Consulta: subjectFacets:"Volatility"
Registros recuperados: 65
Data/hora: 11/06/2024 02:53:34

Las Fluctuaciones cíclicas de la economía mexicana
Provedor de dados: 32
Autores: Almendra Arao, Genaro.
Los costos económicos y sociales de las fluctuaciones cíclicas de la economía mexicana  son muy grandes y, sin embargo, no se les ha estudiado con los métodos estadísticos y  teóricos adecuados. Los objetivos de la presente investigación fueron: 1) identificar las  fluctuaciones cíclicas de la economía mexicana y  2) descubrir las regularidades  empíricas de esas fluctuaciones. Para ello se usó la metodología del filtrado estadístico y  de los comovimientos de las series de tiempo macroeconómicas. Los resultados indican  que la inversión y el consumo son procíclicos y están fuertemente correlacionados con el  PIB. Los precios son anticíclicos, la inversión es más volátil que el PIB. El agregado  monetario nominal M1 es cinco veces más volátil que el PIB,...
Tipo: Tesis
Palavras-chave: Comovimientos; Volatilidad; Filtrado estadístico; Doctorado; Economía; Comovements; Volatility; Statistical filtering.
Ano: 2007
URL: http://hdl.handle.net/10521/1296

Estimación del Indice de Volatilidad México (VIMEX@) usando modelos GARCH.
Provedor de dados: 32
Autores: Ruiz González, Alberto.
Debido a la importancia que tiene el concepto de volatilidad en los mercados financieros, este concepto ha sido tomado como un indicador de riesgo y se han generado indicadores y productos derivados referenciados a la volatilidad en los principales mercados del mundo. La principal utilidad de este índice es dar información sobre los niveles de volatilidad del mercado. El Mercado Mexicano de Derivados (MexDer) no se ha quedado rezagado en este sentido, por lo que se publica el Indice de Volatilidad México (VIMEX@). En este trabajo de tesis, se ajusta un modelo GARCH(1,1) a los rendimientos semanales del VIMEX@ para modelar la varianza y para modelar la media se incluye un proceso AR(2), el cual resulta ser cero en el modelo final. El modelo ajustado produce...
Palavras-chave: GARCH; Indices de volatilidad; MexDer; VIMEX; Volatilidad; Volatility rate; Volatility; Estadística; Maestría.
Ano: 2011
URL: http://hdl.handle.net/10521/650

Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects
Provedor de dados: 31
Autores: Karali,   Berna; Thurman,   Walter N.
Most financial asset returns exhibit volatility persistence. We investigate this phenomenon in the context of daily returns in commodity futures markets. We show that the time gap between the arrival of news to the markets and the delivery time of futures contracts is the fundamental variable in explaining volatility persistence in the lumber futures market. We also find an inverse relationship between inventory levels and lumber futures volatility.
Tipo: Conference Paper or Presentation
Palavras-chave: Volatility persistence; Theory of storage; Volatility; Futures markets; Lumber; Agricultural Finance.
Ano: 2008
URL: http://purl.umn.edu/37612

CONDUCT AND VOLATILITY IN FOOD-PRICE DETERMINATION: VAR EVIDENCE FROM TURKISH AGRICULTURE
Provedor de dados: 31
Autores: Holloway,   Garth J.; Bayaner,   Ahmet.
The relationship between price volatility and competition is examined.  A theoretic, vector autoregressions on farm prices of wheat and retail prices of derivatives (flour, bread, pasta, bulgur and cookies) are compared to results from a dynamic, simultaneous-equations model with theory-based farm-to-retail linkages.  Analytical results yield insights about numbers of firms and their impacts on demand- and supply-side multipliers, but the applications to Turkish time series (1988:1-1996:12) yield mixed results.
Tipo: Conference Paper or Presentation
Palavras-chave: Conduct; Volatility; Food marketing.; Marketing; Risk and Uncertainty.
Ano: 1998
URL: http://purl.umn.edu/20795

Trade and Development When Exports Lack Diversification: A Case Study From Malawi
Provedor de dados: 31
Autores: Persaud,   Suresh Chand; Meade,   Birgit Gisela Saager.
Developing countries, particularly those that depend heavily on a small number of agricultural exports, are vulnerable to domestic and international shocks. These countries often have difficulty achieving sustained economic growth. This analysis uses Malawi, a country that earns most of its foreign exchange from tobacco, as a case study of export concentration and heavy exposure to volatility. The econometric results suggest that the decline in Malawi’s gross domestic product (GDP) when tobacco exports are falling is almost three times greater than the increase in GDP when exports are rising. Model-based simulations indicate that variability in tobacco exports leads to slower economic growth because GDP falls by a relatively large amount in response to a...
Tipo: Report
Palavras-chave: Malawi; Tobacco; Export-led growth; Asymmetry; Volatility; Productivity; Trade; Development; Marketing efficiency; Price transmission; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Environmental Economics and Policy; Financial Economics; International Relations/Trade; Production Economics.
Ano: 2009
URL: http://purl.umn.edu/55943

Price volatility on the German Agricultural Markets
Provedor de dados: 31
Autores: Ledebur,   Oliver von; Schmitz,   Jochen.
In this contribution, the development of price volatility on German agricultural markets is analyzed. We quantify the degree of price volatility for selected German agricultural markets and determine how it evolves over time and search for policy driven structural changes in volatility levels measured by the historical volatility. Based on annualised historical volatilities t test were performed to identify if the change in the volatility levels show any relationship to the process of reform of the CAP. An increase in volatility could be identified for the main German markets regulated by the Common Market Organisations. A positive relationship among the reform process of the CAP and the changes of the volatility levels could be identified particularly for...
Tipo: Presentation
Palavras-chave: Volatility; German agricultural markets; Agricultural policy; Risk and Uncertainty; Q11; Q13; Q18.
Ano: 2012
URL: http://purl.umn.edu/122534

Influences of Permanence on the Comparative Value of Biological Sequestration versus Emissions Offsets
Provedor de dados: 31
Autores: McCarl,   Bruce A.; Murray,   Brian C.; Schneider,   Uwe A.
We use a net present value framework to examine the impact of non-permanence on the economics of land-based biological carbon sequestration. Contingent on assumptions about discount rates, management, and carbon prices trajectories, and payment contract design, we find the adjusted value of carbon sequestration relative to permanently available emission offsets to be between 38 and 55 percent for agricultural soil offsets and between 51 and 99 percent for afforestation offsets. Simulations with an Agricultural Sector Model show the empirical effect of sequestration value discounts on the total potential of U.S. agricultural sinks to mitigate greenhouse gas emissions within a multistrategy setting.
Tipo: Working or Discussion Paper
Palavras-chave: Agricultural Sector Model; Carbon price trajectory; Carbon sequestration dynamics; Economics of greenhouse gas emission mitigation; Forest sink discounting; Mathematical programming; Net present value; Saturation; Volatility; Environmental Economics and Policy.
Ano: 2001
URL: http://purl.umn.edu/18448

Price volatility in ethanol markets
Provedor de dados: 31
Autores: Serra,   Teresa; Zilberman,   David.
Our paper looks at how price volatility in the Brazilian ethanol industry changes over time and across markets. Demand and supply forces in the energy and food markets are likely to ensure that crude oil, ethanol and feedstock prices co-move in the long-run. Hence, when assessing price volatility changes and spillovers in the ethanol industry, one should also pay attention to the notion of cointegration. Until recently, the methods proposed to estimate cointegration relationships, have not explicitly considered time varying volatility in the data. Seo (2007) suggests an estimator of the cointegration vector that explicitly models conditional heteroskedasticity. More specifically, he proposes a maximum likelihood estimator that estimates the error...
Tipo: Conference Paper or Presentation
Palavras-chave: Volatility; Ethanol; Cointegration; Demand and Price Analysis; Research Methods/ Statistical Methods; Q11; C32.
Ano: 2009
URL: http://purl.umn.edu/49940

