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Volatility in Cereal Prices: Intra- Versus Inter-annual Volatility

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  • Herve Ott

Abstract

type="main" xml:id="jage12073-abs-0001"> Intra-annual (within crop year) price volatility and inter-annual (between crop years) price volatility are measured for wheat, maize, rice, barley, oats and rye. A set of explanatory variables is used in a pooled regression to explain variations in these price volatilities. With low cereal stocks, supply (yield) shocks (defined here as volatilities, as for the price volatilities) mostly influence inter-annual volatility while other influential factors are the crude oil price and exchange rate. Cereal demand and interest rate shocks combined with low stocks affect intra-annual volatility, while other explanatory factors include exchange rate and crude oil price shocks. The derivatives market activity appears to have no significant effect on either intra- or inter-annual volatility. In contrast, large cereal stocks and a well-functioning international cereal market reduce the effects of shocks in the explanatory variables on both intra- and inter-annual volatilities.

Suggested Citation

  • Herve Ott, 2014. "Volatility in Cereal Prices: Intra- Versus Inter-annual Volatility," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(3), pages 557-578, September.
    • Handle: RePEc:bla:jageco:v:65:y:2014:i:3:p:557-578
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    File URL: http://hdl.handle.net/10.1111/jage.2014.65.issue-3
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    Cited by:

    1. Felix Lung & Cristina Stefan, 2020. "Agriculture Risk Financing in Southern Africa," World Bank Publications - Reports 34314, The World Bank Group.
    2. Viganò, Elena & Maccaroni, Martina & Righi, Selene, 2022. "Finding the right price: supply chain contracts as a tool to guarantee sustainable economic viability of organic farms," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 25(3), January.
    3. Hansen, Bjørn Gunnar & Li, Yushu, 2015. "Future world market prices of milk and feed looking into the crystal ball," Discussion Papers 2015/17, Norwegian School of Economics, Department of Business and Management Science.
    4. Fabio Gaetano Santeramo & Emilia Lamonaca & Francesco Contò & Gianluca Nardone & Antonio Stasi, 2018. "Drivers of grain price volatility: a cursory critical review," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 64(8), pages 347-356.
    5. World Bank, 2020. "Agriculture Risk Financing in Southern Africa," World Bank Publications - Reports 34084, The World Bank Group.
    6. Matthias Kalkuhl & Lukas Kornher & Matthias Kalkuhl & Irfan Mujahid, 2015. "Food price volatility in developing countries – the role of trade and storage," EcoMod2015 8415, EcoMod.
    7. Santeramo, Fabio Gaetano, 2017. "Market Fundamentals And International Grain Price Volatility," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 260908, European Association of Agricultural Economists.
    8. Fabio Gaetano Santeramo & Emilia Lamonaca, 2019. "On the drivers of global grain price volatility: an empirical investigation," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(1), pages 31-42.
    9. Millon, Lara & Barré, Kévin & Julliard, Romain & Compère, Pierre & Kerbiriou, Christian, 2021. "Calculation of biodiversity level between different land-uses to improve conservation outcomes of biodiversity offsetting," Land Use Policy, Elsevier, vol. 101(C).
    10. Distefano, Tiziano & Chiarotti, Guido & Laio, Francesco & Ridolfi, Luca, 2019. "Spatial Distribution of the International Food Prices: Unexpected Heterogeneity and Randomness," Ecological Economics, Elsevier, vol. 159(C), pages 122-132.
    11. Mišečka, Tomáš & Ciaian, Pavel & Rajčániová, Miroslava & Pokrivčák, Jan, 2019. "In search of attention in agricultural commodity markets," Economics Letters, Elsevier, vol. 184(C).
    12. Tiziano Distefano & Guido Chiarotti & Francesco Laio & Luca Ridolfi, 2018. "Spatial distribution of the international food prices: unexpected randomness and heterogeneity," SEEDS Working Papers 0118, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised Jan 2018.
    13. Tiziano Distefano & Francesco Laio & Luca Ridolfi & Stefano Schiavo, 2018. "Shock transmission in the International Food Trade Network," PLOS ONE, Public Library of Science, vol. 13(8), pages 1-15, August.
    14. Bjørn Gunnar Hansen & Yushu Li, 2017. "An Analysis of Past World Market Prices of Feed and Milk and Predictions for the Future," Agribusiness, John Wiley & Sons, Ltd., vol. 33(2), pages 175-193, April.
    15. Pal, Debdatta & Mitra, Subrata K., 2019. "Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops," Economic Modelling, Elsevier, vol. 82(C), pages 453-466.

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