Research Article
Year 2022,
Volume: 32 Issue: 2, 203 - 216, 29.12.2022
Abstract
References
- Abebe, T.H., E.G. Woldesenbet and B.L. Zeleke. 2020 . Statistical analysis of price volatility of agricultural commodities traded at the Ethiopian commodity exchange (ECX) using multiplicative GARCH-MIDAS two-component model. Global Business Review, 0972150919895628.
- Barcena, A., A. Bojanic and V. Villalobos. 2011. Price volatility in agricultural markets (2000-2010): implications for Latin America and policy options. In: Anonymous (Ed.), The Outlook for Agriculture and Rural Development in The Americas: A Perspective on Latin America and the Caribbean. Newsletter, 1:4-12
- Bohl, M.T. and C. Sulewski. 2019. The impact of long-short speculators on the volatility of agricultural commodity futures prices. Journal of Commodity Markets, 16, 100085.
- Bórawski, P., A. Belłdycka-Borawska and J. W. Dunn. 2018. Price volatility of Polish agricultural commodities in the view of the Common Agricultural Policy. Agricultural Economics, 64 (5): 216-226.
- Čermák, M., K. Malec and M. Maitah. 2017. Price volatility modelling–wheat: GARCH model application. AGRIS on-line Papers in Economics and Informatics, 9(665-2018-3592), 15-24.
- Dawson, P.J. 2015. Measuring the volatility of wheat futures prices on the LIFFE. Journal of Agricultural Economics, 66(1):20-35.
- Deaton, A.1999.Commodity prices and growth in Africa. Journal of Economic Perspectives, 13(3):23-40.
- Degiannakis, S., G. Filis, T. Klein and T. Walther. 2022. Forecasting realized volatility of agricultural commodities. International Journal of Forecasting, 38(1):74-96.
- Gilbert, C.L. and C.W. Morgan. 2010. Food price volatility. Philosophical Transactions of the Royal Society B, 365:3023-3034.
- Gouel, C., M. Gautam and W.J. Martin. 2016 .Managing food price volatility in a large open country: the case of wheat in India. Oxford Economic Papers, 68(3):811-835.
- Gozgor, G. 2019. Effects of the agricultural commodity and the food price volatility on economic integration: an empirical assessment. Empirical Economics, 56(1):173-202.
- Grossman, S.J. 1976.On the efficiency of competitive stock markets where trades have diverse Information. Journal of Finance, 31(2):573-85
- Guo, J. and T. Tanaka. 2019. Determinants of international price volatility transmissions: the role of self-sufficiency rates in wheat-importing countries. Palgrave Communications, 5(1):1-13.
- Haile, M.G., M. Kalkuhl and J.V. Braun. 2016. Worldwide acreage and yield response to international price change and volatility: a dynamic panel data analysis for wheat, rice, corn, and soybeans. In: Food Price Volatility and Its Implications for Food Security and Policy, Pp. 139-165. Springer, Cham.
- Hau, L., H. Zhu, R. Huang and X. Ma. 2020. Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression. Energy, 213, 118781.
- Ismail, A., H. Ihsan, S. A. Khan and M. Jabeen. 2017. Price volatility of food and agricultural commodities: A case study of Pakistan. Journal of Economic Cooperation & Development, 38 (3):77-120.
- Jacks, D.S., K.H. O’Rourke and J.G. Williamson. 2009. Commodity price volatility and world market integration since 1700. NBER Working Papers 14748. National Bureau of Economic Research, Inc.
- Jordan, H., B. Grové, A. Jooste and Z.G. Alemu. 2007. Measuring the price volatility of certain field crops in South Africa using the ARCH/GARCH approach. Agrekon, 46(3):306-322.
- Prakash, A. 2011.Why volatility matters. In: Prakash, A.(Ed.), Safeguarding Food Security in Volatile Global Markets. FAO. 3-26
- Sadiq, M S., Singh, I.P., A. Suleiman, S.M. Umar, I.J. Grema, B.I. Usman, M.A. Isah and A. T. Lawal. 2016a. Extent, pattern and degree of integration among some selected cocoa markets in West Africa: An innovative information delivery system. Journal of Progressive Agriculture, 7(2): 22-39
- Sadiq, M.S., I.P. Singh and M.M. Ahmad. 2020. Market integration of sesame seeds in South Asia. Alanya Academic Review, 4(1):143-155.
- Sadiq, M.S., I.P. Singh, A. Suleiman, S.M. Umar, I.J. Grema, B.I. Usman, M.A. Isah and A.T. Lawal. 2016b. Price transmission, volatility and discovery of gram in some selected markets in Rajasthan State, India. International Journal of Environment, Agriculture and Biotechnology, 1(1):74-89.
- Santeramo, F. G. and E. Lamonaca. 2019. On the drivers of global grain price volatility: an empirical investigation. Agricultural Economics, 65(1):31-42.
