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| Registros recuperados: 23 | |
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| Rezitis, Anthony N.; Stavropoulos, Konstantinos S.. |
| This paper examines supply response models in a rational expectations framework for each one of the four major Greek meat markets, i.e. beef, broiler, lamb and pork. A multivariate GARCH model with Cholesky decomposition is used to incorporate price volatility into the rational expectations supply response model for each meat category and as a result the conditional covariance matrix remains positive definite without imposing any restrictions on the parameters. The empirical results confirm the existence of rational behaviour by meat producers in the four examined markets and indicate that price volatility is a major risk factor in Greek meat production while feed prices and veterinarian medicine prices are both important cost factors. Furthermore, the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Meat supply; Price volatility; Rational expectations; MGARCH.; Agricultural and Food Policy. |
| Ano: 2009 |
URL: http://purl.umn.edu/58120 |
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| Algieri, Bernardina. |
| The present study aims to investigate the dynamics of primary commodity prices and the role of speculation over time. In particular the relationship between speculation and price volatility on the one side, and the linkage between excessive speculation and price volatility on the other side, is carefully examined with the scope to establish whether volatility drives speculation or speculation drives price volatility, or whether there are no linkages between the two variables. In order to identify the presence of any lead-lag relationships, two batteries of Granger causality tests are carried out for the period 1995-2012. The investigation complements a preliminary index analysis on speculation and excessive speculation in the commodity market. Unlike... |
| Tipo: Working Paper |
Palavras-chave: Price volatility; Excessive speculation; Granger analysis; Agricultural Finance; Financial Economics; Food Consumption/Nutrition/Food Safety. |
| Ano: 2012 |
URL: http://purl.umn.edu/124390 |
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| Muth, Mary K.; Liu, Yanyan; Koontz, Stephen R.; Lawrence, John D.. |
| Information on typical differences in prices and price risk (as measured by the variances of prices) across marketing arrangements aids fed cattle producers in making choices about methods to use for selling fed cattle to beef packers. This information is also useful for policy discussions on merits and drawbacks of alternative marketing arrangements. As part of the congressionally mandated Livestock and Meat Marketing Study, we investigated differences in prices and price risk for fed cattle cash market and alternative marketing arrangements. The modeling approach, which is similar to a hedonic model, controls for differences in cattle quality and delivery month and accounts for the within- and across-week correlation in prices. The analysis uses a recent... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Alternative marketing arrangements; Fed cattle; Prices; Price volatility; Price risk; Hedonic. |
| Ano: 2007 |
URL: http://purl.umn.edu/37578 |
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| Geyser, Mariette; Cutts, Michela. |
| Commodity prices in general are known to have a high volatility. This is in fact what attracts speculators. The South African futures exchange (SAFEX) is not immune to this volatility. Volatility increases the risk of paying higher prices for a specific commodity, and it also makes the use of derivative instruments to hedge against price risk more expensive. Given the importance of South Africa as a regional supplier of maize and price discovery mechanism, investigations into the volatility of the maize price are not only important, but also indispensable if all parties involved are to manage this risk. The question therefore is whether the SAFEX maize price volatility can be explained by using fundamental factors or whether this volatility is... |
| Tipo: Journal Article |
Palavras-chave: Derivative; Price volatility; Call option; Hedging; Food risk; SAFEX; CBOT; Demand and Price Analysis. |
| Ano: 2007 |
URL: http://purl.umn.edu/8009 |
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| Jordaan, Henry; Grove, Bennie; Jooste, Andre; Alemu, A.G.. |
| The conditional volatility in the daily spot prices of the crops traded on the South African Futures Exchange (yellow maize, white maize, wheat, sunflower seed and soybeans) is determined. The volatility in the prices of white maize, yellow maize and sunflower seed have been found to vary over time, suggesting the use of the GARCH approach in these cases. Using the GARCH approach, the conditional standard deviation is the measure of volatility, and distinguishes between the predictable and unpredictable elements in the price process. This leaves only the stochastic component and is hence a more accurate measure of the actual risk associated with the price of the crop. The volatility in the prices of wheat and soybeans was found to be constant over... |
| Tipo: Journal Article |
Palavras-chave: Price volatility; Field crops; SAFEX; Time series analysis; ARCH/GARCH; Demand and Price Analysis. |
| Ano: 2007 |
URL: http://purl.umn.edu/8013 |
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| Lence, Sergio H.; Hayes, Dermot J.. |
| A dynamic three-commodity rational-expectations storage model is used to compare the impact of the Federal Agricultural Improvement and Reform (FAIR) Act of 1996 with a free-market policy, and with the agricultural policies that preceded the FAIR Act. Results support the hypothesis that the changes enacted by FAIR did not lead to permanent significant increases in the volatility of farm prices or revenues. An important finding is that the main economic impacts of the pre-FAIR scenario, relative to the free-market regime, were to transfer income to farmers and to substitute government storage for private storage in a way that did little to support prices or to stabilize farm incomes. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: FAIR Act; Price volatility; Storage; Agricultural and Food Policy. |
| Ano: 2000 |
URL: http://purl.umn.edu/18937 |
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| Boere, Esther; Peerlings, Jack H.M.; Reinhard, Stijn; Kuhlman, Tom; Heijman, Wim J.M.. |
| Volatile output prices lead to a fluctuating shadow price (profitability) of agricultural land, and therefore may impact land use decisions in case of risk-averse behaviour. In this paper we assess the effect of volatile agricultural output prices on agricultural land-use change over the past decade in the Netherlands. Using regional data from 2000 through 2009, the number of hectares of land for 10 land uses was calculated. To determine the joint distribution of agricultural activities, hectares of land for each land use were converted to land share equations. Land share equations were estimated to determine the contribution of increased price volatility to land use change. Results show that larger volatility affects land shares negatively. Producer’s... |
| Tipo: Presentation |
Palavras-chave: Land-use; Risk; Price volatility; Risk and Uncertainty; Q1; D8. |
| Ano: 2012 |
URL: http://purl.umn.edu/122472 |
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| Registros recuperados: 23 | |
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