On the drivers of global grain price volatility: an empirical investigation

https://doi.org/10.17221/76/2018-AGRICECONCitation:Gaetano Santeramo F., Lamonaca E. (2019): On the drivers of global grain price volatility: an empirical investigation. Agric. Econ. – Czech, 65: 31-42.
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Several drivers may generate market instability, but the partial contribution of different factors is still debated. We investigate how market-based drivers influence the global price volatility of three major grains: wheat, corn, barley. We adopt a Seemingly Unrelated Regression Equations model, in order to investigate potential common patterns. We compare inter-annual, intra-annual, and global volatility, to conclude on short-run and long-run dynamics of markets instability. We quantify the negative relationship linking (temporal) arbitrage and grain price volatility and conclude on the effects of supply movements on price volatility.

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