Grain Contracting Strategies to Induce Delivery and Performance in Volatile Markets
Provedor de dados: 31
Autores: Wilson,   William W.; Dahl,   Bruce L.
One of the impacts of higher prices along with greater volatility in futures and basis is that there is pressure for an escalation in cash contracting for grain. This volatility has resulted in an unprecedented level of contracting with growers in recent years. There is a wide array of cash contracts with varying terms. There is also a growing realization of growers not delivering on contracts, in part due to escalation in postcontract prices. These are evolving as major strategic issues for buyers and the marketing system, particularly as buyers seek to use such contracting strategies as an element of risk mitigation. There are three purposes of this article. First is to provide a broad survey of contract terms used in grain contracting with growers....
Tipo: Journal Article
Palavras-chave: Grain contracting; Risk; Volatility; Agribusiness; Crop Production/Industries; Farm Management; Production Economics; Risk and Uncertainty; C15; D81; Q12.
Ano: 2009
URL: http://purl.umn.edu/53082

Are The Poverty Effects of Trade Policies Invisible?
Provedor de dados: 31
Autores: Verma,   Monika; Valenzuela,   Ernesto; Hertel,   Thomas W.
With the advent of the WTO’s Doha Development Agenda, as well as the Millennium Development Goals aiming to reduce poverty by 50 percent by 2015, poverty impacts of trade reforms have attracted increasing attention. This has been particularly true of agricultural trade reform due to the importance of food in the diets of the poor, relatively higher protection in agriculture, as well as the heavy concentration of global poverty in rural areas where agriculture is the main source of income. Yet some in this debate have argued that, given the extreme volatility in agricultural commodity markets, the additional price and poverty impacts due to trade liberalization might well be undetectable. This paper formally tests this “invisibility hypothesis” via...
Tipo: Conference Paper or Presentation
Palavras-chave: Trade policy reform; Agricultural trade; Computable general equilibrium; Developing countries; Poverty headcount; Volatility; Stochastic simulation; Non-parametric hypothesis testing; Financial Economics; Risk and Uncertainty; C68; F17; I32; Q17; R20.
Ano: 2010
URL: http://purl.umn.edu/61793

Price volatility in ethanol markets
Provedor de dados: 31
Autores: Serra,   Teresa; Zilberman,   David.
Our paper looks at how price volatility in the Brazilian ethanol industry changes over time and across markets by using a new methodological approach suggested by Seo (2007). The main advantage of Seo’s proposal over previously existing methods is that it allows to jointly estimate the cointegration relationship between the price series investigated and the multivariate GARCH process. Our results suggest that crude oil prices not only influence ethanol price levels, but also their volatility. Increased volatility in crude oil markets results in increased volatility in ethanol markets. Ethanol prices, on the other hand, influence sugar price levels and an increase in their volatility levels also impacts, though less strongly, on sugar markets.
Tipo: Conference Paper or Presentation
Palavras-chave: Volatility; Ethanol; GARCH; Cointegration; Demand and Price Analysis; Resource /Energy Economics and Policy; Risk and Uncertainty; Q11; C32.
Ano: 2009
URL: http://purl.umn.edu/49188

Pricing Weather Derivatives
Provedor de dados: 31
Autores: Richards,   Timothy J.; Manfredo,   Mark R.; Sanders,   Dwight R.
This paper presents a general method for pricing weather derivatives. Specification tests find that a temperature series for Fresno, California follows a mean-reverting Brownian motion process with discrete jumps and ARCH errors. Based on this process, we define an equilibrium pricing model for cooling degree day weather options. Comparing option prices estimated with three methods: a traditional burn-rate approach, a Black-Scholes-Merton approximation, and an equilibrium Monte Carlo simulation reveals significant differences. Equilibrium prices are preferred on theoretical grounds, so are used to demonstrate the usefulness of weather derivatives as risk management tools for California specialty crop growers.
Tipo: Working or Discussion Paper
Palavras-chave: Derivative; Jump-diffusion process; Mean-reversion; Volatility; Weather; Demand and Price Analysis.
Ano: 2004
URL: http://purl.umn.edu/28536

Commodity Price Volatility: The Impact of Commodity Index Traders
Provedor de dados: 31
Autores: Getu,   Hailu; Weersink,   Alfons.
Over the years, critics have argued that futures market prices have been either too low or too high. Speculators have often been the target for the wrath of those feeling the futures price does not properly reflect market fundamentals. Recently, the criticism has been vented toward a new type of speculator that has been blamed for the dramatic changes in agricultural commodity prices experienced over the last several years. Commodity index traders (CITs) and other large institutional traders are commonly accused of exerting a destabilizing influence on commodity prices. The intensity of the debate over the role of CITs appeared to wane with the reduction in commodity prices since 2008 but the recent release of a well-publicized OECD report on the issue by...
Tipo: Report
Palavras-chave: Commodity; Index futures; Trading; Volatility; Agribusiness; Agricultural and Food Policy; Demand and Price Analysis; Marketing.
Ano: 2010
URL: http://purl.umn.edu/95803

Food Chain Actors’ Perceptions of and Adaptations to Volatile Markets: Results of a Media Analysis
Provedor de dados: 31
Autores: von Davier,   Zazie; Heyder,   Matthias; Theuvsen,   Ludwig.
The volatility of agricultural markets has increased remarkably in recent years. In spite of this, the way in which supply chain actors perceive market volatility has only rarely been analyzed. This paper seeks to close this research gap by presenting empirical findings about how the volatility of agricultural markets is perceived, how increasing market volatilities are being explained, and what adaptations to the volatile external environments are being suggested. Based on a large‐scale media analysis, we have identified perceptions, which vary greatly over time, especially with regard to the perception of the threats and opportunities volatility creates for farms and firms and the most frequently identified reasons for volatile prices.
Tipo: Conference Paper or Presentation
Palavras-chave: Agriculture; Media analysis; Public discourse; Shared assumptions; Volatility; Agribusiness; Agricultural and Food Policy; Food Consumption/Nutrition/Food Safety; Institutional and Behavioral Economics; Marketing; Production Economics; Research Methods/ Statistical Methods.
Ano: 2010
URL: http://purl.umn.edu/100472

Potential Implications of a Special Safeguard Mechanism in the WTO: the Case of Wheat
Provedor de dados: 31
Autores: Hertel,   Thomas W.; Martin,   William J.; Leister,   Amanda M.
The Special Safeguard Mechanism (SSM) was a key issue in the July 2008 failure to reach agreement in the WTO negotiations under the Doha Development Agenda. It includes both price (P-SSM) and quantity-triggered measures (Q-SSM). This paper uses a stochastic simulation model of the world wheat market to investigate the effects of policy makers implementing policies based on the SSM rules. As expected, implementation of the Q-SSM is found to reduce imports, raise domestic prices, and boost mean domestic production in the SSM regions. However, rather than insulating countries that use it from price volatility, it would actually increase domestic price volatility in developing countries, largely by restricting imports when domestic output is low and prices...
Tipo: Conference Paper or Presentation
Palavras-chave: Safeguard; SSM; WTO; Volatility; Wheat; Food security; Agricultural and Food Policy; International Development; Q1; Q17; Q18.
Ano: 2010
URL: http://purl.umn.edu/61000

Global Food Price Volatility and Spikes: An Overview of Costs, Causes, and Solutions
Provedor de dados: 31
Autores: von Braun,   Joachim; Tadesse,   Getaw.
Since the 2007–08 food crisis, many thoughtful analyses have addressed the causes and impacts of high and volatile international food prices and proposed solutions to the crisis. These studies have covered global as well as local food price dynamics and policy reactions. The food price problem is, however, far-reaching, and its impacts are wide and interrelated. The price formation mechanism has become highly complex and dynamic. Policy actions are politically and economically sensitive. This situation calls for continuous and comprehensive assessments of the problem to provide timely and evidence-based knowledge for policy makers. This paper reviews existing evidence and theories and presents new thoughts and insights from analyses to enlighten the course...
Tipo: Working Paper
Palavras-chave: Food security; Prices; Volatility; Poverty; Food policy; Speculation; Economic crises; Agricultural and Food Policy; Agricultural Finance; Community/Rural/Urban Development; Food Security and Poverty; Land Economics/Use; Production Economics; I38; O13; O16; Q11; Q18.
Ano: 2012
URL: http://purl.umn.edu/120021

