Author: Claire Luensmann Publisher: ISBN: Category : Languages : en Pages :
Book Description
In recent years, the agricultural markets have been subject to increased prices and unusual levels of elevated volatility. One likely driver of this is the mandated ethanol expansion in the Energy Policy Act of 2005. Previous research has identified relationships in market prices and variability between the energy and grain markets, but little has been done to evaluate volatility spillover across a broader spectrum of agricultural commodities. Additionally, few studies have assessed causal linkages across market implied volatilities. This research examines implied volatility spillover in futures markets across major agricultural commodities and energies. The analysis also determines the time path and magnitude of volatility translation across the markets and compares the causal relationships between pre-ethanol boom and post-ethanol boom time periods. Granger causality tests are conducted using multivariate and bivariate vector autoregressive modeling techniques, and impulse response functions are employed to obtain time paths of the reactions. Overall, results indicate that strong implied volatility spillover relationships exist between the grain markets and between the live cattle and feeder cattle markets. The analysis also finds that the agricultural markets have evolved from lean hogs being the primary volatility leader in the pre-ethanol boom era to corn being the primary volatility leader in the post-ethanol boom era. Despite a high correlation between crude oil and corn volatilities in the post-ethanol boom time period, the causal linkage between the two commodities' volatilities may not be as definite as other literature suggests.
Author: Isabelle Piot-Lepetit Publisher: Springer ISBN: 9781489988812 Category : Business & Economics Languages : en Pages : 0
Book Description
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.
Author: Matthias Kalkuhl Publisher: Springer ISBN: 3319282018 Category : Business & Economics Languages : en Pages : 620
Book Description
This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
Author: Tamara Nehme Publisher: ISBN: Category : Farm produce Languages : en Pages : 144
Book Description
Practical implications: the empirical findings of this study have important implications on portfolio diversification and risk management practices. With the recent financialization of commodity markets, investors worldwide are finding it easier to access funds, seek new investment opportunities and follow innovative hedging strategies. However, the results of this dissertation constitute a perfect proof that there is risk proliferation and volatility transmission among agricultural commodity markets. Yet, a thorough examination of the level of integration of those commodities while taking into account the timing of economic surprises could result in portfolio risk reduction. Originality/value: this thesis uses an innovative combination of econometric tools –the ICSS, GARCH (1, 1) and 3SLS models, in order to examine cross-market volatility spillovers with structural breaks, around macroeconomic news announcements. While most researchers have concentrated their analyses on few macroeconomic release announcements, our research finds that an aggregated index of 39 U.S. data surprises can act as an ideal proxy for economic surprises.
Author: Adam Prakash Publisher: Bright Sparks ISBN: Category : Food prices Languages : en Pages : 620
Book Description
A timely publication as world leaders deliberate the causes of the latest bouts of food price volatility and search for solutions that address the recent velocity of financial, economic, political, demographic, and climatic change. As a collection compiled from a diverse group of economists, analysts, traders, institutions and policy formulators - comprising multiple methodologies and viewpoints - the book exposes the impact of volatility on global food security, with particular focus on the world's most vulnerable.
Author: Francis X. Diebold Publisher: Oxford University Press ISBN: 0199338329 Category : Business & Economics Languages : en Pages : 285
Book Description
Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant. The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses.
Author: Joshua S. Graff Zivin Publisher: University of Chicago Press ISBN: 0226988031 Category : Art Languages : en Pages : 310
Book Description
Using economic models and empirical analysis, this volume examines a wide range of agricultural and biofuel policy issues and their effects on American agricultural and related agrarian insurance markets. Beginning with a look at the distribution of funds by insurance programs—created to support farmers but often benefiting crop processors instead—the book then examines the demand for biofuel and the effects of biofuel policies on agricultural price uncertainty. Also discussed are genetically engineered crops, which are assuming an increasingly important role in arbitrating tensions between energy production, environmental protection, and the global food supply. Other contributions discuss the major effects of genetic engineering on worldwide food markets. By addressing some of the most challenging topics at the intersection of agriculture and biotechnology, this volume informs crucial debates.
Author: Claire Luensmann
Author: 
Author: Isabelle Piot-Lepetit
Author: Matthias Bernhardt
Author: Pierre Giot
Author: Matthias Kalkuhl
Author: Tamara Nehme
Author: Adam Prakash
Author: Francis X. Diebold
Author: Joshua S. Graff Zivin