Methods to analyse agricultural commodity price volatility

Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Methods to Analyse Agricultural Commodity Price Volatility Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Isabelle Piot-Lepetit · Robert M’Barek Editors Methods to Analyse Agricultural Commodity Price Volatility Foreword by John Bensted-Smith 123 Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Editors Isabelle Piot-Lepetit European Commission Joint Research Centre Institute for Prospective Technological Studies Edifico Expo, c/ Inca Garcilaso E-41092 Seville, Spain isabelle.piot-lepetit@ec.europa.eu Robert M’Barek European Commission Joint Research Centre Institute for Prospective Technological Studies Edifico Expo, c/ Inca Garcilaso E-41092 Seville, Spain robert.mbarek@ec.europa.eu ISBN 978-1-4419-7633-8 e-ISBN 978-1-4419-7634-5 DOI 10.1007/978-1-4419-7634-5 Springer New York Dordrecht Heidelberg London Library of Congress Control Number: 2011926591 © Springer Science+Business Media, LLC 2011 All rights reserved This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York, NY 10013, USA), except for brief excerpts in connection with reviews or scholarly analysis Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden The use in this publication of trade names, trademarks, service marks, and similar terms, even if they are not identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to proprietary rights Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com) Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Foreword After a decade-long period of relative stagnation in prices of main agricultural commodities, price fluctuations in the last years have highlighted the need for more investigations into the topic of agricultural commodity price volatility In fact, it now has a prominent place on the policy-making agenda Price changes have always been a feature of agricultural markets, as market clearing conditions require that supply matches demand A more recent problem is that agricultural price shocks and volatility cause uncertainty among market actors, thus preventing the market from functioning properly Driven by the increased globalisation and the integration of financial and energy markets with agricultural commodity markets, the relationships between all sectors of the economy are evolving and becoming more complex When a disruption, such as a regional drought, food safety alert or financial crisis, hits a particular market, the direction and magnitude of the impacts are not foreseeable Will it impact on other markets and affect producer, consumer and trader decisions? Understanding the nature of agricultural commodity price volatility, anticipating 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 Prospective Technological Studies (IPTS) is engaged in the analysis of price volatility in the context of agricultural and trade policy This volume of workshop papers, which I am pleased to introduce, is one contribution arising from the current work agenda Seville, Spain John Bensted-Smith v Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Preface This book is a collection of scientific papers on topics relevant to the research field of agricultural price volatility analysis Contributions from this book were first developed as presentations at an international workshop organised by the European Commission’s Joint Research Centre – Institute for Prospective Technological Studies (IPTS) on “Methods to Analyse Price Volatility” held on 28–29 January 2010 in Seville, Spain Many conferences, publications, reports and workshops have focused on the dramatic commodity price increases from 2007 to mid-2008 These contributions have tried to identify the known and new factors driving agricultural commodity price changes such as the interdependence between energy and agricultural markets, the consequences of the development of biofuels, the linkage between the depreciation of the US dollar and agricultural commodity prices, the role of financial markets, and to discuss policy responses This book provides an overview of methodologies that can be implemented for improving the analysis and forecast of market developments It discusses how current modelling tools used for policy analyses can be enhanced in order to integrate price dynamics Finally it also highlights challenges faced by policy makers when dealing with the changing nature of agricultural commodities markets 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 We also would like to thank Anna Atkinson for her support in the organising of the workshop and the editing of the book Seville, Spain Isabelle Piot-Lepetit Robert M’barek vii Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Contents Methods to Analyse Agricultural Commodity Price Volatility Isabelle Piot-Lepetit and Robert M’Barek Main