Food Price Volatility and Macroeconomic Factors: Evidence from GARCH and GARCH-X Estimates
Provedor de dados: 31
Autores: Apergis,   Nicholas; Rezitis,   Anthony N.
This article examines food price volatility in Greece and how it is affected by short-run deviations between food prices and macroeconomic factors. The methodology follows the GARCH and GARCH-X models. The results show that there exists a positive effect between the deviations and food price volatility. The results are highly important for producers and consumers because higher volatility augments the uncertainty in the food markets. Once the participants receive a signal that the food market is volatile, this might lead them to ask for increased government intervention in the allocation of investment resources and this could reduce overall welfare.
Tipo: Journal Article
Palavras-chave: Relative food prices; Volatility; Macroeconomic factors; GARCH and GARCHX models; Demand and Price Analysis; Marketing; E60; Q10; Q19.
Ano: 2011
URL: http://purl.umn.edu/100650

ANÁLISE DA VOLATILIDADE DOS PREÇOS DE BOI GORDO NO ESTADO DE SÃO PAULO: UMA APLICAÇÃO DOS MODELOS GARCH
Provedor de dados: 31
Autores: Silva,   Carlos Alberto Goncalves da.
O presente trabalho teve como objetivo realizar uma análise da volatilidade do retorno dos preços de boi gordo  no Estado de São Paulo; examinando-se dois fatores determinantes, a persistência de choques e assimetrias na volatilidade, por meio da aplicação dos modelos ARCH/GARCH. Os resultados empíricos mostraram reações de persistência e assimetria na volatilidade, ou seja, os choques negativos e positivos têm impactos diferenciados sobre a volatilidade dos retornos dos preços do boi gordo, o que pode ser comprovado pelos modelos EGARCH e TARCH.---------------------------------------------  This paper aims to analyze the volatility process of the return the prices of beef cattle in the State of  São Paulo; examining two factors determinatives, the...
Tipo: Conference Paper or Presentation
Palavras-chave: Boi gordo; Volatilidade; Assimetria; Modelos ARCH/GARCH; Beef cattle; Volatility; Asymmetry; ARCH/GARCH models; Livestock Production/Industries.
Ano: 2008
URL: http://purl.umn.edu/113360

Return Relationships Among European Equity Sectors: A Comparative Analysis Across Selected Sectors in Small and Large Economies
Provedor de dados: 31
Autores: Taing,   Siv; Worthington,   Andrew.
This paper examines return interrelationships between numbers of equity sectors across several European markets. The markets comprise six Member States of the European Union (EU): namely, Belgium, Finland, France, Germany, Ireland and Italy. The five sectors include the consumer discretionary, consumer staples, financial, industrials and materials sectors. Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCHM) models are used to consider the impact of returns in other European markets on the returns in each market across each sector. The results indicate that there are relatively few significant interrelationships between sectors in different markets, with most of these accounted for by the larger markets in France, Germany and Italy....
Tipo: Journal Article
Palavras-chave: Risk and return; Volatility; Autoregressive conditional heteroskedasticity; C32; F36; G15.
Ano: 2005
URL: http://purl.umn.edu/37160

Direct payments, crop insurance and the volatility of farm income. Some evidence in France and in Italy
Provedor de dados: 31
Autores: Enjolras,   Geoffroy; Capitanio,   Fabian; Aubert,   Magali; Adinolfi,   Felice.
Volatility of farm income represents a major challenge for farm management and the design of public policies. This paper measures the extent to which risk management tools, especially direct payments and crop insurance, can significantly reduce crop income volatility in France and in Italy. We use an original dataset of 9,555 farms for the period 2003-2007 drawn up from the Farm Accountancy Data Network (FADN) and three different econometric models to explain the volatility of crop income. The results are contrasted between the specialization of the farms and the two countries: Italian farms use management tools (CAP payments and crop insurance) so as to improve their income and to reduce its volatility (crop insurance, inputs). French farms use the same...
Tipo: Presentation
Palavras-chave: Volatility; Direct payments; Insurance; France; Italy; FADN; Risk and Uncertainty; G22; Q14; Q18.
Ano: 2012
URL: http://purl.umn.edu/122478

Febre aftosa e volatilidade dos preços do produtor de carne suína
Provedor de dados: 31
Autores: Otuki,   Thiago Fleith; Weydmann,   Celso Leonardo; Seabra,   Fernando.
FMD focuses were found again in Brazil in 2004 and 2005, which caused embargo for Brazilian exports of pork meat. This paper investigates the volatility of prices received by pig producers after the FMD focus were found. Using a GARCH model, including a variable indicating FMD events, we cannot reject the hypothesis that the disease caused high pork price volatility. The conclusion is the FMD disease is related not only to losses due to embargoes but also to the increase of pork price volatility, which brings about instability to businesses and to pig producers income.
Tipo: Journal Article
Palavras-chave: Foot and mouth disease; Pork; Volatility; GARCH; Demand and Price Analysis.
Ano: 2009
URL: http://purl.umn.edu/56855

Since When Have FOREX Markets Incorporated EMU into Currency Pricing? Evidence from Four Exchange Rate Series
Provedor de dados: 31
Autores: Wilfling,   Bernd.
Recent theory on exchange rate dynamics suggests that the mere announcement of regime switching from floating to fixed rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-à-vis the German mark using daily data for the time prior to Stage III of EMU. Statistical inference yields the dates at which financial markets began to incorporate the expected EMU participation of each country into currency pricing. The data exhibits strong econometric evidence for two distinct views concerning the ultimate EMU membership: (1) Finland and France were considered irrefutable EMU members long before...
Tipo: Working or Discussion Paper
Palavras-chave: EMU; Exchange rate policy; Volatility; Regime-switching GARCH models; Financial Economics; F31; F33; C51.
Ano: 2001
URL: http://purl.umn.edu/26136

MARKET-MAKING BEHAVIOR IN FUTURES MARKETS
Provedor de dados: 31
Autores: Liu,   Holly; Williams,   Jeffrey C.; Jorda,   Oscar.
This paper examines voluntary market-making behavior, namely scalping, in futures markets. Specifically, this paper studies what factors determine scalpers' entry and exit, and how scalping affects market liquidity and price volatility. The data used for the analysis are time-stamped electronic transaction data marked with traders' identities from the Dalian Futures Exchanges in China. The contributions of this paper are: (1) to give detailed analysis of scalping behavior and its impact on market liquidity; (2) to develop new econometric tools for analyzing time-series count data; (3) to propose a new measure of liquidity.
Tipo: Conference Paper or Presentation
Palavras-chave: Liquidity; Market-Making; Futures Markets; Scalpers; Autoregressive Conditional Intensity (ACI); Volatility; Marketing.
Ano: 2001
URL: http://purl.umn.edu/18961

Exchange Rate Volatility in BRICS Countries
Provedor de dados: 31
Autores: Maradiaga,   David Isaias; Zapata,   Hector O.; Pujula,   Aude Liliana.
This paper measures the impact of bilateral exchange rates, the world agricultural GDP and third-country exchange rate volatilities (Yen/USD and Euro/USD) on the BRICS agricultural exports using a vector autoregressive (VAR) model. Two measures of volatility are used: the standard deviation and the coefficient of variation of the rates of change of the real exchange rates. We found that most variables are integrated of order two except the third-country exchange rate volatilities which are stationary and thus considered as exogenous in the VAR models. The causality between I(2) variables was tested using the modified Wald test introduced by Toda and Yamamoto (1995). We found that both volatilities (Yen/USD and Euro/USD) Granger cause Brazilian agricultural...
Tipo: Presentation
Palavras-chave: BRICS; Currency Exchange Rate; Volatility; Trade; Agricultural Exports; U.S. Dollar; Risk; International Relations/Trade.
Ano: 2012
URL: http://purl.umn.edu/119726

