Agric. Econ. - Czech, 2019, 65(1):31-42 | DOI: 10.17221/76/2018-AGRICECON

On the drivers of global grain price volatility: an empirical investigationOriginal Paper

Fabio Gaetano Santeramo*, Emilia Lamonaca
University of Foggia, Foggia, Italy

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.

Keywords: arbitrage; grain market; price dynamics; Seemingly Unrelated Regression Equations (SURE); shocks

Published: January 31, 2019  Show citation

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Santeramo FG, Lamonaca E. On the drivers of global grain price volatility: an empirical investigation. Agric. Econ. - Czech. 2019;65(1):31-42. doi: 10.17221/76/2018-AGRICECON.
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