Methods to Analyse Agricultural Commodity Price Volatility

2011 ◽  
pp. 1-11 ◽  
Author(s):  
Isabelle Piot-Lepetit ◽  
Robert M’Barek
Keyword(s):  
Price Volatility ◽  
Commodity Price ◽  
Agricultural Commodity ◽  
Commodity Price Volatility

Agricultural Commodity Price Volatility

2005 ◽  
pp. 137-185 ◽  
Author(s):  
Jan Dehn ◽  
Christopher L. Gilbert ◽  
Panos Varangis
Keyword(s):  
Price Volatility ◽  
Commodity Price ◽  
Agricultural Commodity ◽  
Commodity Price Volatility

scholarly journals Macroeconomic Impact of Agricultural Commodity Price Volatility in Nigeria

2019 ◽  
Vol 13 (1) ◽  
pp. 162-174
Author(s):  
Adeyemi A. Ogundipe ◽  
Omobola Adu ◽  
Oluwatomisin M. Ogundipe ◽  
Abiola J. Asaleye
Keyword(s):  
Impulse Response Function ◽  
Price Volatility ◽  
Commodity Price ◽  
Macroeconomic Fluctuations ◽  
Agricultural Commodity ◽  
Agricultural Prices ◽  
Commodity Price Volatility ◽  
Macroeconomic Impact ◽  
Food Imports ◽  
Macroeconomic Aggregates

Introduction: The Nigerian economy has remained consistently heavily dependent on earnings from commodity exports which constitute over 95% external earning and 85% of budgetary and fiscal financing. Agricultural commodity exports have witnessed a significant price swings in the international market in the past few decades resulting in food price hike and macroeconomic distortions in economies heavily dependent on food imports. Methods and Materials: The study assesses the macreoconomic impact of agricultural commodity price volatility in Nigeria from 1970-2017 using Autoregressive Distributive Lag (ARDL) cointegration and Impulse-Response Function (IRF) analysis. The study adopted an atheoretical statistics to ascertain the evidence of swings in macroeconomic aggregates. Results: There was evidence of persistent fluctuations in the macroeconomic variables observed, implying that external price shocks exert a significant impact on the macroeconomic management, since bulk of national budgetary and fiscal financing is from commodity exports. Conclusion: The study found that volatile agricultural prices were responsible for a meager 2% of macroeconomic fluctuations. The empirical evidence corroborates the statistics showing that the share of agriculture in primary commodity exports has consistently remained less than 3% since the advent of crude oil. Furthermore, the study found that the swings in agricultural prices impacts foreign reserves and inflation more significantly and earlier in the time horizons than other macroeconomic aggregates.

scholarly journals Financial speculation impact on agricultural commodity price volatility: TGARCH approach

2020 ◽  
Author(s):  
Algirdas Justinas Staugaitis ◽  
Keyword(s):  
Commodity Prices ◽  
Price Volatility ◽  
Commodity Price ◽  
Agricultural Commodity ◽  
Exogenous Factor ◽  
Market Participants ◽  
Financial Speculation ◽  
Commercial Market ◽  
Commodity Price Volatility ◽  
The Impact

Motivated by agricultural commodity price fluctuations and spikes in the last decade, we investigate whether financial speculation destabilizes the price of agricultural commodities. The aim of this research is to assess the impact of financial speculation on agricultural commodity price volatility. In our study we use weekly returns on wheat, soybean and corn futures from Chicago Mercantile of Exchange. To measure this impact, we apply autoregressive conditional heteroskedasticity (ARCH) technique. We also propose a model with seasonal dummy variables to measure if financial speculation impact on price volatility differs among seasons. The results of our research indicate that financial speculation as an exogenous factor has either no effect or reduces the volatility of the underlying futures prices. Therefore, we conclude that the increase of non-commercial market participants does not make the agricultural commodity prices more volatile or this link is at least questionable.

Methods to Analyse Agricultural Commodity Price Volatility

2012 ◽  
Vol 39 (4) ◽  
pp. 732-735
Author(s):  
M. Stigler ◽  
A. Prakash ◽  
J. Schmidhuber
Keyword(s):  
Price Volatility ◽  
Commodity Price ◽  
Agricultural Commodity ◽  
Commodity Price Volatility

scholarly journals Coffee Output Reaction to Climate Change and Commodity Price Volatility: The Nigeria Experience

2019 ◽  
Author(s):  
Anthony Oko-Isu ◽  
Agnes Ugboego Chukwu ◽  
Grace N. Ofoegbu ◽  
Kennedy Ololo ◽  
Tobechi Agbanike ◽  
...  
Keyword(s):  
Climate Change ◽  
Developing Countries ◽  
Price Volatility ◽  
Secondary Data ◽  
Commodity Price ◽  
Climate Mitigation ◽  
Agricultural Commodity ◽  
Adaptation Measures ◽  
Mitigation And Adaptation ◽  
Commodity Price Volatility

Empirical evidence is lacking on the nexus between coffee commodity output, climate change and commodity price volatility of Africa’s most populous country, Nigeria and other developing countries. To fill this gap, this study analyzed the reaction of coffee output to climate change and commodity price volatility. We used secondary data from 1961 to 2015 from reliable sources for Nigeria. The study adopted GARCH, ARCH and FMOLS in analysis of coffee output reaction to climate change and commodity price volatility. The findings show that coffee output in Nigeria is influenced by climate change and the international commodity price of coffee. The study demonstrates the potential benefits of improving coffee output and export through climate mitigation and adaptation measures and revival of Agricultural Commodity Marketing in Nigeria and other developing countries.

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