Structural Breaks and Financial Volatility: Lessons from BRIC Countries
Provedor de dados: 31
Autores: Morales,   Lucia; Gassie,   Esmeralda.
Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices and emerging economies, where a clear gap of research have been found regarding to the BRIC financial markets and the effects of the 2007-2009 World economy crisis. This lack of research might appear as surprising given that energy markets are of particular interest as they are considered a fundamental reference for economic recovery and growth. Therefore, this work aims to address this gap on the literature by looking at the BRIC financial markets and their co-movements with regard to some energy markets (oil, natural...
Tipo: Conference Paper or Presentation
Palavras-chave: BRIC; Energy Markets; GARCH; T-GARCH modeling; Volatility; Agribusiness; F; G.
Ano: 2011
URL: http://purl.umn.edu/115523

MEASURING MARKET RISK OF THE CATTLE FEEDING MARGIN: AN APPLICATION OF VALUE-AT-RISK ANALYSIS
Provedor de dados: 31
Autores: Manfredo,   Mark R.; Leuthold,   Raymond M.
VaR gives a prediction of potential portfolio losses, with a certain level of confidence, that may be encountered over a specified time period due to adverse price movements in the portfolio's assets.  For example, a VaR of 1 million dollars at the 95% level of confidence implies that overall portfolio losses should not exceed 1 million dollars more than 5% of the time over a given holding period.  This research examines the effectiveness of VaR measures, developed using alternative estimation techniques, in predicting large losses in the cattle feeding margin.  Results show that several estimation techniques, both parametric and non-parametric, provide well calibrated VaR estimates such that violations (losses exceed the VaR estimate) are commensurate...
Tipo: Conference Paper or Presentation
Palavras-chave: Value-at-Risk; Cattle Feeding; Volatility; Livestock Production/Industries; Risk and Uncertainty.
Ano: 1999
URL: http://purl.umn.edu/21628

EXCHANGE RATE VOLATILITY AND U.S. POULTRY EXPORTS: EVIDENCE FROM PANEL DATA
Provedor de dados: 31
Autores: Yuan,   Yan; Awokuse,   Titus O.
Very little research exists on the potential impact of exchange rate volatility on agricultural trade. This paper evaluates the effects of exchange rate volatility on U.S. poultry exports using the gravity model on panel data. We find that exchange rate volatility has a negative effect on the U.S. poultry export but only statistically significant for the model in which we use the variance of spot exchange rate as the measurements. Consistent with previous studies, foreign incomes are also a very important determinant of poultry trade.
Tipo: Conference Paper or Presentation
Palavras-chave: Exchange rates; Volatility; Agricultural trade; Poultry exports; Panel data; International Relations/Trade.
Ano: 2003
URL: http://purl.umn.edu/22083

Possibilidade de arbitragem no mercado de câmbio brasileiro
Provedor de dados: 31
Autores: Cassuce,   Francisco Carlos da Cunha; Muller,   Carlos Andre da Silva; Campos,   Antonio Carvalho.
The objective of this work is to determine the presence of volatility in the spot and futures exchange rates, detecting, thus, the presence of risk. Identified the volatility, it is looked for shaping it through the construction of models capable to forecast the behavior of the spot and futures exchange rates. The GARCH and TARCH models had been used to shape the volatility of the exchange rates. Gotten the estimates, it is verified existence of convergence of these rates in the date of the expirations of future contracts, identifying, thus, the chance to get profits with arbitrage. The results had shown more that the spot and futures exchange rates are very volatile and the spot exchange market presents asymmetry, being affected for negative impacts. The...
Tipo: Journal Article
Palavras-chave: Arbitrage; Spot exchange rate; Futures exchange rate; Volatility; International Relations/Trade.
Ano: 2006
URL: http://purl.umn.edu/55177

Does Futures Price Volatility Differ Across Delivery Horizon?
Provedor de dados: 31
Autores: Karali,   Berna; Dorfman,   Jeffrey H.; Thurman,   Walter N.
We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via the smoothed Bayesian estimator of Karali, Dorfman, and Thurman (2010). We show that the futures price volatilities in these markets are affected by the inventories, time to delivery, and the crop progress period. Some of these effects vary across delivery horizons. Further, it is shown that the price volatility is higher before the harvest starts in most of the cases compared to the volatility during the planting period. These results have implications for hedging, options pricing, and the setting of margin requirements.
Tipo: Conference Paper or Presentation
Palavras-chave: Bayesian econometrics; Futures markets; Seasonality; Theory of storage; Volatility; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Consumer/Household Economics; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty.
Ano: 2009
URL: http://purl.umn.edu/53036

Volatility in Agriculture Commodity Prices in India: Impact and Macroeconomic and Sector-Specific Policy Responses
Provedor de dados: 31
Autores: Bathla,   Seema.
Globalization and trade liberalization have exposed agricultural sector of many developing countries to sudden disturbances, caused not just by demand-supply conditions within their economies but also by volatility in global commodity prices, exchange rate and surge in imports. This paper evaluates the magnitude of sensitivity of Indian agriculture to these factors, and explores policy options that may neutralize their adverse effects, maintain price incentives and stability. The analysis is undertaken for one important tradable commodity viz. wheat by applying a structural econometric model, separately under the exportable and importable scenarios from 1980-81 to 2009-10. Findings reveal wheat to be increasingly driven by an incentive structure based on...
Tipo: Presentation
Palavras-chave: Agricultural trade; Price transmission; Volatility; Macroeconomic policies; International Relations/Trade; Risk and Uncertainty; Q17; C22; E69; E60.
Ano: 2012
URL: http://purl.umn.edu/122543

Media Analysis on Volatile Markets’ Dynamics and Adaptive Behavior for the Agri-Food System
Provedor de dados: 31
Autores: von Davier,   Zazie; Heyder,   Matthias; Theuvsen,   Ludwig.
The volatility of agricultural markets has increased remarkably in recent years. In spite of this, the way in which supply chain actors perceive market volatility has only rarely been analyzed. This paper seeks to close this research gap by presenting empirical findings about how the volatility of agricultural markets is perceived, how increasing market volatilities are being explained, and what adaptations to the volatile external environments are being suggested. Based on a large-scale media analysis, we have identified perceptions, which vary greatly over time, especially with regard to the perception of the threats and opportunities volatility creates for farms and firms and the most frequently identified reasons for volatile prices
Tipo: Journal Article
Palavras-chave: Agriculture; Media analysis; Public discourse; Shared assumptions; Volatility; Agribusiness; Agricultural and Food Policy; Food Consumption/Nutrition/Food Safety; Food Security and Poverty; Production Economics; Research Methods/ Statistical Methods; Risk and Uncertainty.
Ano: 2010
URL: http://purl.umn.edu/97024