Challenges of Price Volatility in Agricultural Commodity Markets Monika Tothova 13 The Energy/Non-energy Price Link: Channels, Issues and Implications John Baffes 31 Food Price Volatility Christopher L Gilbert and C Wyn Morgan 45 Empirical Issues Relating to Dairy Commodity Price Volatility Declan O’Connor and Michael Keane 63 Price Volatility and Price Leadership in the EU Beef and Pork Meat Market Isabelle Piot-Lepetit 85 Using Futures Prices to Forecast US Corn Prices: Model Performance with Increased Price Volatility Linwood A Hoffman 107 Approaches to Assess Higher Dimensional Price Volatility Co-movements Jochen Schmitz and Oliver von Ledebur 133 Price Co-movements in International Markets and Their Impacts on Price Dynamics Hadj Saadi 149 10 Price Transmission and Volatility Spillovers in Food Markets of Developing Countries George Rapsomanikis and Harriet Mugera 165 ix Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ About the Authors John Baffes is a senior economist with the Development Prospects Group His responsibilities include commodity market monitoring and price projections for agricultural commodities as well as research on market structure and policy reform issues both in developing and OECD countries Since joining the World Bank in 1993, he has worked in several operation departments, including Mexico and Bangladesh John Baffes has a B.S degree in Economics from the University of Athens (1983), an M.S degree in Agricultural Economics from the University of Georgia (1986), and a Ph.D in Agricultural and Resource Economics from the University of Maryland (1992) He has published over 30 articles in various academic journals and numerous chapters in books and other reports in the areas of economic development and agricultural economics He contributes frequently to several internal and external World Bank publications Mr Baffes was a key contributor to the World Bank’s flagship publication Global Economic Prospects 2009: Commodities at the Crossroads Christopher L Gilbert is Professor of Econometrics at the University of Trento, Italy Prior to moving to Italy in 2003, Gilbert was Professor of Finance at the Free University, Amsterdam He studied at Oxford (from here has his doctorate) and LSE His previous university positions were at London (Queen Mary and Birkbeck), Oxford and Bristol universities He has consulted extensively for the EC, FAO, IADB, IMF, OECD, UNCTAD and the World Bank He works on commodity futures markets, agricultural, energy and metals markets, financial econometrics, food security issues, African rural development and the history and methodology of econometrics Linwood A Hoffman is a senior economist with the US Department of Agriculture, Economic Research Service His recent duties include planning and conducting economic research and analyses for the grains and oilseed industries His research focuses on issues of supply, demand, price, market structure and performance, trade, policy and program alternatives Hoffman holds a Bachelor’s and Master’s degree in Agricultural Economics from the Pennsylvania State University and a Doctoral Degree in Agricultural Economics from the University of Illinois 217 I Piot-Lepetit, R M’Barek (eds.), Methods to Analyse Agricultural Commodity Price C Springer Science+Business Media, LLC 2011 Volatility, DOI 10.1007/978-1-4419-7634-5,  Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ 218 About the Authors Michael Keane B.Agr.Sc (UCD), M.Sc.Econ (TCD), Ph.D (TCD) has recently retired (Oct 2009) as Senior Lecturer in the Department of Food Business & Development, University College Cork, Ireland, where he has worked since 1981 He is now active as a dairy and food industry consultant while continuing to provide some teaching and research services to the University His research and consultancy activity has focused on agri-food economics and market analysis with particular emphasis on the dairy industry and he is regularly invited to assist on EU, Government and business advisory committees considering agri-food issues ranging from market developments to EU and global policy Robert M’barek works as an agricultural economist at the Institute for Prospective Technological Studies (IPTS) of the European Commission’s Joint Research Centre in Seville, Spain He holds a Ph.D in agricultural sciences and is coordinator of the modelling activities in the area of agricultural trade and market policies He has a special interest in quantitative analysis of the CAP and international trade analysis C Wyn Morgan is Professor in Economics and Fellow of the Centre for Economic Development and International Trade (CREDIT) in the School of Economics at the University of Nottingham His research interests lie in food markets in general with particular interest in policy implications of price movements in national and international