SABIIA - Sistema Aberto e Integrado de Informação em Agricultura (Sabiia)

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...

Do Trade Agreements Reduce the Volatility of Agricultural Distortions?

Palavras-chave: Hedge fund; Commodity trading advisor; Volatility; Market efficiency; Futures markets; Marketing.

Ano: 2000

URL: http://purl.umn.edu/18935

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...

ANÁLISE DA VOLATILIDADE DOS PREÇOS NO MERCADO SPOT DE CAFÉS DO BRASIL

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

Commodity Price Volatility: The Impact of Commodity Index Traders

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

Hailu, Getu; Weersink, Alfons.

Economic Potential of Greenhouse Gas Emission Reductions: Comparative Role for Soil Sequestration in Agriculture and Forestry

Palavras-chave: Index; Traders; Commodity; Price; Volatility; Agricultural and Food Policy; Demand and Price Analysis; Marketing.

Ano: 2011

URL: http://purl.umn.edu/102305

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...

Management of Volatility in the Grain Market

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

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

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

Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N..

Replaced with revised version of paper 07/15/08.

Increasing volatility of input costs in the EU agriculture

Palavras-chave: Volatility; Theory of storage; Futures markets; Bayesian econometrics; Lumber; Marketing.

Ano: 2008

URL: http://purl.umn.edu/6084

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

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...

Volatility Surface and Skewness in Live Cattle Futures Price Distributions with Application to North American BSE Announcements

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

Thomsen, Michael R.; McKenzie, Andrew M.; Power, Gabriel J..

Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand

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

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...

Components of Grain Futures Price Volatility

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

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

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.

Which factors drive which volatility in the grain sector?

Palavras-chave: Wheat; Export; Exchange rate; Volatility; Gravity model; And panel data.; International Relations/Trade.

Ano: 2002

URL: http://purl.umn.edu/23579

ANÁLISE DA VOLATILIDADE DO DÓLAR E DO EURO: UM DIRECIONAMENTO PARA EMPRESAS DO AGRONEGÓCIO

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

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...

O IMPACTO DA VOLATILIDADE NOS PREÇOS RECEBIDOS PELOS PRODUTORES DO CAFÉ NO MERCADO INTERNACIONAL

Palavras-chave: Modelos ARCH; Taxa de câmbio; Volatilidade; ARCH models; Exchange rate; Volatility; International Relations/Trade.

Ano: 2008

URL: http://purl.umn.edu/114123

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...

A crise econômica mundial de 2007 a 2009 e o setor exportador de café no Brasil: análise das perdas

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

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

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,...

Transmissão de preços na cadeia de carne suína: uma aplicação para preços de São Paulo

Palavras-chave: Cotton; Volatility; Asymmetry; Multivariate conditional correlations; Optimal; Risk and Uncertainty.

Ano: 2005

URL: http://purl.umn.edu/19459