Preisvolatilität  auf  landwirtschaftlichen  Märkten
Provedor de dados: 31
Autores: Ledebur,   Oliver von; Schmitz,   Jochen.
Zusammenfassung: In diesem Beitrag wird die Entwicklung der Preisvolatilität auf deutschen Agrarmärkten analysiert. Ziel ist es das Ausmaß der Preisvolatilität auf ausgewählte deutsche Agrarmärkte zu quantifizieren und festzustellen inwiefern sie sich im Zeitablauf verändert hat. Soweit möglich wird eine Vergleichbarkeit zwischen den Entwicklungen auf nationalen und internationalen Produktmärkten hergestellt, bzw. es werden die jeweiligen Entwicklungen zueinander in Bezug gestellt. In diesem Zusammenhang gestellte Fragen sind:  –  Hat es eine Erhöhung der Preisvolatilität gegeben?  –  Stammt diese aus den Weltmärkten?  –  Welche Auswirkungen hat die Preisvolatilität auf die Marktakteure?  –  Welche Rolle spielen dabei die Instrumente der Agrarpolitik und...
Tipo: Report
Palavras-chave: Volatilität; Deutsche Agrarmärkte; Agrarpolitik; Volatility; German agricultural markets; Agricultural policy; Agricultural and Food Policy; Demand and Price Analysis; Q11; Q13; Q18.
Ano: 2011
URL: http://purl.umn.edu/104075

HIGH PRICE VOLATILITY AND SPILLOVER EFFECTS IN ENERGY MARKETS
Provedor de dados: 31
Autores: Singh,   Aaron; Karali,   Berna; Ramirez,   Octavio A.
Replaced with revised version of paper 07/22/11.
Tipo: Conference Paper or Presentation
Palavras-chave: Asymmetric shocks; Energy markets; Oil; Spillover effects; Volatility; Marketing; Resource /Energy Economics and Policy; GARCH.
Ano: 2011
URL: http://purl.umn.edu/103593

PRICE DISCOVERY FOR STOCKER CATTLE FUTURES AND OPTIONS
Provedor de dados: 31
Autores: Diersen,   Matthew A.; Klein,   Nicole L.
Low trading volume in the CME stocker cattle contracts has made hedgers and speculators reluctant to use the contracts. Traders need decision tools to discover prices or to evaluate quoted prices that may not contain all the information in the market. The number of head of stocker weight cattle sold on the spot market has increased in recent years while the practice of cross-hedging stocker weight cattle against the feeder cattle contract remains risky. A model explains the spread  between feeder cattle and stocker cattle futures prices as a function of feed prices, live cattle prices, and seasonal factors. The volatility of spot stocker cattle prices is comparable to spot feeder cattle prices, supporting the idea of using feeder cattle implied volatility...
Tipo: Conference Paper or Presentation
Palavras-chave: Stocker cattle; Cross-hedging; Volatility; Limit order; Thin markets; Marketing.
Ano: 2000
URL: http://purl.umn.edu/18940

IS A PUBLIC REGULATION OF FOOD PRICE VOLATILITY FEASIBLE IN AFRICA? AN ARCH APPROACH IN KENYA
Provedor de dados: 31
Autores: Maitre d'Hotel,   Elodie; le Cotty,   Tristan; Jayne,   Thomas S.
The 2007-2008 food crisis and current food price swings led economists to re-evaluate the potential for policy instruments to manage food price volatility. Many developing countries recently pursued price regulation policies, but the difficulties of these policies in promoting price stability is not fully understood. In particular, the ability of a stabilization policy to lower food price volatility does not depend on the nature of the policy instrument only, but also on the institutional conditions of its implementation. Kenya is a particularly interesting case as it is characterized by a rather long tradition of public intervention, and by the persistence of highly volatile prices. The consistency of the policy use appears to be key factor influencing...
Tipo: Presentation
Palavras-chave: Volatility; Predictability; Consistency; Food; Policy; Kenya; Food Security and Poverty; International Development; Risk and Uncertainty; D84; Q13; Q18.
Ano: 2012
URL: http://purl.umn.edu/122551

Price volatility and accuracy of price risk measurement depending on methods and data aggregation: The case of wheat prices in the EU countries
Provedor de dados: 31
Autores: Figiel,   Szczepan; Hamulczuk,   Mariusz; Klimkowski,   Cezary.
In this paper we use weekly milling wheat price series for nine selected EU countries to evaluate levels and components of volatility in the period from July 2004 to April 2011 and to examine how sensitive the results can be to spatial aggregation of the price data. The prices were analyzed in levels and logarithmic rate of returns. To asses price risk, apart from basic measures of price variability, the price series were decomposed using multiplicative model in order to determine shares of seasonal and random components in the total variance of the prices. We also applied ARMAX model to separate the stochastic components of the price series to properly evaluate real price risk exposure and tested for ARCH and GARCH effects. We found considerable...
Tipo: Presentation
Palavras-chave: Wheat prices; Volatility; Price risk; Data aggregation; Risk and Uncertainty; C22.
Ano: 2012
URL: http://purl.umn.edu/122549

An Examination of the Volatile Nature of Grass Production in Ireland
Provedor de dados: 31
Autores: O'Connor,   Declan; Hennessy,   Deirdre; Shalloo,   Laurence; Hurtado-Uria,   Cristina.
Grass production provides Irish dairy farmers with a competitive advantage over many of their mainland European counterparts by providing a cheap feed source. The temperate climate in Ireland favours the production of  grass, however production is highly seasonal with little growth over the winter period. This seasonal pattern of grass production in turn has resulted in predominantly spring calving dairy herds and has limited the development of the dairy product portfolio in Ireland which has created a reliance on dairy commodities. As Ireland exports approximately 80% of its dairy output, recent substantial increases in market price volatility has resulted in increased price volatility at farm level. The increased price volatility at market and farm level...
Tipo: Presentation
Palavras-chave: Grass Production; Volatility; Risk Management; Risk Management Tools; Farm Management; Risk and Uncertainty.
Ano: 2012
URL: http://purl.umn.edu/122452

Climate Volatility and Poverty Vulnerability in Tanzania
Provedor de dados: 31
Autores: Ahmed,   Syud Amer; Diffenbaugh,   Noah S.; Hertel,   Thomas W.; Ramankutty,   Navin; Rios,   Ana R.; Rowhani,   Pedram.
Climate volatility will increase in the future, with agricultural productivity expected to become increasingly volatile as well. For Tanzania, where food production and prices are sensitive to the climate, rising climate volatility can have severe implications for poverty. We develop and use an integrated framework to estimate the poverty vulnerabilities of different socio-economic strata in Tanzania under current and future climate. We find that households across various strata are similarly vulnerable to being impoverished when considered in terms of their stratum’s populations, with poverty vulnerability of all groups higher in the 21st Century than in the late 20th Century. When the contributions of the different strata to the national poverty changes...
Tipo: Conference Paper or Presentation
Palavras-chave: Climate; Volatility; Poverty vulnerability; Tanzania; Environmental Economics and Policy; Food Security and Poverty; International Development.
Ano: 2009
URL: http://purl.umn.edu/49358

THE EFFECT OF EXCHANGE RATE VOLATILITY ON WHEAT TRADE WORLDWIDE
Provedor de dados: 31
Autores: Sun,   Changyou; Kim,   Mina; Koo,   Won W.; Cho,   Guedae; Jin,   Hyun Joung.
A modified gravity-type model was employed to evaluate the effect of exchange rate volatility on wheat exports worldwide.  Special attention was given to the econometric properties of the gravity model within panel framework.  Short and long-term measures of exchange rate volatility were constructed and compared.  Both measures of exchange rate volatility have exhibited a negative effect on world wheat trade and the long-term effect was even larger.  This result implies that exchange rate volatility is an important factor in explaining the trade pattern of wheat trade worldwide.  Keywords: wheat, export, exchange rate, volatility, gravity model, and panel data.
Tipo: Conference Paper or Presentation
Palavras-chave: Wheat; Export; Exchange rate; Volatility; Gravity model; And panel data.; International Relations/Trade.
Ano: 2002
URL: http://purl.umn.edu/19766