prices Research has focused on price transmission along imperfectly competitive food chains; supermarket price behaviour; food price volatility; and risk management using futures markets to combat price risk effects He has published in a range of journals including the Economic Journal, World Development, Journal of International Trade and Economic Development and has undertaken research for amongst others the UK Government (DEFRA, DBIS, DFID) and the Commonwealth Secretariat Harriet Mugera is currently pursuing her Ph.D in Economics and Management, at the University of Trento She holds a Master’s Degree in Finance from the University of Trento Before starting the Ph.D program, she worked as a consultant at the Food and Agricultural Organization of the United Nations in the Trade and Markets and in the Agricultural Development Economics Divisions Her main research interests are on small-scale agriculture in developing countries and volatility transmission in the commodity markets of developing countries Declan O’Connor B.Comm Ph.D is a lecturer at the Cork Institute of Technology Ireland Following his degree in Commerce, Declan returned to University College Cork to complete a Ph.D in Agricultural Economics where he examined price transmission in the EU Dairy sector His research and teaching interests are in agricultural economics, agricultural policy and the application quantitative methods with particular emphasis on the dairy sector His more recent research has focused on the emerging issue of price and income volatility As well as having a number of publications in this field he has also made a number of presentations at international conferences Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ About the Authors 219 Isabelle Piot-Lepetit is a senior economist She holds a PhD in Economics (University of Bordeaux, France) and an Accreditation to Supervise Research awarded by the University of Paris I Panthéon-Sorbonne (France) She currently works at the Institute for Prospective Technological Studies (IPTS) of the European Commission’s Joint Research Centre in Seville, Spain Before joining IPTS, she worked at INRA – National Institute for Agricultural Research Her research fields relate to the incorporation of environmental constraints and the introduction of dynamics into the microeconomic representation of producer and market behaviours George Rapsomanikis is an Economist in the FAO Trade and Markets Division He holds a Ph.D from the University of Reading Before joining FAO, he held appointments at the Centre for European Agricultural Studies, Imperial College, University of London where he worked on numerous agricultural and rural development policy research projects, advising international organisations and national governments Currently, his research focuses on issues related to food market analysis, international trade and small-scale agriculture development and transition He is the author of many academic journal articles and has contributed widely to books mainly on econometric modelling of food markets and agricultural policy He is also the Editor of the FAO Commodity Market Review Hadj Saadi teaches economics at the Université Pierre Mendès France (Grenoble, France) He has specialised on international economics and international primary commodity markets He has published many articles and a book on primary commodity prices and markets dynamics Alexander Sarris since 1982 is professor in the department of economics, University of Athens, Greece Between 2003 and August 2010, he was Director of the Trade and Markets Division, of the United Nations Food and Agriculture Organization (FAO) He holds a Ph.D in economics from the Massachusetts Institute of Technology, USA, and has also held a faculty appointment at the University of California at Berkeley, USA, from 1976 to 1982 He has authored or co-authored more than 15 books and monographs, and more than 70 journal and book articles on various issues of international trade and development, has received the Best Paper Award by the American Agricultural Economics Association, in 1984, and the Best Doctoral Dissertation Award, by the American Agricultural Economics Association, in 1978 and has served in the editorial boards of several academic journals He has advised extensively many UN organisations, the World Bank, the European Commission and other national and international agencies, and has field research and policy advice experience in over 20 countries He has served as chairman of the Athens-based Center for Planning and Economic Research, as chairman of the Brussels-based Center for Development of Enterprise and in managerial and policy-making capacities in several Greek and international research and trade-related bodies His professional and research interests include: Development Economics; Commodity Market