- Sendhil, R., A. Kar, V.C. Mathurb and G.K. Jha. 2013. Price discovery, transmission and volatility: evidence from agricultural commodity futures. Agricultural Economics Research Review, 26(1):41-54
- Stigler, M. 2011. Commodity prices: Theoretical and empirical properties. In: Prakesh, A. (Ed.) FAO Report on Safeguarding Food Security in Volatile Global Markets, 2:27-43.
- Subervie, J. 2008.The variable response of agricultural supply to world price instability in developing countries. Journal of Agricultural Economics, 59(1):72-92.
- Sukati, M. 2017. Analysis of maize price volatility and price pass through in Swaziland: Implications for price stabilization policies. Journal of Economics and International Business Management, 5(1):1-13
- Taghizadeh-Hesary, F., E. Rasoulinezhad and N. Yoshino. 2019. Energy and food security: Linkages through price volatility. Energy Policy, 128, 796-806.
- Tanaka, T., and J. Guo. 2020. How does the self-sufficiency rate affect international price volatility transmissions in the wheat sector? Evidence from wheat-exporting countries. Humanities and Social Sciences Communications, 7(1):1-13.
- Wang, Z. 2009.Volatility risk. Issue Briefs 513, South Dakota State University, Department of Economics.
- Wolf, H. 2005.Volatility: Definitions and Consequences, in Managing Economic Volatility and Crises. In: Aizenman, J. and Pinto, B. (Eds). Cambridge University Press.
- World Bank. 1997. The state in a changing world. World Development Report 1997. https:// documents1. worldbank.org /curated/en/518341468315316376/ pdf/173000REPLACEMENT0WDR01997.pdf
Year 2022,
Volume: 32 Issue: 2, 203 - 216, 29.12.2022
Abstract
This research determined price volatility spillovers among major wheat markets in the world using time series data (1966-2018) of six major wheat producing countries in the world. The data were sourced from FAO and UNCTAD databanks and were analyzed using descriptive statistics, multiple regression, unit root test and GARCH models. The findings showed that there is low and high persistence in the wheat prices of Canada and USA; and, Australia and India, respectively. Thus, it was established that the prices in the former markets were characterized by short memory; the effect of shock is temporary as the prices return to the attractor level within a short period. However, bad news on the prices of the latter markets has pronounced effect and takes a longer period for the price series to normalize. On the other hand, French and Chinese market price series exhibited an explosive pattern; the price series have infinite memory and the effect of innovation is permanent as price series will not normalize. Therefore, it can be concluded that the future trade of wheat is useful in the market given the persistence behavior of the prices as their price trends are tailored towards a rational expectation rather than a naïve expectation. However, for the market prices that are explosive, the market participants should focus on rational market expectation as a trade barometer.
Keywords
References
- Abebe, T.H., E.G. Woldesenbet and B.L. Zeleke. 2020 . Statistical analysis of price volatility of agricultural commodities traded at the Ethiopian commodity exchange (ECX) using multiplicative GARCH-MIDAS two-component model. Global Business Review, 0972150919895628.
- Barcena, A., A. Bojanic and V. Villalobos. 2011. Price volatility in agricultural markets (2000-2010): implications for Latin America and policy options. In: Anonymous (Ed.), The Outlook for Agriculture and Rural Development in The Americas: A Perspective on Latin America and the Caribbean. Newsletter, 1:4-12
- Bohl, M.T. and C. Sulewski. 2019. The impact of long-short speculators on the volatility of agricultural commodity futures prices. Journal of Commodity Markets, 16, 100085.
- Bórawski, P., A. Belłdycka-Borawska and J. W. Dunn. 2018. Price volatility of Polish agricultural commodities in the view of the Common Agricultural Policy. Agricultural Economics, 64 (5): 216-226.
- Čermák, M., K. Malec and M. Maitah. 2017. Price volatility modelling–wheat: GARCH model application. AGRIS on-line Papers in Economics and Informatics, 9(665-2018-3592), 15-24.
- Dawson, P.J. 2015. Measuring the volatility of wheat futures prices on the LIFFE. Journal of Agricultural Economics, 66(1):20-35.
- Deaton, A.1999.Commodity prices and growth in Africa. Journal of Economic Perspectives, 13(3):23-40.
- Degiannakis, S., G. Filis, T. Klein and T. Walther. 2022. Forecasting realized volatility of agricultural commodities. International Journal of Forecasting, 38(1):74-96.
- Gilbert, C.L. and C.W. Morgan. 2010. Food price volatility. Philosophical Transactions of the Royal Society B, 365:3023-3034.
- Gouel, C., M. Gautam and W.J. Martin. 2016 .Managing food price volatility in a large open country: the case of wheat in India. Oxford Economic Papers, 68(3):811-835.
