Construction of Grain Price Determinants Analysis Model Based on Structural Vector Autoregressive Model

Abstract

In 2020, the sudden global epidemic of novel coronavirus pneumonia (COVID-19) caused abnormal fluctuations in the global grain market and posed severe challenges to world grain security. Therefore, it is very important for countries around the world to analyze the determinants of grain price and put forward corresponding strategies to ensure grain safety. In this paper, we theoretically discussed the relationship between financial liquidity, speculation, and grain price for the first time. Based on the analysis of Fisher’s equation, this paper argues that the theoretical basis of grain financialization is closer to the volatility theory of the money market. Then, we employ the structural vector autoregression model (SVAR) to explore the impulse response of grain price to the structural shock of world grain production, demand, financial liquidity, and speculation. Our empirical results show that the effects of financial liquidity and speculation on the grain price are more significant. Meanwhile, grain demand changes caused by the global economy have no significant impact on grain price.

The Analysis of Seasonal Fluctuations and Correlation Between Monthly Average Exchange Rate of Main Currency and Monthly Average Import Prices of the Main Grain in Armenia

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“…This could be particularly the case when one considers the fact that agricultural commodities generally carry with them natural importance from a strategic perspective to a country or region . Importance of forecasting corn prices is of no exception when one takes into consideration strategic importance of corn, which could include its close relationship with the energy economic sector (Alola, 2022;Forhad & Alam, 2022;Liu & Wang, 2022;Wu, Weersink, & Maynard, 2022), deep financialization of trading (Abuselidze, Alekseieva, Kovtun, Kostiuk, & Karpenko, 2022;Penone, Giampietri, & Trestini, 2022;Wang, Zhang, Wang, & Meng, 2022;Xu, Li, Wang, & Li, 2022), and the role of serving as an important food source across the globe (Li et al, 2022;Lu et al, 2022;Niu et al, 2022;Yu, Yue, & Wang, 2022). Price forecasts are required by different forecast users in agricultural markets.…”