Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model

Silveira, Rodrigo Lanna Franco da; Maciel, Leandro; Mattos, Fabio; Ballini, Rosângela

doi:10.1016/j.rausp.2017.08.003

Cited by 9 publications

(11 citation statements)

References 49 publications

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“…Food price volatility, for example, was judged accountable for the political unrest experienced by several countries (Bellemare, 2015; Etienne, Irwin, & Garcia, 2018; Ianchovichina, Loening, & Wood, 2014; Ivanic, Martin, & Zaman, 2012; World Bank, 2008), for the economic adversity among the poor and malnutrition among children in developing countries (Braun, 2020; von Braun, Algieri, & Kalkuhl, 2014; Brockhaus, Haile, & von Braun, 2018; Kalkuhl, von Braun, & Torero, 2016; Lukanima & Swaray, 2014). Furthermore, price volatility negatively affects employment, income, trade balance, inflation rate, tax revenue and business cycles (Silveira, dos Santos Maciel, Mattos, & Ballini, 2017). The widespread and undesirable consequences associated with commodity price fluctuations underline the critical importance of understanding the causes behind sharp price movements.…”

Section: Introductionmentioning

confidence: 99%

Fast & furious: Do psychological and legal factors affect commodity price volatility?

Algieri

2020

World Economy

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Section: Introductionmentioning

confidence: 99%

Fast & furious: Do psychological and legal factors affect commodity price volatility?

Algieri

2020

World Economy

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“…We have decided to go with the continuous futures contract day's closing price. To display it as a percentage, as in previous research [78], we multiply this by 100. The futures contract's return is our research dependent variable, represented by R r , and will be used for all commodities in the study.…”

Section: Variables Used In the Studymentioning

confidence: 99%

“…Because of this, the study's results can be compared to what other researchers have found. Most other studies employ the generalized GARCH approach and use one residual error and one generalized variability time offset, GARCH (1,1) [16,76,78]. This reduces the number of parameters, makes them easier to read, and improves the economic interpretation of the results.…”

Section: Month Selection Modelmentioning

confidence: 99%

“…Previous studies used a more traditional approach to modeling speculation in commodity markets. However, the models offered do not account for seasonality, which is common in agricultural markets [77,78]. The primary goal of this study is to strengthen the impact of speculation on return volatility by expanding other authors' agricultural product price volatility models.…”

Section: Introductionmentioning

confidence: 99%

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Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security

Staugaitis

Vaznonis

2022

Agriculture

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Global commodity markets, due to major health crises, political tension, sanctions, growing demand, and other global supply and demand factors, are currently particularly unstable. In addition to the macro-environmental factors that drive the prices, agricultural and other commodity markets are becoming more susceptible to the continuously-growing speculation on major commodity exchanges. Therefore, the purpose of this study is to analyze the influence of financial speculation on agricultural and other commodity prices and return volatility. In our study, we use daily returns on wheat, soybean, corn, and oats futures from the Chicago Mercantile Exchange as well as two additional commodities (crude oil and gold) to compare the extent of this effect. To measure this impact, we, besides traditional tools for time-series analysis, apply the threshold autoregressive conditional heteroskedasticity (TGARCH) technique. We also provide a model using dummy variables for the season to determine whether or not financial speculation’s impact on return volatility differs among seasons, as seasonality plays an important role in return dynamics for agriculture. Our study’s findings show that financial speculation, except for the oats market, either has no impact or makes the underlying futures returns less volatile. Therefore, we draw the conclusion that either there is no relationship between the rise in short-run speculation and the volatility of agricultural commodity prices, or the link is at best questionable. Research results provide important implications for the sustainable development of commodity markets, as passive legislation measurers can be seen as more effective ones compared to more strict active ones in order to maintain these markets liquid and capable of distributing price risks for agricultural producers and manufacturers in a challenging economic and geopolitical environment.

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“…Os modelos também foram estimados recursivamente, por máxima verossimilhança. Com base em Silveira et al (2017) neste trabalho considerou-se uma janela móvel de 1.008 observações, equivalente a quatro anos de dados. A estimação recursiva é uma técnica que processa as informações sequencialmente, fornecendo novas estimativas para as variáveis desejadas a cada iteração.…”

Section: Modelos De Volatilidade Condicional Univariadosunclassified

Efeito das operações de hedge e especulação sobre a volatilidade dos preços de commodities agrícolas nos EUA

2020

Self Cite

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Este artigo investiga o impacto das ações de hedgers e especuladores sobre a volatilidade dos retornos de preços à vista de grãos nos Estados Unidos entre 2000 e 2015 incorporando variações dos contratos futuros em modelos da família GARCH. Para verificar a ação destes agentes ao longo do tempo, os modelos foram estimados de forma recursiva. Adicionalmente, ajustou-se um modelo BEKK-GARCH para verificar os efeitos intermercados. Os resultados mostraram que a atuação de hedgers e especuladores têm impacto moderado sobre os mercados estudados, tendo maior efeito após a crise de 2008 e em momentos de redução da correlação entre as commodities.

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Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model

Cited by 9 publications

References 49 publications

Fast & furious: Do psychological and legal factors affect commodity price volatility?

Fast & furious: Do psychological and legal factors affect commodity price volatility?

Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security

Efeito das operações de hedge e especulação sobre a volatilidade dos preços de commodities agrícolas nos EUA

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