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

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  • Fabio Gaetano Santeramo
  • Emilia Lamonaca

    (University of Foggia, Foggia, Italy)

Abstract

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.

Suggested Citation

  • 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.
    • Handle: RePEc:caa:jnlage:v:65:y:2019:i:1:id:76-2018-agricecon
    DOI: 10.17221/76/2018-AGRICECON
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    2. Piotr Bórawski & Marta Guth & Andrzej Parzonko & Tomasz Rokicki & Aleksandra Perkowska & James William Dunn, 2021. "Price volatility of milk and dairy products in Poland after accession to the EU," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(3), pages 111-119.
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    5. Samuele Trestini & Carlotta Penone, 2018. "Transmission of futures prices to the Italian spot market: Are there opportunities to hedge corn price risk?," Economia agro-alimentare, FrancoAngeli Editore, vol. 20(2), pages 193-204.
    6. Tan Ngoc Vu & Chi Minh Ho & Thang Cong Nguyen & Duc Hong Vo, 2020. "The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach," Agriculture, MDPI, vol. 10(4), pages 1-14, April.
    7. Harun Uçak & Yakup Ari & Esin Yelgen, 2022. "The volatility connectedness among fertilisers and agricultural crop prices: Evidence from selected main agricultural products," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 68(9), pages 348-360.
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    9. MAJA JOKIC & BOGDAN LABAN & IVAN ARNAUTOVIc & DRAGANA POPOVIc & SLOBODAN POPOVIc, 2020. "The Importance Of Preparing An Internal Audit Report In Reporting To Top Management Of A Company That Makes Key Management Decisions In Its Work," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 2, pages 37-44, April.
    10. Dejan Živkov & Suzana Balaban & Marijana Joksimović, 2022. "Making a Markowitz portfolio with agricultural commodity futures," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 68(6), pages 219-229.
    11. Fabio Gaetano Santeramo & Emilia Lamonaca, 2021. "Food Loss–Food Waste–Food Security: A New Research Agenda," Sustainability, MDPI, vol. 13(9), pages 1-7, April.
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    More about this item

    Keywords

    arbitrage; grain market; price dynamics; Seemingly Unrelated Regression Equations (SURE); shocks;
    All these keywords.

    JEL classification:

    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q17 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agriculture in International Trade
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy; Animal Welfare Policy

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