and Price Analysis; Food and Agriculture Policy; Applied International Economics; Agricultural Risk Management; Macro-Micro Modelling; Income Distribution; and Poverty Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ 220 About the Authors Jochen Schmitz is currently working at the Johann Heinrich von Thünen-Institute (vTI) as an economist/econometrician His research interests lie in the areas of volatility spillover effects, price spikes (focus on energy markets) and Lévy processes He has profound knowledge of the German electricity market and is a certified spot market trader (EEX) Before he joined the vTI, he worked as an econometric consultant Jochen Schmitz has a degree in Economics from the University of Halle Monika Tothova currently works as an Economic and Policy Analyst in DG Agriculture and Rural Development of the European Commission in Brussels Before joining the Commission in 2008, she spent years in the Trade and Agriculture Directorate of the Organisation for Economic Co-operation and Development in Paris She holds a Ph.D in Economics and Agricultural Economics (joint degree) from Michigan State University Beatriz Velazquez graduated in agriculture economics both in University of Buenos Aires, Argentina, and University of Tuscia, Italy, holds a diploma and a Master on Agribusiness SMEA, University of Sacro Cuore, Cremona, Italy Before joining the European Commission she worked as a researcher at the National Institute of Agricultural Economics, Italy, in the area of qualitative and quantitative evaluation of CAP reform impacts on specific sectors and regions in Italy Currently she works at the European Commission – Directorate of Agriculture and Rural Development as Economic and Policy Analyst where she carries out preparatory work, economic and policy analysis for the CAP reform and strategic decision-making, currently focusing on the CAP post-2013 In particular, she coordinates the analytical activity of the unit in areas related to market measures, market stability and food security, and provides strategic support to policy makers in issues related to the ongoing CAP reform In the recent past she provided analytical work and drafting of the Impact Assessment that accompanied the legislative proposals of the CAP Health Check (2007–2008), the reform of the Cereal Intervention System (2006) and the reform of the Sugar sector and drafting of the Impact Assessment of the Sugar sector Common Market Organization reform (2005) Oliver von Ledebur is working at the Johann Heinrich von Thünen-Institute (vTI) as an senior researcher He has nearly 10 years of experience in the analysis of cereals and oilseeds markets For more than 10 years he has been working with modelling and simulating policy impacts on agricultural markets, most of it within the advisory work for the German Federal Ministry His research interests lies in the fields of cash crop markets and trade, biofuels policy and markets, agricultural markets volatility and risk management and regional integration, mainly in Europe and South America Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Index A Abbot, P C., 47 Agnolucci, P., 133 Agricultural Agricultural development and marketing corporation (ADMARC), 177 commodity market(s), 1, 8–9, 13–29, 89, 99, 107–108 policy(ies), 8, 10, 23, 26, 58, 64, 108, 197, 207 price(s), 7, 10, 23, 38, 42, 46–48, 52–53, 56, 59, 85, 113–115, 187, 210, 215 index, 42 production, 5, 21, 23, 25, 53, 56, 178, 187–188 products, 2–5, 21, 23, 25, 52–53, 56, 85, 150, 156, 178, 182, 187–188, 197, 208 supply, 2, 86, 107 support(s), 31, 216 Agriculture, 7, 23, 31–33, 36–37, 39–40, 42, 46, 64–65, 165, 178, 185–188, 190, 207–216 Agriview, 15, 18, 89, 213 Ai, C., 151, 154 Aizenman, J., Akaike information criterion (AIC), 39, 94, 97–98, 100–104 Aksoy, A., 31, 184 Albagli, C., 151 Alizadeh, A H., 166 Aluminium, 150–151, 155–156, 159–161 AMI, 141–142 Annualised standard deviation, 29, 71–73 Antonovitz, F., 86 Aradhyula, S V., 86 Ardeni, P G., 158 Asymmetric Asymmetric dynamic covariance (ADC) model, 135 Asymmetric generalised autoregressive conditional heteroskedasticity (AGARCH) model, 78 Asymmetric power autoregressive conditional heteroskedasticity (APARCH) model, 86, 89, 94–104 Augmented Dickey-Fuller (ADF) statistic, 39–41, 75–76, 170 Aulerich, N., 120 Austria, 91–96, 100, 102–104 Autocorrelation, 76–78, 171 Autoregressive Autoregressive (AR) model, 73, 86 Autoregressive conditional heteroskedasticity (ARCH) model, 7, 73–78, 86–89, 94–104, 136, 146, 173–174 Autoregressive integrated moving average (ARIMA) model, 73, 75 Autoregressive moving average (ARMA) model, 73–78, 86–88, 94–98, 100–104 process, 73, 86 Average crop revenue election (ACRE), 108 B Baba–Engle–Kraft–Kroner (BEKK) model, 134–139, 144, 146–147, 169–170, 173–177 Baffes, J., 31–43, 47, 151, 215 Balance of payments, 24, 26, 