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Maispreisverhalten – Maispreistransmission während des Preisbooms an den Terminmärkten

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  • Ledebur, Oliver von
  • Schmitz, Jochen

Abstract

Zusammenfassung : Seit dem Jahr 2000 haben vielfältige Faktoren die Agrarmärkte beeinflusst. Darunter sind wiederholte Angebotsknappheiten und die globale Nachfrageentwicklung zu nennen, welche den beobachteten Preisanstieg begünstigten. Angesichts der zunehmenden Interdependenz der Märkte stellt sich die Frage, ob eine isolierte Betrachtung eines einzelnen Marktes, wie in der bisherigen Literatur üblich, ausreichend ist. Die vorliegende Analyse stellt einen Beitrag zur Diskussion um die im Jahr 2008 beobachtbare Preisblase dar und geht auf die Zusammenhänge von Notierungen von Agrarrohstoffen an verschiedenen Warenterminbörsen ein. Im Fokus steht die Transmission der Preisvolatilität zwischen Warenterminbörsen. Es wird untersucht, ob und in welchem Ausmaß es zu einer Transmission während des drastischen Preisanstieges an den Agrar- und Rohstoffmärkten gekommen ist.Maisnotierungen von drei Warenterminbörsen werden in einem multivariaten GARCH Ansatz abgebildet. Somit ist es möglich, die Interaktionen zwischen den Börsen direkt zu modellieren. Die Ergebnisse werden vor dem Hintergrund der aktuellen Entwicklungen im Bereich der Agrar- und Biokraftstoffpolitik diskutiert. --------------------------------------------------------------------------------------------------------------------------------------- Summary: Since 2000 a number of factors impacted agricultural markets. Among these are structural changes in global demand and repeated supply constraints supported in a comprehensible way, the observed positive development of agricultural prices. Given the increasingly interdependent global markets, the question arises of in how far an isolated view of a single market, as usual in the scientific literature, is sufficient? The paper is a contribution to the debate on the recent commodity price bubble in 2008 and the relationship among commodity futures markets for agricultural raw materials. More particularly, the transmission of price volatility between commodity futures markets is analysed. The background question is whether and to what extent the volatility of agricultural commodity prices at different market places have been transferred during the drastic price changes of 2008. In this analysis the volatility of the maize futures price at three different commodity futures exchange is modelled as a multivariate GARCH-process. By doing so, interactions between stock markets in different venues are incorporated. The results of the econometric analysis are discussed against the background of the developments in agricultural and bio-fuel policy.

Suggested Citation

  • Ledebur, Oliver von & Schmitz, Jochen, 2009. "Maispreisverhalten – Maispreistransmission während des Preisbooms an den Terminmärkten," Thünen Working Paper 126939, Johann Heinrich von Thünen-Institut (vTI), Federal Research Institute for Rural Areas, Forestry and Fisheries.
    • Handle: RePEc:ags:jhimwp:126939
    DOI: 10.22004/ag.econ.126939
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    References listed on IDEAS

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    1. Baffes, John, 2007. "Oil spills on other commodities," Resources Policy, Elsevier, vol. 32(3), pages 126-134, September.
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