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| Goodwin, Barry K.; Smith, Vincent H.. |
| Dynamic relationships among three classes of wheat are investigated using threshold VAR models that incorporate the effects of protein availability. Changes in the stock of protein are found to generate significant responses in the prices of hard red spring wheat and hard red winter wheat, but not soft red wheat. The responses to identical changes in protein stocks are larger when the magnitudes of deviations of protein stocks from normal levels are large. Shocks to the prices of individual classes of wheat result in complex responses in the prices of the other wheat classes. Notably, however, a shock to the price of hard red winter wheat appears to result in little or no response in the price of hard spring wheat, though importantly, the opposite is not... |
| Tipo: Report |
Palavras-chave: Protein; Thresholds; Vector autoregressions; Wheat prices; Crop Production/Industries. |
| Ano: 2009 |
URL: http://purl.umn.edu/54544 |
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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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