189 Balcombe, K., 7, 53 Bananas, 48–49, 51–52, 182 Banse, M., 36 Bargaining power, 210, 216 Barley, 15–16, 18–19, 28, 108 221 Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ 222 Basis values, 112, 119 Bauwens, L., 135, 138 Bayesian information criterion (BIC), 76 Beef, 8, 15–16, 28, 48–49, 51–52, 85–104, 214 price(s), 96 Beghin, J C., 31 Bekaert, G., 133, 135 Belgium, 91–93, 95–96, 100, 102–104 Bera, A K., 89, 140, 143, 147, 171 Besant, L., 110–111 Bi-directional Granger test, 173 Biofuels, 3, 8–9, 23, 27, 33–38, 40–43, 47, 53, 108, 127, 146, 207, 215 Bivariate GARCH model, 147, 169 Black, F., 117 Black–Scholes formula, 1, 14 Blanchard, O., 151 Bloch, H., 55 Bohman, M., 58 Bollerslev, T., 7, 74, 86, 133–136, 138, 166 Bolsa mercantil e de futuros (BRAZ), 140, 143 Borensztein, E., 35, 158 Bovine price(s), 91, 93 production(s), 9, 90–91, 96–97, 99–100 spongiform encephalopathy (BSE), 75 Box, G E P., 50–52, 73, 86, 171 Box-Jenkins procedure, 75–76 Bruinsma, J., 182 Buffer stocks, 26, 58, 186 Bulgaria, 89, 97–98 Butter, 15–16, 28, 64–73, 75, 77–80, 209, 214 C Calabre, S., 152, 154, 157 Call options, 14, 60, 202 call and put options, 26 Calvo, G., 33, 43 Capital movement, 151 CAP reform, 64, 79, 210, 212, 214 Carter, C A., 151 Cashin, P., 154 Cash prices, 9, 109–111, 113–115, 118–119, 126 Causality, 150, 156–161, 169, 173 test, 158–159, 161 Chambers, W., 108 Chantret, F., 43 Chatrath, A., 151 Index Chaudhri, K., 40 Chavas, J P., 86 Cheeses, 19, 28, 65 Chicago Chicago board of trade (CBOT), 14, 19, 113, 140–141, 143–146 Chicago mercantile exchange (CME), 19–20, 22, 29, 110, 113, 119, 130 Chicken, 15–18, 28 Childs, N W., 107 Christiaensen, L., 46, 54 Clarke, R., 56 Clements, M P., 185 Climate change, 22, 215 Coarse grains, 36–37 price, 37 Coble, K H., 210 Cochran, W G., 117 Cocoa, 48–49, 51, 58, 150–151, 153, 155–156, 159–160, 197 Coconut oil, 49–51 Coefficient of correlation (CC), 90, 92–93, 96–98 Coefficient of variation (CV), 7, 15–17, 19, 45, 69–72, 90–92, 96–98 Coffee, 26, 49, 51, 58, 150–151, 155–156, 159–160, 197 Cointegration Cointegration regression Durbin Watson (CRDW) statistics, 155 methods, 152 Collier, P., 58 Commodity Commodity compensatory financing facility (CCFF), 187 exchanges, 14, 17, 27–28, 59 futures, 2, 47, 53, 59, 141, 147 market, 59 indexed bonds, 26 investments, markets, 1–2, 4–5, 8–10, 13–29, 47, 89, 99, 107–108, 126, 143, 147, 150–158, 182, 186, 196, 204, 208, 214 options market, 47, 110, 197 price boom, 31, 37, 43, 177, 215 price variability, 2, 39 stocks, 25–26 swaps, 26 Common agricultural policy (CAP), 23, 58, 64–65, 67, 79, 197, 207–208, 210, 212, 214–216 Common market organization (CMO), 220 Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Index Co-movements or comovements, 9–10, 23, 133–147, 149–161, 166 Competitive market, Complementarities, 149–150, 157, 159, 161 Conditional standard deviations, 138–139 Conditional variance, 88, 134–135, 138–139, 144, 146, 166, 169–170, 173–177 Constant conditional correlation (CCC) model, 134–135, 138–139, 147 Consumer price index (CPI), 37, 57, 152 Cooper, M., 108 Cooper, R N., 41, 47 Copper, 150–151, 153, 155–156, 159–160 Corn, 9, 37, 49, 53, 107–130, 140, 143, 146–147 Correlation coefficients, 134, 139, 143, 176 matrix, 134, 138–139, 142, 145 Cost, insurance, freight (CIF), 14–15 Cotton, 108, 150, 153, 155–156, 159–161 Counter-cyclical payments, 108, 210–211 program, 108 Cow(s) price, 18, 28, 89–90, 93, 95–98, 101, 109 Crain, S J., 133 Crop(s) insurance, 25, 27, 56 revenue insurance, 25, 27 Cross-compliance, 216 Crude oil prices, 27, 32, 34, 37–39 Cuddington, J T., 43 Cycle(s), 5–7, 21, 43, 49–50, 58, 79, 118, 127, 154, 156, 186, 194 component, Cyprus, 97–98 The Czech Republic, 96–98 D Dairy industry, 63–66, 75, 79 quotas, 209 Dana, J., 55, 58–60, 178 Data series, 7, 20, 74, 87, 150 Dawe, D., 25, 59, 176 Deaton, A., 47, 186, 196 Debatisse, M L., 197 Deb, P., 151 Decoupled direct payments, 210, 216 support, 210–213 223 De Goeij, P., 166 Dehn, J., 184, 187 De Long, J B., 47 Demeke, M., 190 Denmark, 91–96, 100, 102–104 Depreciation energy markets, 47 Derivatives market, 2, 22, 27, 199 Derived products, 19 Dickey, D A., 39, 75, 156, 158, 170 Ding, Z., 87, 89 Directorate general (DG), 213–214 Dismukes, R., 210 Doha development round, 208 Durbin Watson test, 155 Dutta, M., 176 Du, X., 23 Dynamic conditional correlation (DCC) model, 134 E Economic crisis, 207, 210, 215 growth, 26, 32, 158, 187–188 Edible oils, 33, 37, 39–40 Eggs, 17 Eigenvalue test, 171 Elasticities, 2–3, 5, 34–36, 38–42, 46, 53, 56–57, 85 Elasticity of demand, 2–3, 56 Enders, W., 78 Endogenous cycle, 156 Energy commodities, 40 markets, 23–24, 33–34, 42, 108, 133, 166 prices, 9, 33–36, 38–43, 55, 57, 146, 157, 208, 215 Engle, R F., 6–7, 74, 86–87, 89, 134–137, 155–156, 166, 168–169, 173 Enke, S., 167 Enke–Samuelson–Takayama–Judge model, 167 