Methods to Analyse Agricultural Commodity Price Volatility

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Methods to Analyse Agricultural Commodity Price VolatilityPiot-Lepetit, Isabelle; M'Barek, Robert (Eds.)


2011, 2011, XVI, 231 p. 46 illus., 43 in color.



This book examines the issue of price volatility in agricultural commodities markets and how this phenomenon has evolved in recent years. The factors underlying the price spike of 2007-08 appear to be global and macroeconomic in nature, including the rapid growth in demand by developing countries, the international financial crisis, and exchange rate movements. Some of these factors are new, appearing as influences on price volatility only in the last decade. Although volatility has always been a feature of agricultural commodity markets, the evidence suggests that volatility has increased in certain commodity markets. A growing problem is that agricultural price shocks and volatility disrupt agricultural markets, economic incentives and incomes.

With increased globalization and integration of financial and energy markets with agricultural commodity markets, the relationships between markets are expanding and becoming more complex. When a crisis such as a regional drought, food safety scare or a financial crisis hits a particular market, policy-makers often do not know the extent to which it will impact on other markets and affect producer, consumer and trader decisions. Including contributions from experts at the World Bank, the Food and Agriculture Organization of the United Nations, the USDA, and the European Commission, the research developed throughout the chapters of this book is based on current methodologies that can be used to analyze price volatility and provide directions for understanding this volatility and the development of new agricultural policies.

The book highlights the challenges facing policy makers in dealing with the changing nature of agricultural commodities markets, and offers recommendations for anticipating price movements and managing their consequences. It will be a practical guide for both present and future policy-makers in deciding on potential price-stabilizing interventions, and will also serve as a useful resource for researchers and students in agricultural economics.


Content Level » Research
Keywords » agricultural commodity - market forecasts - price shocks - price volatility - trade liberalization
Related subjects » Agricultural Economics - Development Economics - Economic Policy

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关键词：Agricultural Volatility Commodity Cultural Methods Price Agricultural Commodity Volatility analyse

Contents
1 Methods to Analyse Agricultural Commodity Price Volatility . . . 1
Isabelle Piot-Lepetit and Robert M’Barek
2 Main Challenges of Price Volatility in Agricultural
Commodity Markets . . . . . . . . . . . . . . . . . . . . . . . . . . 13
Monika Tothova
3 The Energy/Non-energy Price Link: Channels, Issues
and Implications . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
John Baffes
4 Food Price Volatility . . . . . . . . . . . . . . . . . . . . . . . . . . 45
Christopher L. Gilbert and C. Wyn Morgan
5 Empirical Issues Relating to Dairy Commodity Price Volatility . . 63
Declan O’Connor and Michael Keane
6 Price Volatility and Price Leadership in the EU Beef
and Pork Meat Market . . . . . . . . . . . . . . . . . . . . . . . . . 85
Isabelle Piot-Lepetit
7 Using Futures Prices to Forecast US Corn Prices: Model
Performance with Increased Price Volatility . . . . . . . . . . . . . 107
Linwood A. Hoffman
8 Approaches to Assess Higher Dimensional Price Volatility
Co-movements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133
Jochen Schmitz and Oliver von Ledebur
9 Price Co-movements in International Markets
and Their Impacts on Price Dynamics . . . . . . . . . . . . . . . . 149
Hadj Saadi
10 Price Transmission and Volatility Spillovers in Food
Markets of Developing Countries . . . . . . . . . . . . . . . . . . . 165
George Rapsomanikis and Harriet Mugera
ix
x Contents
11 Global Food Commodity Price Volatility and Developing
Country Import Risks . . . . . . . . . . . . . . . . . . . . . . . . . 181
Alexander Sarris
12 Dealing with Volatility in Agriculture: Policy Issues . . . . . . . . . 207
Beatriz Velazquez
About the Authors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 221

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thank you so much. I have been studying on this subject for several year.