Main Challenges of Price Volatility in Agricultural Commodity Markets

Tóthová, Monika

doi:10.1007/978-1-4419-7634-5_2

Cited by 23 publications

(21 citation statements)

References 2 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…From the methodological point of view, an important issue also highlighted by Gilbert (2010) and Tothova (2011) is the data frequency (e.g. daily, monthly) used in the analysis may be important in detecting bubbles.…”

Section: Discussionmentioning

confidence: 99%

Testing for bubbles in agriculture commodity markets

Balcombe

Rapsomanikis

2016

EARN

View full text Add to dashboard Cite

ABSTRACT:We apply the recent generalized sup augmented Dickey-Fuller (GSADF) test for explosive bubbles (Phillips et al., 2012) to monthly time-series for food, beverages, agricultural raw material, cereals, dairy, meat, oils and sugar indices and a total of 28 agricultural commodities between 1980-2012. We found price bubbles occurred for 6 out of the 10 indices studied and for 6 out of the 28 commodities within food markets. Results from the tests can help implementing policies aimed at mitigating effects of future price bubbles to targeted food commodity markets that may require special attention.

show abstract

Section: Discussionmentioning

confidence: 99%

Testing for bubbles in agriculture commodity markets

Balcombe

Rapsomanikis

2016

EARN

View full text Add to dashboard Cite

show abstract

“… Tothova () points out that FOB prices generally better reflect world market prices since they are less affected by changes in transportation costs. …”

mentioning

confidence: 99%

Volatility in Oilseeds and Vegetable Oils Markets: Drivers and Spillovers

Brümmer¹,

Korn²,

Schlüßler³

et al. 2015

J Agricultural Economics

View full text Add to dashboard Cite

Food price volatility has re‐emerged as an important topic of political discussion since the food price crisis of 2007–2008. Different volatility drivers have been identified for different markets in the theoretical and empirical literature. However, there is no comprehensive analysis that considers a large number of potential drivers and investigates their joint effects in a dynamic model of interrelated markets. Our study provides such a volatility analysis for the oilseeds and vegetable oils markets. We use a common GARCH approach and a VAR model to identify volatility drivers and spillover effects. Our results show that exchange rate volatility is very important. However, the hotly debated financialisation of commodity markets is not found to be volatility increasing in our monthly data. Impulse response functions show strong spillover effects. Because many volatility drivers found to be important in other markets have no significant effect in our study, our results suggest that volatility drivers are market specific. This implies that any volatility‐reducing policies need to be designed for the market in question.

show abstract

“…The consequence is that the prices of agricultural raw materials are never equal to marginal costs in the long-term and therefore have no relation to the production costs of farmers (Boussard 2010;Tothova 2011). This instability of agricultural prices causes a serious harm to farmers in the terms of well-being (Matthews 2010;OCDE 2010;FAO et al 2011;Onour and Sergi 2011;Rapsomanikis and Mugera 2011), but also to the economies of developing countries which depend on agricultural raw materials (Gillson et al 2004;FAO et al 2011;Luciani 2011;Rapsomanikis and Mugera 2011;Ehrhart and Guerineau 2012).…”

mentioning

confidence: 99%

“…As noted by Matošková (2011), the coefficient of variation is the tool used by prestigious global institutions, such as the OECD and the FAO, to evaluate the agricultural prices volatility. It is also the approach used by many other authors like HuchetBourdon (2011), Matošková (2011), Tangermann (2011 and Tothova (2011). The data we use to calculate this indicator are both the series of the annual and monthly prices, and the series of international prices and the farm gate prices provided by the UNCTAD, the FAO and the INSEE.…”

mentioning

confidence: 99%

Volatility and stabilization of the price of coffee and cocoa in Côte d'Ivoire

Malan¹

2013

AGR ECON-CZECH

View full text Add to dashboard Cite

Th e aim of this paper was to study the coff ee and cocoa price volatility in Côte d'Ivoire and to understand the mechanism of price stabilization. Th us, this paper shows that the international prices and the farm gate prices of these two products are strongly dispersed around their respective average, from one year to another and within each year. Th is paper proposes a model of partial stabilization which makes it possible to highlight an alternate mechanism of the coff ee and cocoa price stabilization which is relatively effi cient compared to the mechanism which currently exists. It shows that a marketing board in the Ivorian coff ee and cocoa sector, which constitutes a buff er stock and uses it in a strategic way, has the advantage of reducing signifi cantly the volatility of the international price and the farm gate price.Key words: farm gate price, international price, price fl uctuation, buff er stock, cocoa and coff ee markets 1 The vertical coordination was built up and strengthened by the stabilization system through an administrative scheme called the barème (scale).

show abstract

Main Challenges of Price Volatility in Agricultural Commodity Markets

Cited by 23 publications

References 2 publications

Testing for bubbles in agriculture commodity markets

Testing for bubbles in agriculture commodity markets

Volatility in Oilseeds and Vegetable Oils Markets: Drivers and Spillovers

Volatility and stabilization of the price of coffee and cocoa in Côte d'Ivoire

Contact Info

Product

Resources

About