Equity markets, 32 Error correlation models, 77–78, 88, 129–130 Estonia, 97–98 Ethiopia, 166, 170–176 EU EU-10, 89, 212 EU-12, 86, 99 EU-15, 86, 89–90, 99, 212 EU-25, 212–213 EU Policy, 71, 75, 78 Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ 224 European European centre for nature conservation (ECNC), 212 European commission (EC), 21, 37, 72, 89, 210, 213–214 European Economic Community (EEC), 64–65 European Union (EU), 9, 14–19, 22, 28, 36–37, 52, 63–73, 75, 77–80, 85–104, 187, 196–197, 207–209, 211–215 market, 99 Ewing, B T., 133, 135 Excess co-movements, 151–157, 161 Excess volatility, 6, 13, 24 Exchange rates, 2–3, 5, 8, 21, 27, 55, 66, 150–152, 161, 188–189, 207–208 Exogenous cycle, 156 Exogenous shocks, 5, 156–158, 161 Expectations, 3, 14, 65–66, 75, 78, 87, 109, 113, 150–151, 165, 184, 193 Exponential generalised autoregressive conditional heteroskedasticity (EGARCH) model, 86–89, 94–104, 135 Export bans, 20, 25, 34, 178, 194 countries, 3, 24–26, 58, 158, 176, 182, 184, 188, 195, 199 price, 3, 28 quotas, 58 refunds, 63, 209 subsidies, 58, 65 Extreme volatility, 6, 176–178 F Fackler, P L., 167 Fama, E F., 109 Farm Farm accountancy data network (FADN), 212 Farm Act, 108 Farm net value added (FNVA), 212 Financial crisis, 8, 34, 151, 181 markets, 8, 133, 135, 150–153, 187 prices, 2, 7–8 products, 197, 199 shocks, Finland, 91–96, 100, 102–104 Fishmeal, 48–49, 51–52 Index Fluctuations, 2–3, 5–6, 22, 24, 49, 58, 63, 65, 67, 85, 152, 157, 186–187, 208, 211 Fluctuations in export earnings (FLEX), 58, 186 Food commodities, 9, 33–36, 40–42, 53, 59, 166, 181–205 crises, 24 Food and agriculture organization (FAO), 15, 18, 20, 28, 35–36, 47, 53, 56–57, 72, 165, 170, 182–184, 190, 192–193, 195, 198, 202 Food import bill (FIB), 24, 182, 184, 190, 198–200, 203–204 Food import bill trend (FIBT), 203 Food import financing facility (FIFF), 10, 185, 198–204 outlook, 183 price(s) index, 40, 165 surge, 165, 176–178, 189 reserves, 59, 177–178 security, 24–25, 56–57, 59–60, 176–178, 182, 185, 190, 217 staples, 10, 56, 181 Foot and Mouth, 75 Forecast errors, 109–110, 116–121, 127, 169, 171, 173 model, 109, 111, 126–127 performance, 109, 115–118 Forecasting, 1–2, 5, 7, 34, 107–113, 119, 126–127, 133 methods, 109–110, 119, 126 Forward markets, 187 contracts, 26 France, 21, 91–93, 95–96, 100, 102–104 Frankel, J A., 33, 43, 151–152 Free on board (FOB), 14, 66 Friedman, M., 58 F test, 48–49, 159–160 Fuller, W A., 39, 75, 156, 158, 170 Full information maximum likelihood method, 171 Futures contracts, 9, 22, 25, 27, 34, 110–114, 120, 130, 140, 143, 147 markets, 9, 14, 17–21, 25, 27, 47, 53–54, 56, 59–60, 79, 109–110, 115, 120, 151, 187 price, 5, 60, 107–130, 136, 141–143, 200 Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Index G Gali, J., 151 Garcia, P., 109 Gaussian distribution, 74, 87 process, 74, 87 General agreement on tariffs and Trade (GATT), 58 Generalised autoregressive conditional heteroskedasticity (GARCH) model, 7, 48, 71, 73–78, 81–82, 86, 88–89, 94, 97–98, 134–139, 141, 144, 147, 166, 169–170, 174 Germany, 91–96, 100, 102–104 Geweke, J., 89 Gilbert, C L., 89 Global Global trade analysis project (GTAP), 36 shocks, 7, 79 trade dairy policy, 64 warming, 53 Glosten-Jagannathan-Runkle (GJR) Generalised autoregressive conditional heteroskedasticity (GJR-GARCH) model, 89 model, 135 Glosten, L R., 89, 135 Gohin, A., 43 Goodwin, B K., 133, 167 Goodwin, T H., 86 Grains, 3, 9, 28, 36–37, 39–40, 46–52, 54–56, 58–59, 108–109, 112–113, 118–121, 176, 184, 194, 197 Granger causality test, 159 representation theorem, 168 Granger, C W J., 153, 155, 157, 168–169, 172–173 Greece, 86, 91–92, 95, 100, 102–104 Green, R., 86 Gross domestic product (GDP), 33, 56, 208 Groundnut oil, 49, 51–52 Gulati, A., 176 H Hamao, Y., 133 Haniotis, T., 32, 151, 215 Hannon–Quinn information criterion (HQIC), 95 Hansen, P R., 135, 171 Hard red winter (HRW), 19, 28 Harvey, A C., 135 Harvey, C L., 135 225 Harvey, D I., 110, 116 Harvey, D R., 79 Harwood, J., 197 Hassan, S A., 166 Health check (HC), 65 Hedge funds, 53, 151 price risk, 58 ratios multivariate approach, 134 Hedgers, 120, 127 Hedging, 2, 22, 59, 151, 178, 197 Heifer(s), 19, 89, 91, 93–95, 97–98, 102 price, 94–95, 97 Hendry, D., 185 Herding behaviour, 151 Heston, S., 135 High income countries, 31 High level expert group (HLG), 210 High volatility, 13–14, 20, 48, 52, 54, 71, 88, 120, 151, 175, 215 Historical volatility, 14, 19–22, 29 Hoffman, L A., 107–130 Holtham, G H., 35 Holt, M T., 86 Huchet-Bourdon, M., 47, 53 Hungary, 96–98 I Implicit volatility, 1, 14 Import bill, 24, 26, 56, 58, 182, 184, 190, 198–200, 203–204 quotas, 63–65 tariffs, 58, 63, 189 Income stabilisation, 25–27, 211–213, 216 tool, 212–213, 216 Increased price volatility, 22, 25–27, 107–130, 215 Increased volatility, 19, 21–22, 24–27, 57, 70, 72, 120, 166, 173 Independent and identically