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| 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 |
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| Figiel, Szczepan. |
| Market reforms implemented in Poland, especially broader openness to international trade, should result in increasing price integration between Polish and world markets for such internationally traded commodities like wheat. However, in a period of economic transformation, Polish agricultural prices have been very volatile which led to government intervention in the market. Mainly because of such practises, Polish monthly wheat prices were found, using regression and cointegration analysis, to be generally unrelated to selected world prices over the period of 1990/91 through 1996/97. The intervention also caused such market distortions as deviations of prices from a normally expected seasonal pattern. |
| Tipo: Journal Article |
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| Ano: 2000 |
URL: http://purl.umn.edu/26456 |
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