisis hits a particular market, policy-makers often do not know the extent to which it will impact on other markets and affect producer, consumer and trader decisions. Including contributions from experts at the World Bank, the Food and Agriculture Organization of the United Nations, the USDA, and the European Commission, the research developed throughout the chapters of this book is based on current methodologies that can be used to analyze price volatility and provide directions for understanding this volatility and the development of new agricultural policies. The book highlights the challenges facing policy makers in dealing with the changing nature of agricultural commodities markets, and offers recommendations for anticipating price movements and managing their consequences. It will be a practical guide for both present and future policy-makers in deciding on potential price-stabilizing interventions, and will also serve as a useful resource for researchers and students in agricultural economics.
Description based upon print version of record.
Foreword; Preface; Contents; Contributors; List of Abbreviations; 1 Methods to Analyse Agricultural Commodity Price Volatility; 1.1 Introduction; 1.2 Specificity of Agricultural Commodities; 1.2.1 Seasonality; 1.2.2 Derived Nature of Many Agricultural Product Prices; 1.2.3 Price-Inelastic Demand and Supply; 1.3 Analysis of Price Volatility; 1.4 Aims and Scope of This Book; References; 2 Main Challenges of Price Volatility in Agricultural Commodity Markets; 2.1 A Primer on Theoretical Aspects of Volatility; 2.2 Analysis: Is There More Volatility Now?; 2.2.1 Spot Prices: An Intuitive Approach
2.2.2 Volatility on the Futures Markets2.3 Factors Influencing Price Volatility; 2.4 Implications of Increased Volatility; 2.5 Policy Considerations; 2.5.1 Dealing with Price Volatility Itself; 2.5.2 Dealing with the Effects of Increased Price Volatility; 2.6 Concluding Thoughts; Appendix 1: Description of Price Series Used in Section 2.2; Appendix 2: Theoretical Consideration; References; 3 The Energy/Non-energy Price Link: Channels, Issues and Implications; 3.1 Introduction; 3.2 The Energy/Non-energy Price Link; 3.2.1 The Cost Side; 3.2.2 Biofuels; 3.2.3 The Empirical Evidence
3.3 ConclusionReferences; 4 Food Price Volatility; 4.1 Volatility -- Definition and Measurement; 4.2 Causes of Food Price Variability; 4.3 Historical Review; 4.4 How Will Food Price Volatility Evolve in the Future?; 4.5 Consequences of Food Price Volatility; 4.6 Combating Food Price Volatility; References; 5 Empirical Issues Relating to Dairy Commodity Price Volatility; 5.1 Introduction; 5.2 The Regulatory Framework of the EU Dairy Industry; 5.3 Data and Preliminary Analysis; 5.4 More Advanced Analysis; 5.4.1 Annualised Standard Deviation
5.4.2 Time Series Models (ARMA) and Conditional Heteroskedasticity Models (ARCH and GARCH)5.5 Conclusion; Appendix 1: Price Series Growth Rates; Appendix 2: GARCH Specifications and Volatility Charts; References; 6 Price Volatility and Price Leadership in the EU Beef and Pork Meat Market; 6.1 Introduction; 6.2 Model Description; 6.2.1 Autoregressive Moving Average (ARMA) Model; 6.2.2 Autoregressive Conditional Heteroskedasticity (ARCH) Model; 6.2.3 Generalised Autoregressive Conditional Heteroskedasticity (GARCH) Model
6.2.4 Exponential Generalised Autoregressive Conditional Heteroskedasticity (GARCH) Model6.2.5 Asymmetric Power Autoregressive Conditional Heteroskedasticity (APARCH) Model; 6.3 Data; 6.4 Price Analysis in the EU and the Old Member States; 6.4.1 EU and MS Price Dispersion; 6.4.2 EU Price Leadership; 6.4.3 EU and MS Price Models; 6.5 Price Analysis in the EU and the New Member States; 6.6 Conclusion; Appendix: Tables 6.5 to 6.9 of Section 6.4.3; References; 7 Using Futures Prices to Forecast US Corn Prices: Model Performance with Increased Price Volatility; 7.1 Introduction
7.2 Review of Literature
Includes bibliographical references and index.
This book examines the issue of price volatility in agricultural commodities markets and how this phenomenon has evolved in recent years. The factors underlying the price spike of 2007-08 appear to be global and macroeconomic in nature, including the rapid growth in demand by developing countries, the international financial crisis, and exchange rate movements. Some of these factors are new, appearing as influences on price volatility only in the last decade. Although volatility has always been a feature of agricultural commodity markets, the evidence suggests that volatility has increased in certain commodity markets. A growing problem is that agricultural price shocks and volatility disrupt agricultural markets, economic incentives and incomes. With increased globalization and integration of financial and energy markets with agricultural commodity markets, the relationships between markets are expanding and becoming more complex. When a crisis such as a regional drought, food safety scare or a financial crisis hits a particular market, policy-makers often do not know the extent to which it will impact on other markets and affect producer, consumer and trader decisions. Including contributions from experts at the World Bank, the Food and Agriculture Organization of the United Nations, the USDA, and the European Commission, the research developed throughout the chapters of this book is based on current methodologies that can be used to analyze price volatility and provide directions for understanding this volatility and the development of new agricultural policies. The book highlights the challenges facing policy makers in dealing with the changing nature of agricultural commodities markets, and offers recommendations for anticipating price movements and managing their consequences. It will be a practical guide for both present and future policy-makers in deciding on potential price-stabilizing interventions, and will also serve as a useful resource for researchers and students in agricultural economics.
Agricultural economics.
Development economics.
Economic policy.
Agricultural Economics.
Development Economics.
Economic Policy.