Home Itens selecionados Provedores de dados OAI Créditos Sobre Ajuda

			Busca avançada
	Provedor de dados AgEcon (61) Colegio de Postgraduados (2) Rev. Econ. Sociol. Rural (1) Ciência Rural (1) Autor Karali, Berna (6) Thurman, Walter N. (4) Hertel, Thomas W. (3) Theuvsen, Ludwig (3) Campos, Antonio Carvalho (2) Cho, Guedae (2) Dorfman, Jeffrey H. (2) Heyder, Matthias (2) Jin, Hyun Joung (2) Kim, Mina (2) Koo, Won W. (2) Ledebur, Oliver von (2) Manfredo, Mark R. (2) McCarl, Bruce A. (2) Murray, Brian C. (2) Power, Gabriel J. (2) Schmitz, Jochen (2) Schneider, Uwe A. (2) Seabra, Fernando (2) Serra, Teresa (2) Mais... Palavra-chave Volatility (65) Risk and Uncertainty (21) Demand and Price Analysis (13) Marketing (12) Agricultural and Food Policy (10) International Relations/Trade (10) Q11 (8) Agribusiness (7) Q18 (7) Agricultural Finance (6) Futures markets (6) GARCH (6) Environmental Economics and Policy (5) Financial Economics (5) Production Economics (5) Q17 (5) C32 (4) Crop Production/Industries (4) Food Security and Poverty (4) International Development (4) Mais... Tipo do documento Conference Paper or Presentation (26) Presentation (12) Journal Article (11) Working or Discussion Paper (7) Report (3) Info:eu-repo/semantics/article (2) Article (1) Tesis (1) Working Paper (1) Mais... Ano 2020 (1) 2017 (1) 2012 (13) 2011 (7) 2010 (6) 2009 (11) 2008 (6) 2007 (2) 2006 (3) 2005 (2) 2004 (1) 2003 (2) 2002 (2) 2001 (4) 2000 (2) 1999 (1) 1998 (1) Mais... País United States (61) Brazil (2) Mexico (2) Idioma Inglês (54) Português (8) Espanhol (2) Alemão (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 65 Primeira ... 1 2 3 4 ... Última Las Fluctuaciones cíclicas de la economía mexicana Colegio de Postgraduados 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. Colegio de Postgraduados 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 AgEcon 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 AgEcon 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 AgEcon 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 AgEcon 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 AgEcon 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 AgEcon 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 AgEcon 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? AgEcon 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 AgEcon 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 AgEcon 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 AgEcon 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 AgEcon 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 AgEcon 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 AgEcon 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 AgEcon 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 AgEcon 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 AgEcon 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 AgEcon 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 Registros recuperados: 65 Primeira ... 1 2 3 4 ... Última

Empresa Brasileira de Pesquisa Agropecuária - Embrapa Todos os direitos reservados, conforme Lei n° 9.610 Política de Privacidade Área restrita		Embrapa Parque Estação Biológica - PqEB s/n° Brasília, DF - Brasil - CEP 70770-901 Fone: (61) 3448-4433 - Fax: (61) 3448-4890 / 3448-4891 SAC: https://www.embrapa.br/fale-conosco