- Gozgor, G. 2019. Effects of the agricultural commodity and the food price volatility on economic integration: an empirical assessment. Empirical Economics, 56(1):173-202.
- Grossman, S.J. 1976.On the efficiency of competitive stock markets where trades have diverse Information. Journal of Finance, 31(2):573-85
- Guo, J. and T. Tanaka. 2019. Determinants of international price volatility transmissions: the role of self-sufficiency rates in wheat-importing countries. Palgrave Communications, 5(1):1-13.
- Haile, M.G., M. Kalkuhl and J.V. Braun. 2016. Worldwide acreage and yield response to international price change and volatility: a dynamic panel data analysis for wheat, rice, corn, and soybeans. In: Food Price Volatility and Its Implications for Food Security and Policy, Pp. 139-165. Springer, Cham.
- Hau, L., H. Zhu, R. Huang and X. Ma. 2020. Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression. Energy, 213, 118781.
- Ismail, A., H. Ihsan, S. A. Khan and M. Jabeen. 2017. Price volatility of food and agricultural commodities: A case study of Pakistan. Journal of Economic Cooperation & Development, 38 (3):77-120.
- Jacks, D.S., K.H. O’Rourke and J.G. Williamson. 2009. Commodity price volatility and world market integration since 1700. NBER Working Papers 14748. National Bureau of Economic Research, Inc.
- Jordan, H., B. Grové, A. Jooste and Z.G. Alemu. 2007. Measuring the price volatility of certain field crops in South Africa using the ARCH/GARCH approach. Agrekon, 46(3):306-322.
- Prakash, A. 2011.Why volatility matters. In: Prakash, A.(Ed.), Safeguarding Food Security in Volatile Global Markets. FAO. 3-26
- Sadiq, M S., Singh, I.P., A. Suleiman, S.M. Umar, I.J. Grema, B.I. Usman, M.A. Isah and A. T. Lawal. 2016a. Extent, pattern and degree of integration among some selected cocoa markets in West Africa: An innovative information delivery system. Journal of Progressive Agriculture, 7(2): 22-39
- Sadiq, M.S., I.P. Singh and M.M. Ahmad. 2020. Market integration of sesame seeds in South Asia. Alanya Academic Review, 4(1):143-155.
- Sadiq, M.S., I.P. Singh, A. Suleiman, S.M. Umar, I.J. Grema, B.I. Usman, M.A. Isah and A.T. Lawal. 2016b. Price transmission, volatility and discovery of gram in some selected markets in Rajasthan State, India. International Journal of Environment, Agriculture and Biotechnology, 1(1):74-89.
- Santeramo, F. G. and E. Lamonaca. 2019. On the drivers of global grain price volatility: an empirical investigation. Agricultural Economics, 65(1):31-42.
- Sendhil, R., A. Kar, V.C. Mathurb and G.K. Jha. 2013. Price discovery, transmission and volatility: evidence from agricultural commodity futures. Agricultural Economics Research Review, 26(1):41-54
- Stigler, M. 2011. Commodity prices: Theoretical and empirical properties. In: Prakesh, A. (Ed.) FAO Report on Safeguarding Food Security in Volatile Global Markets, 2:27-43.
- Subervie, J. 2008.The variable response of agricultural supply to world price instability in developing countries. Journal of Agricultural Economics, 59(1):72-92.
- Sukati, M. 2017. Analysis of maize price volatility and price pass through in Swaziland: Implications for price stabilization policies. Journal of Economics and International Business Management, 5(1):1-13
- Taghizadeh-Hesary, F., E. Rasoulinezhad and N. Yoshino. 2019. Energy and food security: Linkages through price volatility. Energy Policy, 128, 796-806.
- Tanaka, T., and J. Guo. 2020. How does the self-sufficiency rate affect international price volatility transmissions in the wheat sector? Evidence from wheat-exporting countries. Humanities and Social Sciences Communications, 7(1):1-13.
- Wang, Z. 2009.Volatility risk. Issue Briefs 513, South Dakota State University, Department of Economics.
- Wolf, H. 2005.Volatility: Definitions and Consequences, in Managing Economic Volatility and Crises. In: Aizenman, J. and Pinto, B. (Eds). Cambridge University Press.
- World Bank. 1997. The state in a changing world. World Development Report 1997. https:// documents1. worldbank.org /curated/en/518341468315316376/ pdf/173000REPLACEMENT0WDR01997.pdf
There are 32 citations in total.
Details
| Primary Language | English |
|---|---|
| Subjects | Agricultural Engineering (Other) |
| Journal Section | Makaleler |
| Authors | |
| Publication Date | December 29, 2022 |
| Submission Date | May 11, 2022 |
| Published in Issue | Year 2022 Volume: 32 Issue: 2 |
