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Impact of external shocks on international corn price fluctuations

Author

Listed:
  • Shuai Liu

    (Center for Rural Economy in Major Grain Producing Areas, Jilin Agricultural University, Changchun, P.R. China)

  • Dingyu Liu

    (College of Economics and Management, Jilin Agricultural University, Changchun, P.R. China)

  • Sibo Ge

    (College of Economics and Management, Jilin Agricultural University, Changchun, P.R. China)

Abstract

In recent years, the external shock represented by COVID-19 has caused significant fluctuations in global corn prices. Based on the weekly data on international corn prices from 2020 to 2023, this paper constructs autoregressive conditional heteroskedasticity (ARCH) class and time-varying parameter - vector autoregression (TVP-VAR) models. After analysing the characteristics of corn price fluctuations, it further analyses the influence of external uncertainties such as COVID-19, international finance, the corn futures market, and international exports of corn on corn price fluctuations. The results show that international corn price fluctuations always have significant asymmetry. Nevertheless, the influence of past changes on the future will gradually disappear, and the corn market is not characterised by high risk and high return because of the phenomenon of flat or declining absolute returns during the periods of high volatility. All the selected external shocks also have a time-varying impact on corn price fluctuations, and there are differences in the impact size, impact direction, and impact duration. The external shocks led by COVID-19 had a transmission effect on other factors and then affected corn price fluctuations.

Suggested Citation

  • Shuai Liu & Dingyu Liu & Sibo Ge, 2024. "Impact of external shocks on international corn price fluctuations," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 70(1), pages 1-11.
    • Handle: RePEc:caa:jnlage:v:70:y:2024:i:1:id:318-2023-agricecon
    DOI: 10.17221/318/2023-AGRICECON
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