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Which factors drive which volatility in the grain sector?

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  • Ott, Herve

Abstract

The present paper attempts to find empirical evidence on volatility in the grain sector (wheat, corn and soybean). The first challenge is to measure volatility. Intra-year volatility, inter-year volatility in level and return, also conditional volatility are defined and then calculated. The second challenge is to determine which factors impact volatility. The results show that depending on how volatility is measured, factors driving volatility are very different regarding their quantitative importance. Low stock to use ratio drives up mostly intra-year volatility but only moderately inter-year volatility and has almost no impact on conditional volatility. In contrast, a well functioning international market (trade flows without restriction) lowers considerable conditional volatility but has almost no effect on intra-year volatility.

Suggested Citation

  • Ott, Herve, 2012. "Which factors drive which volatility in the grain sector?," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122486, European Association of Agricultural Economists.
    • Handle: RePEc:ags:eaa123:122486
    DOI: 10.22004/ag.econ.122486
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    2. Anoopkumar, M., 2014. "Intra-Year Price Instability Of Commercial Crops In India: Exploring The Underlying Dynamism," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 2(1), pages 1-12, January.

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