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The Effect Of Market Shocks On The Volatility Of Corn Price

Author

Listed:
  • DEBORAH BRIDGES

    (University of Nebraska at Kearney, Department of Marketing, Agribusiness, and Supply Chain Management, 1917 W 24th St, Kearney, NE, USA)

  • FRANK TENKORANG

    (University of Nebraska at Kearney, Department of Accounting, Finance, and Economics 1917 W 24th St, Kearney, NE, USA)

  • GREG NIES

    (University of Nebraska at Kearney, Department of Marketing, Agribusiness, and Supply Chain Management, 1917 W 24th St, Kearney, NE, USA)

Abstract

The volatility of agricultural markets makes risk management for producers a challenge. Market shocks, such as the increased demand for corn-based ethanol in the mid 2000s and the recent COVID-19 disruption, only exacerbate the problem. The paper investigates the impact of these two shocks on corn price volatility using futures commodity prices. ARCH/GARCH estimations are compared for the ethanol pre-expansion and expansion periods and pre-COVID-19 shutdown and COVID-19 shutdown periods. The results indicate a high level of price volatility due to the shocks, thus worsening corn producers' price risk situation.

Suggested Citation

  • Deborah Bridges & Frank Tenkorang & Greg Nies, 2023. "The Effect Of Market Shocks On The Volatility Of Corn Price," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 31, pages 9-18, June.
    • Handle: RePEc:aic:revebs:y:2023:j:31:bridgesd
    DOI: 10.47743/rebs-2023-1-0001
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Ethanol; Price volatility; COVID-19; ARCH; GARCH; Corn;
    All these keywords.

    JEL classification:

    • Q12 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Micro Analysis of Farm Firms, Farm Households, and Farm Input Markets
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
    • P32 - Political Economy and Comparative Economic Systems - - Socialist Institutions and Their Transitions - - - Collectives; Communes; Agricultural Institutions

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