distributed random (i.i.d) variable, 88 India, 166–167, 170–177 Industrial production index (IPI), 152 Innovation process, 135 Institute for prospective technological studies (IPTS), 219 Institutional prices, 208–209 Insulated market, 175 Insurance markets, 58, 215 Interaction, 5, 10, 137, 139, 149–150, 152–153, 156–157, 159, 161, 166 Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ 226 Inter-branch organisations (IBOs), 214 Interdependence, 8, 10, 23, 27, 42, 149, 156–158 Interest rate, 2, 33, 43, 108, 110, 150–152, 157, 161, 200–201 Intermediation, 59 International commodity agreements, 25, 58 financial statistics, 49, 51, 170 International dairy federation (IDF), 79 International Food policy research institute (IFPRI), 202 International monetary fund (IMF), 49, 51, 170, 187 International petroleum exchange (IPE), 141, 144–145 market, 3, 7, 10, 17, 149–161, 170, 183–184, 190, 199–200 prices, 10, 64, 149–150, 165, 173, 182, 191–193, 200 trade, 3, 54, 195 Intervention buying, 65 Inverted market, 110 Irregular component, 5, 49–50, 52 Irwin, S H., 22, 109 Italy, 65, 91–96, 100, 102–104 Ivanic, M., 182 J Jaffe, A M., 43 Jarque–Bera test, 140, 143, 171 Jarvis, L., 85 Jenkins, G M., 73, 86 Jerret, D., 43 Jevons, W S., Johansen, S., 171 Johnson, D G., 187 Joint research centre (JRC), 218–219 Judge, G G., 167 Just, R., 85 K Kastens, T L., 109 Keane, M., 63–82 Kellar, N., 154 Keynes, J M., 186 Knight, F H., Konandreas, P., Koopman, S J., 51 Krijger, A., 79 Kroner, K F., 133–137, 169, 173 Kuala Lumpur (KL), 141, 144–145 Kurtosis, 72, 135, 140, 143, 170–171 Index L Labys, W C., 2, 7, 151 Lamb, 48–49, 51 Laroque, G., 47 Larson, D F., 178 Latin America and the Caribbean (LAC) countries, 183 Latvia, 96–98 Law of one price, 55, 167–168 Lawrence, R Z., 41, 47 Lead, 150–151, 155–156, 159–161 Least developed countries (LDCs), 182–184, 198, 200–204 Lee, J, H, 133 Leptokurtic distributions, 170 Letters of credit (LCs), 195, 198 Leybourne, S J., 151, 153 Likelihood function, 173 Linear model, Lisbon Treaty, 207 Lithuania, 96–98 Ljung, G M., 50 Loan payments programme, 210 Logarithm generalised autoregressive conditional heteroskedasticity (Log-GARCH) model, 77, 89, 173 Low income Low income countries (LICs), 184 Low income food deficit countries (LIFDCs), 184–185, 190, 192–193, 203–205 Lunde, A., 135 Luxembourg, 65, 71, 78, 91–96, 100, 102–104 agreement, 65, 71, 78 M Maize, 15–16, 19, 23–24, 28, 33, 36–38, 40–41, 49–52, 54–56, 59–60, 140–146, 151, 165–167, 170–178, 182, 192–193 price, 36–38, 55, 173, 175–177 Maizels, A., 151 Malawi, 60, 166–167, 170–175, 177–178 Malik, F., 166 Malliaris, A G., 153 Malta, 96–98 Manufacturing unit value (MUV), 32, 38, 42 Marchés terme d’instruments financiers (MATIF), 19–21, 140–146 Market analysis, 10 balances, 37, 208 behaviour, Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Index dynamics, 150, 156–157, 161 equilibrium, forecasting, 1, 2, 5, 7, 107–130 fundamentals, 21–23, 25–27, 152, 166, 192 imperfections, information, 8–9, 107, 118 integration, 167–168 interventions, 65, 204 model, 1–2, modelling, 1–2 orientation decoupled payments, 209 shocks, 2, 177 signal, 23, 27, 196, 210 stabilization, 214 structure, 4, 120, 158 supply, 2, 152 Marketing year, 108, 111–115, 117, 122–124, 127–128 Marquering, W., 166 Martin, W., 182 Masters, M W., 53 Maximum likelihood methods, 171 Mean absolute error (MAE), 109, 116, 118, 120, 129–130 Mean absolute percentage error (MAPE), 109, 116, 118, 120, 129–130 Mean squared error (MSE), 109, 116, 119 Meat(s) prices, 17, 56 products, 17, 55, 85 Medlock, K B III, 43 Member States (MS), 9, 86, 89–96, 216 Metals, 9, 24, 32–33, 35, 39–42, 47 Meyer, L A., 108 Meyers, W H., 21 Minerals, 150, 215 Minot, N., 176 Mitchell, D., 36, 47, 53, 56 Mixture of distribution hypothesis (MDH), 147 Model forecasting, 108–109, 111–112, 126–127 Modified Diebold–Mariano (MDM) test, 116–117, 119, 129 Moledina, A A., 75 Monetary policy, 27, 33, 152 Morgan, C W., 45–60, 136 Moving average (MA) model, 73, 86–88, 112–114, 127 Multivariate GRACH model, 135–137, 166, 173–174 methods, Mundlak, Y., 55 227 N National agricultural statistics service (NASS), 112–114 Nelson, D B., 87–88, 135 Nerlove, M., Net food importing developing countries (NIFIDs), 184–185 The Netherlands, 91–96, 100–104 Net importing countries, 24, 182 Netz, J S., 151 Newbold, P., 110 New member states (NMS), 89, 96–99 Ng, F., 184 Ng, V K., 133, 135 Nickel, 150–151, 155–156, 159–160 Noise, 50, 74, 87 Non-agricultural markets, 47 Non-energy commodities, 34–35, 42 Non-food commodities, 40 Non-linear models, Non-normal distribution, 140, 147, 170 Normal distribution, 135, 140, 147 market, 34, 110 residuals, 76 Normality test, 72, 76–78 O Oats, 19, 108 O’Connor, D., 63–82 Oil price, 8–9, 21, 27, 32, 34, 36–39, 47, 53, 56–57 Oil seeds, 3, 28, 36–37, 108, 143 Olympic average, 126 Option markets, 