Market Risk and Volatility in the Brazilian Stock Market
Provedor de dados: 31
Autores: Yoshino,   Joe Akira.
We estimate in this paper the market risk implied by the prices of different options traded in the Brazilian stock market. The fundamental theory to handle this problem is the one implied by the Arrow-Debreu contingent claim concept. Using that theory, we are able to construct the term structure of market risk, and to obtain a surface that provides slices for a particular “volatility smile.” The methodology that we use follows the one proposed by Shimko (1993), which is able to calculate a non-lognormal probability density function (PDF) consistent with the volatility observed in a relatively small sample of option prices. This methodology goes beyond the one proposed originally by Black and Scholes (1973), since it does not require log-normality of the...
Tipo: Journal Article
Palavras-chave: Arrow-Debreu contingent claim; Options; Black-Scholes; Market risk; Volatility; Brazilian stock market; Risk and Uncertainty; Marketing; G12; G13.
Ano: 2003
URL: http://purl.umn.edu/44000

THE EFFECTS OF FUTURES TRADING BY LARGE HEDGE FUNDS AND CTAS ON MARKET VOLATILITY
Provedor de dados: 31
Autores: Holt,   Bryce R.; Irwin,   Scott H.
This study uses the newly available data from the CFTC to investigate the market impact of futures trading by large hedge funds and CTAs. Regression results show that there is a positive relationship between the trading volume of large hedge funds and CTAs and market volatility. However, a positive relationship between hedge fund and CTA trading volume and market volatility is consistent with either a private information or noise trader hypothesis. Three additional tests are conducted to distinguish between the private information hypothesis and the noise trader hypothesis.  The first test consisted of identifying the noise component exhibited in return variances  over different holding periods. The variance ratio tests provide little support for the noise...
Tipo: Conference Paper or Presentation
Palavras-chave: Hedge fund; Commodity trading advisor; Volatility; Market efficiency; Futures markets; Marketing.
Ano: 2000
URL: http://purl.umn.edu/18935

Do Trade Agreements Reduce the Volatility of Agricultural Distortions?
Provedor de dados: 31
Autores: Cadot,   Olivier; Olarreaga,   Marcelo; Tschopp,   Jeanne.
The objective of this paper is to evaluate the extend to which trade agreements affect agricultural trade policy volatility. Using a new panel database compiled as part of the World Bank's Agricultural Distortions research project, we estimate the effect of regionalism (proxied in various ways) on the volatility of price distortions measured by the absolute value of their first differences, averaged, for each country and year, over all agricultural goods. Using an instrumental-variable approach to correct for the endogeneity of regional trade agreements, (RTAs), we find that participation in RTAs has a significantly negative effect on agricultural trade-policy volatility. We find that the WTO's agricultural agreement also contributed to reducing...
Tipo: Working or Discussion Paper
Palavras-chave: Distorted incentives; Agricultural and trade policy reforms; National agricultural development; Agricultural protection; Volatility; Credibility; Agricultural and Food Policy; International Relations/Trade; F13; F14; Q17; Q18; F10.
Ano: 2009
URL: http://purl.umn.edu/50303

ANÁLISE DA VOLATILIDADE DOS PREÇOS NO MERCADO SPOT DE CAFÉS DO BRASIL
Provedor de dados: 31
Autores: Lamounier,   Wagner Moura.
It was intended in this research to detect and to analyze the existence of conditional volatility in the time series of the prices of the spot market of the Brazilian coffee in the New York Board of Trade (NYBOT) in the period between January of 1946 and December of 2000. The results of the models of GARCH type, applied for the prices of the coffee, indicated that the conditional variance of the residues of the models possess unit roots and the same one will not present a behavior of reversion to its historical average with passing of the time, after a shock. This happens because, the coefficients of volatility persistence had been all bigger or next to one
Tipo: Journal Article
Palavras-chave: Volatility; GARCH model; Coffee prices.
Ano: 2006
URL: http://purl.umn.edu/43814

Commodity Price Volatility: The Impact of Commodity Index Traders
Provedor de dados: 31
Autores: Hailu,   Getu; Weersink,   Alfons.
Tipo: Working or Discussion Paper
Palavras-chave: Index; Traders; Commodity; Price; Volatility; Agricultural and Food Policy; Demand and Price Analysis; Marketing.
Ano: 2011
URL: http://purl.umn.edu/102305

Economic Potential of Greenhouse Gas Emission Reductions: Comparative Role for Soil Sequestration in Agriculture and Forestry
Provedor de dados: 31
Autores: Schneider,   Uwe A.; McCarl,   Bruce A.; Murray,   Brian C.; Williams,   Jimmy R.; Sands,   Ronald D.
We use the Agricultural Sector Model to analyze the economic potential of soil carbon sequestration as one of several agricultural greenhouse gas emission mitigation strategies, including afforestation. For low incentives on carbon emission savings, agricultural soil carbon sequestration is the most cost-efficient strategy. As incentive levels increase above $50 per ton of carbon equivalent, afforestation and biofuel production become the key strategies, while the role of soil carbon diminishes. If saturating sinks are discounted based on their net present value, the competitive economic equilibrium among agricultural mitigation strategies shifts away from soil carbon sequestration and afforestation and toward more biofuel production. Regardless of the...
Tipo: Working or Discussion Paper
Palavras-chave: Afforestation; Agricultural Sector Model; Carbon sequestration dynamics; Economic potential; Emission leakage; Greenhouse gas emission mitigation; Sink saturation; Technical potential; Volatility; Environmental Economics and Policy.
Ano: 2001
URL: http://purl.umn.edu/18378

Management of Volatility in the Grain Market
Provedor de dados: 31
Autores: Guenther-Luebbers,   Welf; Henke,   Soren; Theuvsen,   Ludwig.
Food prices have steadily risen since the 1990s, and price were especially volatile in the years 2008 and 2010. This trend has also been reflected in the European grain market, which presents all European companies along the food value chain with new challenges. This paper focuses on the impacts of increased price volatility on the grain market. Furthermore, it describes and evaluates government interventions attempting to reduce this volatility. At the same time, it describes and assesses private management methods of dealing with price volatility. In this article, we provide an opportunity to understand how the European cereals market evolved to reach its present state and suggest future possible price assurance systems, such as insurance for the basic...
Tipo: Presentation
Palavras-chave: Management; Volatility; Grain Market; Risk and Uncertainty; Q 10; Q12; Q14; Q 17; Q 18.
Ano: 2012
URL: http://purl.umn.edu/122548

Uma análise da volatilidade condicional da inflação mineira no período pós-plano Real
Provedor de dados: 31
Autores: Caetano,   Sidney Martins; Correa,   Wilson L. Rotatori.
In this paper we dedicate attention to the inflation dynamics in the metropolitan area of Belo Horizonte – Minas Gerais – through estimating an ARCH model considering its relative significance among those metropolitan areas that compose the national consumer price index (IPCA). Our results indicate that inflation in Minas Gerais presents an inertial component and that shocks hitting the Brazilian economy independent of arising from internal or from external sources only affect the conditional inflation volatility in Minas Gerais with a delay.
Tipo: Journal Article
Palavras-chave: Regional inflation; Volatility; ARCH models; Political Economy.
Ano: 2008
URL: http://purl.umn.edu/53877

Do Inventory and Time-to-Delivery Effects Vary Across Futures Contracts? Insights from a Smoothed Bayesian Estimator
Provedor de dados: 31
Autores: Karali,   Berna; Dorfman,   Jeffrey H.; Thurman,   Walter N.
Replaced with revised version of paper 07/15/08.
Tipo: Conference Paper or Presentation
Palavras-chave: Volatility; Theory of storage; Futures markets; Bayesian econometrics; Lumber; Marketing.
Ano: 2008
URL: http://purl.umn.edu/6084

