1,721,114 research outputs found
Climate variability and the volatility of global maize and soybean prices
No full textVolatility in the price of agricultural commodities is one of the main factors affecting food security. Many studies have analyzed agricultural market instability from different points of view, but the effect of climate oscillations on agricultural price volatility has been little studied. Climate anomalies, and in particular extreme events, can alter agricultural yields and stocks with related effects on prices. This paper presents a Volatility Impulse Response Function (VIRF) from a multivariate GARCH model to investigate the effects of variability in climatic shocks (El Nino/Southern Oscillation - ENSO) on international maize and soybean price volatility from 1960 to 2014. For both commodities, VIRF analysis was conducted splitting the effect of El Nino and La Nina events according to Spring-Summer and Autumn-Winter meteorological seasons. Both events increase expected price volatility of maize, showing the strongest impact during the El Nino phase in Spring-Summer. Soybean price volatility tends to slightly decrease during Autumn-Winter meteorological seasons and to increase during the Spring-Summer period. To minimize the impact of ENSO events on commodity price volatility, various measures can be taken, both political and technical. Financial aspects should also be considered. It is possible that financial agents can use the ENSO index as information for trading activity, creating a new link between this index and volatility in commodity prices
Structural breaks and vertical price transmission in bread and pasta chains
No full textIn this paper we analyze vertical price transmission in pasta and bread chains, typical Italian products that were particularly affected by strong market fluctuations over the last years. After having splitted the chains into two sides, upstream (farm-wholesale) and downstream (wholesale-retail), we apply a cointegration methodology allowing for the presence of potentially unknown structural breaks. Moreover, for the different sub periods detected by the breaks dates, we investigate price transmission elasticitie
Biodiesel and vegetable oil market in European Union : some evidences from Threshold Cointegration Analysis
No full textVegetable oil market and biofuel policy : An asymmetric cointegration approach
No full textThe present paper analyses the long-run relationship between vegetable oil prices and conventional diesel prices in the EU for the period 2005–2007. We applied recent developments in the threshold cointegration approach to investigate the presence of asymmetric dynamic adjusting processes between the prices of rapeseed oil, sunflower oil, and soybean oil, and the price of a mineral oil: diesel. The results presented suggest a two-regime threshold cointegration model only for the rapeseed oil–diesel price pair. Thus, the rapeseed oil price adjusts rapidly to its long-run equilibrium, determined by fossil diesel prices, but this adjustment is asymmetric: it differs if the divergence between the two prices is above or below a critical threshold. Consequently, rapeseed oil appears particularly exposed to external shocks deriving from global political scenarios, suggesting the reassessment of the high quota (80%) of EU biodiesel represented by this vegetable oil
The effect of biofuel policies on feedstock market : empirical evidence for rapeseed oil prices in EU
No full textThe growing expansion of biofuel production in the European
Union is a direct consequence of the political framework specifically
implemented to reduce the impact of oil price rises and to achieve fuel
security and environmental goals. These policies have activated a new
relationship between fossil fuel and vegetable oil prices. Combining a
multiple structural change approach with rolling cointegration, the
article identifies four structural breaks in the relationships between
the price of mineral and vegetable oils. Results show that policy
instruments are responsible for these structural changes in the long-run
relationships between prices. The analysis also shows that from the
implementation of the directive 2003/30/EC the price dynamic of rapeseed
oil has shifted from its own market to the diesel market, making it
subject to interactions with the more complex reality of mineral oil
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