Methods to Analyse Agricultural Commodity Price Volatility PDF
Preview Methods to Analyse Agricultural Commodity Price Volatility
Methods to Analyse Agricultural Commodity Price Volatility · Isabelle Piot-Lepetit Robert M’Barek Editors Methods to Analyse Agricultural Commodity Price Volatility Foreword by John Bensted-Smith 123 Editors IsabellePiot-Lepetit RobertM’Barek EuropeanCommission EuropeanCommission JointResearchCentre JointResearchCentre InstituteforProspectiveTechnological InstituteforProspectiveTechnological Studies Studies EdificoExpo,c/IncaGarcilaso3 EdificoExpo,c/IncaGarcilaso3 E-41092 Seville,Spain E-41092 Seville,Spain [email protected] [email protected] ISBN978-1-4419-7633-8 e-ISBN978-1-4419-7634-5 DOI10.1007/978-1-4419-7634-5 SpringerNewYorkDordrechtHeidelbergLondon LibraryofCongressControlNumber:2011926591 ©SpringerScience+BusinessMedia,LLC2011 Allrightsreserved.Thisworkmaynotbetranslatedorcopiedinwholeorinpartwithoutthewritten permission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York, NY10013,USA),exceptforbriefexcerptsinconnectionwithreviewsorscholarlyanalysis.Usein connectionwithanyformofinformationstorageandretrieval,electronicadaptation,computersoftware, orbysimilarordissimilarmethodologynowknownorhereafterdevelopedisforbidden. Theuseinthispublicationoftradenames,trademarks,servicemarks,andsimilarterms,eveniftheyare notidentifiedassuch,isnottobetakenasanexpressionofopinionastowhetherornottheyaresubject toproprietaryrights. Printedonacid-freepaper SpringerispartofSpringerScience+BusinessMedia(www.springer.com) Foreword Afteradecade-longperiodofrelativestagnationinpricesofmainagriculturalcom- modities, price fluctuations in the last 4 years have highlighted the need for more investigationsintothetopicofagriculturalcommoditypricevolatility.Infact,itnow hasaprominentplaceonthepolicy-makingagenda. Price changes have always been a feature of agricultural markets, as market clearingconditionsrequirethatsupplymatchesdemand. A more recent problem is that agricultural price shocks and volatility cause uncertaintyamongmarketactors,thuspreventingthemarketfromfunctioningprop- erly. Driven by the increased globalisation and the integration of financial and energymarketswithagriculturalcommoditymarkets,therelationshipsbetweenall sectorsoftheeconomyareevolvingandbecomingmorecomplex.Whenadisrup- tion,suchasaregionaldrought,foodsafetyalertorfinancialcrisis,hitsaparticular market, the direction and magnitude of the impacts are not foreseeable. Will it impactonothermarketsandaffectproducer,consumerandtraderdecisions? Understanding the nature of agricultural commodity price volatility, antici- pating its emergence and managing its consequences are now more than ever of considerable interest for improving agricultural market analysis and policy development. To this end, the European Commission’s Joint Research Centre – Institute for ProspectiveTechnologicalStudies(IPTS)isengagedintheanalysisofpricevolatil- ityinthecontextofagriculturalandtradepolicy.Thisvolumeofworkshoppapers, whichIampleasedtointroduce,isonecontributionarisingfromthecurrentwork agenda. Seville,Spain JohnBensted-Smith v Preface This book is a collection of scientific papers on topics relevant to the research fieldofagriculturalpricevolatilityanalysis.Contributionsfromthisbookwerefirst developedaspresentationsataninternationalworkshoporganisedbytheEuropean Commission’s Joint Research Centre – Institute for Prospective Technological Studies (IPTS) on “Methods to Analyse Price Volatility” held on 28–29 January 2010inSeville,Spain. Manyconferences,publications,reportsandworkshopshavefocusedonthedra- maticcommoditypriceincreasesfrom2007tomid-2008.Thesecontributionshave tried to identify the known and new factors driving agricultural commodity price changessuchastheinterdependencebetweenenergyandagriculturalmarkets,the consequencesofthedevelopmentofbiofuels,thelinkagebetweenthedepreciation of the US dollar and agricultural commodity prices, the role of financial markets, andtodiscusspolicyresponses. This book provides an overview of methodologies that can be implemented for improvingtheanalysisandforecastofmarketdevelopments.Itdiscusseshowcur- rentmodellingtoolsusedforpolicyanalysescanbeenhancedinordertointegrate pricedynamics. Finallyitalsohighlights challenges faced bypolicy makers when dealingwiththechangingnatureofagriculturalcommoditiesmarkets. We would like to express our gratitude to all those who have contributed to this book either by writing a chapter or by discussing the presentations during the workshop. WealsowouldliketothankAnnaAtkinsonforhersupportintheorganisingof theworkshopandtheeditingofthebook. Seville,Spain IsabellePiot-Lepetit RobertM’barek vii Contents 1 MethodstoAnalyseAgriculturalCommodityPriceVolatility . . . 1 IsabellePiot-LepetitandRobertM’Barek 2 Main Challenges of Price Volatility in Agricultural CommodityMarkets . . . . . . . . . . . . . . . . . . . . . . . . . . 13 MonikaTothova 3 The Energy/Non-energy Price Link: Channels, Issues andImplications . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 JohnBaffes 4 FoodPriceVolatility . . . . . . . . . . . . . . . . . . . . . . . . . . 45 ChristopherL.GilbertandC.WynMorgan 5 EmpiricalIssuesRelatingtoDairyCommodityPriceVolatility . . 63 DeclanO’ConnorandMichaelKeane 6 Price Volatility and Price Leadership in the EU Beef andPorkMeatMarket . . . . . . . . . . . . . . . . . . . . . . . . . 85 IsabellePiot-Lepetit 7 UsingFuturesPricestoForecastUSCornPrices:Model PerformancewithIncreasedPriceVolatility . . . . . . . . . . . . . 107 LinwoodA.Hoffman 8 ApproachestoAssessHigherDimensionalPriceVolatility Co-movements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133 JochenSchmitzandOlivervonLedebur 9 Price Co-movements in International Markets andTheirImpactsonPriceDynamics . . . . . . . . . . . . . . . . 149 HadjSaadi 10 Price Transmission and Volatility Spillovers in Food MarketsofDevelopingCountries . . . . . . . . . . . . . . . . . . . 165 GeorgeRapsomanikisandHarrietMugera ix
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