Increasing volatility of input costs in the EU agriculture
Provedor de dados: 31
Autores: Himics,   Mihaly; Van Doorslaer,   Benjamin; Ciaian,   Pavel; Shrestha,   Shailesh.
In this paper the impact of possible input cost developments on the EU agriculture is analysed under ceteris paribus conditions. Two scenarios are developed with the partial equilibrium model CAPRI. The scenarios assume symmetric input price changes in positive and negative directions around a projected baseline in year 2020. The magnitude of the input price changes are based on observed volatility. To measure the volatility, the annual time-series of the CoCo database were analysed, which contains input cost estimates for a multitude of agricultural activities and cost categories at the geographical level of the EU countries. Our results suggest that the uncertainty in input cost development has a strong potential to affect commodity market balances and...
Tipo: Presentation
Palavras-chave: Input costs; Volatility; CAPRI; Farm income; Risk and Uncertainty; Q13.
Ano: 2012
URL: http://purl.umn.edu/122531

Agricultural yield expectations under climate change - a Bayesian approach
Provedor de dados: 31
Autores: Krause,   Jette.
In the years to come, German wheat, corn and aggregated cereal yields can be expected to show growing deviations from a linearly increasing trend. This results from the Bayesian Updating approach I apply to agricultural yield data. The updating procedure is carried out on a set of hypotheses on yield development, which are weighted in the light of yield data from 1950 through 2006. All hypotheses share the assumption of a linear yield trend with normally distributed variance of actual data from this trend, but differ in regard to possible future developments. The set of hypotheses allows for both the trend and the variance of data to stay unchanged, increase or decrease by 20 per cent from one period to the next. As a result, yield expectations converge to...
Tipo: Conference Paper or Presentation
Palavras-chave: Bayesian updating; Agricultural yields; Expectation; Risk; Climate change; Trend; Variance; Volatility; Crop Production/Industries; Environmental Economics and Policy.
Ano: 2007
URL: http://purl.umn.edu/9273

Volatility Surface and Skewness in Live Cattle Futures Price Distributions with Application to North American BSE Announcements
Provedor de dados: 31
Autores: Thomsen,   Michael R.; McKenzie,   Andrew M.; Power,   Gabriel J.
Tipo: Conference Paper or Presentation
Palavras-chave: Options markets; Live cattle; Volatility; Pricing density function; Financial Economics; Livestock Production/Industries; Risk and Uncertainty.
Ano: 2009
URL: http://purl.umn.edu/49354

Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand
Provedor de dados: 31
Autores: Bekkerman,   Anton; Pelletier,   Denis.
The 2006 spike in corn-based ethanol demand has contributed to the increase in basis volatility in corn and soybean markets across the United States, which has, to a significant degree, led to the observed large jumps in the prices of the two commodities. Despite the overall rise in basis volatility, there remain differences in the degree of volatility that exists across spatially separated markets, which might be caused by factors such as transportation costs, seasonality, and time-to-delivery. The focus of this study is threefold first, this work models basis data for six corn and soybean markets by using a multivariate GARCH model that incorporates the spatial linkages of these markets; next, the model is used to investigate whether the increase in...
Tipo: Conference Paper or Presentation
Palavras-chave: Basis; Spatially separated markets; Multivariate GARCH; Volatility; Agricultural Finance; Demand and Price Analysis; Q11; Q14; G13.
Ano: 2009
URL: http://purl.umn.edu/49281

Components of Grain Futures Price Volatility
Provedor de dados: 31
Autores: Karali,   Berna; Thurman,   Walter N.
We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, a generalized least squares method is implemented that allows us to clearly distinguish among time-to-delivery effects, seasonality, calendar trend, and volatility persistence. We find strong evidence of time-to-delivery (Samuelson) effects and systematic seasonal components with volatility increasing prior to harvest times— an indirect confirmation of the theory of storage.
Tipo: Journal Article
Palavras-chave: Futures markets; Samuelson effect; Seasonality; Time to maturity; Volatility; Crop Production/Industries; Risk and Uncertainty.
Ano: 2010
URL: http://purl.umn.edu/93205

THE EFFECT OF EXCHANGE RATE VOLATILITY ON WHEAT TRADE WORLDWIDE
Provedor de dados: 31
Autores: Sun,   Changyou; Kim,   Mina; Koo,   Won W.; Cho,   Guedae; Jin,   Hyun Joung.
A modified gravity-type model was employed to evaluate the effect of exchange rate volatility on wheat exports worldwide.  Special attention was given to the econometric properties of the gravity model within a panel framework.  Short and long-term measures of exchange rate volatility were constructed and compared.  Both measures of exchange rate volatility exhibited negative effects on world wheat trade, with even greater effects in the long-term measure.  This result implies that exchange rate volatility is an important factor in explaining the trade pattern of wheat worldwide.
Tipo: Working or Discussion Paper
Palavras-chave: Wheat; Export; Exchange rate; Volatility; Gravity model; And panel data.; International Relations/Trade.
Ano: 2002
URL: http://purl.umn.edu/23579

Which factors drive which volatility in the grain sector?
Provedor de dados: 31
Autores: Ott,   Herve.
The present paper attempts to find empirical evidence on volatility in the grain sector (wheat, corn and soybean). The first challenge is to measure volatility. Intra-year volatility, inter-year volatility in level and return, also conditional volatility are defined and then calculated. The second challenge is to determine which factors impact volatility. The results show that depending on how volatility is measured, factors driving volatility are very different regarding their quantitative importance. Low stock to use ratio drives up mostly intra-year volatility but only moderately inter-year volatility and has almost no impact on conditional volatility. In contrast, a well functioning international market (trade flows without restriction) lowers...
Tipo: Presentation
Palavras-chave: Volatility; Agricultural commodities; Risk and Uncertainty; C26; C32; Q11.
Ano: 2012
URL: http://purl.umn.edu/122486

ANÁLISE DA VOLATILIDADE DO DÓLAR E DO EURO: UM DIRECIONAMENTO PARA EMPRESAS DO AGRONEGÓCIO
Provedor de dados: 31
Autores: Jubert,   Roberto Wagner; Paixao,   Marcia Cristina; Maia,   Sinezio Fernandes.
A análise do padrão da volatilidade dos retornos gerados por derivativos de moedas estrangeiras é tópico particularmente importante para empresas que realizam volume significativo de negócios com o exterior, a exemplo dos grandes produtores brasileiros de produtos agropecuários, e que atuam no mercado de derivativos buscando eliminar riscos financeiros ligados às variações das taxas de câmbio. Neste artigo, realizou-se uma análise do padrão da volatilidade dos retornos do dólar americano e do euro, utilizando-se modelos da classe ARCH, considerando como premissa básica que a variância condicional fornecida por estes modelos pode ser utilizada como proxy para a volatilidade dos retornos dos derivativos de moedas estrangeiras. Os resultados sugerem que...
Tipo: Conference Paper or Presentation
Palavras-chave: Modelos ARCH; Taxa de câmbio; Volatilidade; ARCH models; Exchange rate; Volatility; International Relations/Trade.
Ano: 2008
URL: http://purl.umn.edu/114123

O IMPACTO DA VOLATILIDADE NOS PREÇOS RECEBIDOS PELOS PRODUTORES DO CAFÉ NO MERCADO INTERNACIONAL
Provedor de dados: 31
Autores: Amin,   Mario Miguel; Monte,   Leila Fatima; Correia,   Alessandro De Castro; Santos,   Danielle Cristina Gonzaga Dos.
A análise da volatilidade nos preços recebidos pelos produtores do café no mercado internacional demonstrou a instabilidade na renda dos produtores no Brasil, Índia, Colômbia, México e Etiópia. Esta instabilidade, decorrente da persistência e do agrupamento da volatilidade foi observada através da mensuração empírica dos modelos econométricos GARCH. O teste ARCH caracterizou todas as séries de preços do café como heteroscedástica, ou seja, os retornos do café apresentaram sinais de autocorrelação, que em termos econômicos significa acentuadas flutuações dos preços em torno da média. A análise empírica dos modelos GARCH (1,1) e EGARCH (1,1) mostrou para a série de retornos do café no Brasil e Etiópia a existência da persistência e assimetria da...
Tipo: Conference Paper or Presentation
Palavras-chave: Volatilidade; Café; Renda do produtor; Mercado; Riscos; Volatility; Coffee; Income the producer; Market; Risks; Crop Production/Industries; International Development.
Ano: 2008
URL: http://purl.umn.edu/112834

A crise econômica mundial de 2007 a 2009 e o setor exportador de café no Brasil: análise das perdas
Provedor de dados: 31
Autores: Pereira,   Vanessa da Fonseca; Campos,   Antonio Carvalho; Braga,   Marcelo Jose; Mendonca,   Talles Girardi de.
This study analyzed the Brazilian coffee exporter’s losses between the years 2002 and 2009, by emphasizing the 2007/09 crisis, which affected several sectors and generated instability and uncertainty about the future results of the economic activities. The Brazilian coffee exporting sector is fully inserted in this context, once it acts in the financial markets and it is still subject to the strong variations from the physical market. Thus, the central analysis dealt with the volatility of the exporters returns and was based on auto regressive models with conditional heteroscedaticity (ARCH) and on the Value at Risk (VAR) estimative. As a supplement, the effects from the external demand for the Brazilian coffee and from the exchange rate variation over the...
Tipo: Article
Palavras-chave: Volatility; Coffee; Crisis; Demand and Price Analysis; International Relations/Trade.
Ano: 2011
URL: http://purl.umn.edu/121295

Asymmetry, Risk, and Correlation Dynamics in the U.S. Fiber Market
Provedor de dados: 31
Autores: Fadiga,   Mohamadou L.; Misra,   Sukant K.
This study looked at the dynamics of conditional correlations and hedging strategies in the US main cotton producing regions. A two-step procedure was utilized to model, estimate, and analyze volatility, conditional correlations, and the optimal hedge ratios using spot prices in the Delta, Southeast, Southern Plains, and the Southwest regions and the New York commodity exchanges December futures contracts.  The results indicate that volatilities in most of the regions are asymmetric and persistent. The derived conditional correlations and the optimal hedging ratios are dynamic although they do not have unit root. Moreover, the changes in agricultural policies altered the dynamics of correlations and producers' hedging strategies in the Delta, Southeast,...
Tipo: Conference Paper or Presentation
Palavras-chave: Cotton; Volatility; Asymmetry; Multivariate conditional correlations; Optimal; Risk and Uncertainty.
Ano: 2005
URL: http://purl.umn.edu/19459

Transmissão de preços na cadeia de carne suína: uma aplicação para preços de São Paulo
Provedor de dados: 31
Autores: Weydmann,   Celso Leonardo; Seabra,   Fernando.
Changes in the pork chain bring about the discussion whether the wholesale sector has the leadership of price transmission and also if prices are efficient market indicators. The paper aims to identify what segment is the price leader in the pork chain and also to characterize the price volatility considering producer, wholesale and retail prices for the state of São Paulo between 1995 and 2005. The data analysis was conducted by estimating a VAR model which included an ARCH process for measuring price volatility. A Granger causality test was also implemented to check the price direction transmission. The results pointed out that price transmission occurs from wholesale to producer sectors and also that the price conditional variance for the wholesale...
Tipo: Journal Article
Palavras-chave: Price transmission; Pork chain; Volatility; Demand and Price Analysis.
Ano: 2006
URL: http://purl.umn.edu/55182

What Explains High Commodity Price Volatility? Estimating a Unified Model of Common and Commodity-Specific, High- and Low-Frequency Factors
Provedor de dados: 31
Autores: Karali,   Berna; Power,   Gabriel J.
We estimate a model of common and commodity-specific, high- and low-frequency factors, built on the spline-GARCH model of Engle and Rangel (2008) to explain the period of exceptionally high price volatility in commodity markets during 2006-2008. We find that decomposing realized volatility into high- and low-frequency components reveals the impact of slowly-evolving macroeconomic variables on the price volatility. Further, we find that while macroeconomic variables have similar effects within the same commodity category (e.g., storable agricultural), they have different effects across commodity groups (e.g., live stock versus energy).
Tipo: Conference Paper or Presentation
Palavras-chave: Volatility; Spline-GARCH; Futures markets; Agricultural Finance; Demand and Price Analysis.
Ano: 2009
URL: http://purl.umn.edu/49576

The relationship between trade and price volatility in the Mexican and US maize markets
Provedor de dados: 31
Autores: Araujo-Enciso,   Sergio Rene.
The supply of maize in the Mexican market depends to a large extent from the US imports which represent a large share of the domestic consumption. Furthermore imports exhibit a seasonal pattern, and peaks are often found close to low levels of domestic production and stocks. The present research suggests that there is a link between imports and prices volatility. Below a threshold value, imports and volatility are not related, but beyond the threshold it is volatility the variable driving imports. From the results one can argue that imports have served as a measure to stabilize prices when the domestic supply is scarce.
Tipo: Presentation
Palavras-chave: Volatility; Maize; Imports; Mexico; Risk and Uncertainty; Q11; Q17.
Ano: 2012
URL: http://purl.umn.edu/122544

Interrelationship and Volatility Transmission between Grain and Oil Prices
Provedor de dados: 31
Autores: Kong,   Minji; Han,   Doo Bong; Nayga,   Rodolfo M., Jr.
This study analyzes the interrelationship and volatility between grain and oil prices. Specifically, the objective of this study is to investigate the volatility transmission mechanism of grain prices with oil prices, under the assumption that an increase in crude oil prices not only affects corn and soybean prices but also other grain commodity prices such as wheat and rice. The results presented in this paper suggest several conclusions. First, there is a short-run relationship between the grain market and oil prices, which implies that recent co-movements of oil and grain prices are just a temporary phenomenon. Second, grain prices, except for rice, are affected by oil prices to some degree. Finally, the volatilities of oil prices influence the...
Tipo: Presentation
Palavras-chave: Grain prices; Volatility; Volatility Transmission; VAR; GARCH; Resource /Energy Economics and Policy.
Ano: 2012
URL: http://purl.umn.edu/124377

Measurement of Commodity Price Risk: an overview of Brazilian agricultural markets
Provedor de dados: 123
Autores: Capitani,Daniel Henrique Dario; Mattos,Fabio.
Abstract: This study explores different procedures to estimate price risk in commodity markets. Focusing on Brazilian agricultural markets, the paper proposes to assess both dispersion and downside risk measures using five different approaches (volatility, coefficient of variation, lower partial moments, value at risk and conditional value at risk). Results suggest that some commodities have large price variability but small downside risk, while other commodities show small price variability and large downside risk. Thus, there is no single answer to the question of which commodity exhibits more price risk, but rather distinct answers depending on how risk is perceived by different individuals. These findings are relevant for agents in the agricultural...
Tipo: Info:eu-repo/semantics/article
Palavras-chave: Commodity price; Risk; Volatility; Downside risk.
Ano: 2017
URL: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0103-20032017000300515

Persistence effect determination of variability in forecasting of agricultural and road machinery national production
Provedor de dados: 65
Autores: Martins,Tailon; Barreto,Alisson Castro; Coronel,Daniel Arruda; Jacobi,Luciane Flores; Lirio,Valentina Wolff; Souza,Adriano Mendonça.
ABSTRACT: The objective of this research was to forecast the Brazilian national production of agricultural and road machinery in the short term by BOX &amp; JENKINS methodology and determine the persistence effect. Data were obtained at National Association of Automotive Vehicle Manufacturers (ANFAVEA) from January 1960 to October 2019, totaling 718 monthly observations. The Autoregressive Integrated Moving Average (ARIMA) and Autoregressive Conditional Heteroscedasticity (ARCH) methodology were used. The ARIMA (2,1,1)-ARCH (2) model was fitted and persistence of 0.60 was determined, showing that the instability in the series will be for a long period of time.
Tipo: Info:eu-repo/semantics/article
Palavras-chave: Time series; Prediction; Volatility; Agricultural machinery; Road machinery.
Ano: 2020
URL: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0103-84782020000600351