197 Oranges, 49, 51–52 Ordinary least square (OLS) estimation, 23, 38, 41, 153 Organization of economic cooperation and development (OECD), 20, 36, 183, 201 Organization of the petroleum exporting countries (OPEC), 34 Other developing countries (ODCs), 182 Over the counter (OTC), 195, 197, 199 P Pagan, A., 154 Palaskas, T B., 152–153 Palm oil, 40–41, 49, 51, 141, 144 Pannel, D J., 58 Past volatility, 7, 141 Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ 228 Patel, J., 110 Pearsons, W M., Pentula, S., 89 Perishable commodities, 48 Perron, P., 170 Phillips, P C B., 170 Piglets, 19, 89, 92–94, 98–99, 104 prices, 96 Pindyck, R S., 151 Pinto, B., Plato, G E., 108 Poland, 96–98 Policy developments, 75 instruments, 9, 23, 63, 79, 208 intervention, 65 Political intervention structural changes, Population growth, Porcine, 9, 86, 90, 92–93, 96, 98–99 production, 9, 86, 90, 92–93, 96, 98–99 Pork, 3, 8, 19, 85–104 price, 86, 94–95, 98 Portmanteau test, 76 Portugal, 91–96, 100, 102–104 Powell, A., 158 Prebish–Singer hypothesis, 158 Price adjustments, 4, 10, 24, 99 behaviour, 2–3, 7, 134, 140 cycles, 7, 58 developments, 45 discovery process, 64 dispersion, 90–93, 98 distributions, 45, 47 dynamics, 9–10, 86, 149–161 elasticity, 2, 85 evolutions, fluctuations, 2, 5, 22, 63, 65, 67, 85, 157, 186 hikes, 15, 21, 24, 26 increases, 34, 36, 39, 57, 69, 90, 177, 188–189, 200, 202 -inelastic demand, 2–5 information, 108, 134 leadership, 85–104 peaks, 9, 17 process, 9, 54, 86, 91, 96–99 series, 15, 17, 28, 66–68, 70–73, 75, 80, 86–87, 89, 94–96, 99, 149, 153, 158–159, 167, 170 shock, 8–9, 133, 176–177, 187–188, 196, 198, 200 Index spikes, 182, 184, 193, 196, 202, 204, 210 stabilisation, 25–26, 59, 177 transmission, 24, 165–178, 210, 213 variability, 2, 7, 20–21, 23, 28, 39, 46–47, 99, 173, 192 variation price movements, 42, 64 volatility, 1–10, 13–29, 45–60, 63–82, 85–104, 107–130, 133–147, 181–205 transmission, Primary commodity markets, 150–157, 161 prices, 150–157, 161 Processed foods, 46 Producer organizations (POs), 214 Producer price index (PPI), 49 Productivity growth, 207–208 Q Qiao, Z., 166 Quotas, 26, 58, 63–65, 209, 216 R Radetzki, M., 32, 43 Random processes, walk model, Randomness, Rapsomanikis, G., 165–178, 190 Raw materials, 9, 35, 39–41 Realized or realised volatility, 1, 13–14 Reinhart, C M., 35, 158 The Republic of Ireland (Ireland), 91–96, 100, 102–104 Research and development (R&D), 33 Residuals, 5–6, 50–51, 54, 74, 76–78, 87–88 Retail prices, 46 Returns, 24, 43, 46, 72, 110, 134–136, 138, 140, 143, 146–147, 169 Rezitis, A N., 86 Rice, 19, 28, 32, 41, 49, 51–52, 54, 56, 167, 171, 192–193, 214 Risk management, 2, 24–27, 58–59, 64, 79, 187, 197, 199, 201–202, 204, 215–216 tools, 24–25, 64 Robles, M., 22 Roe, T L., 86 Romania, 89, 96–98 Rosegrant, M., 36 Rotemberg, J J., 151, 153–154 Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Index Rubber, 150–151, 155–156, 159–160 Rural development policy, 219 toolkit, 215 S Saadi, H., 149–161 Sadorsky, P., 133 Safety net(s), 25–27, 197, 209–211, 215–216 program, 25 Samuelson, P A., 167, 193 Sanders, D R., 22, 109–110 Sarris, A., 181–205 Schlenker, W W., 53 Schnepf, R., 3–4, 7, 133 Scholes, M., 1, 117 Schroeder, T C., 109 Schwarz Schwarz–Bayes information criterion, 172 Schwarz information criterion (SIC), 94, 97–98, 100–104 Schwert, W., 89 Seale, J L., 86 Seasonality component, Season-average price (SAP), 107–108, 110–114, 121–127 supply response, 85–86 variation, Serial correlation, 50–51 Series, 28, 73–78, 80 Sheffrin, S M., 86 Shocks, 2, 5, 7, 25, 39, 42, 46–47, 53–54, 59, 74, 79, 86, 133, 146, 156–158, 161, 166, 169–170, 173–178, 184, 186–188, 196, 198, 200, 202, 208 Shonkwiler, J S., 86 Silvennoinen, A., 43 Single farm payments, 65 Skees, J., 178 Skewness, 72, 140, 143, 171 Skim milk powder (SMP), 15–16, 18, 28, 65–73, 75–82, 214 Slovakia, 96–98 Slovenia, 96–98 Small Island developing states (SIDS), 184 Snedecor, G W., 117 Song, F., 151 Sorghum, 19, 28, 49, 51, 108 Soybean(s) meal, 15, 19, 28 oil, 19, 28, 37, 49, 51 Spain, 1, 60, 91–93, 95–96, 100, 102–104 229 Speculation, 2, 5, 22, 47, 53, 150–151, 161, 215 Speculative behaviour, 151 Speculators, 2, 22, 53, 120, 152 Spillover effect, 34, 134, 146–147 Spot prices, 14–15, 112 Stabilization of export earnings (STABEX), 58, 187 Standard deviation (SD), 7, 15, 29, 45–46, 49, 69–73, 77–78, 90, 138–139 Staples, 56, 191 Stationarity, 75, 155, 159, 166, 168, 170 Stavropoulos, K S., 86 Stochastic process, 87, 135, 169 Stockholdings, 46–47, 191 Stock(s) levels, 21, 46 management, 22, 25–26, 193, 195 markets, 150–151, 161 prices, 7, 150, 153 Storable commodities, 152 Streeter, D H., 120 Structural change, 5, 21, 127, 151 model, 4–5 Substitutions, 149–150, 159 Sugar, 49, 51, 53, 58, 209, 214, 220 Sumner, D., 53 Sunflower, 9, 37, 49–52 oil, 9, 49–52 Supply chain, 55, 58–59, 64, 213–214 Swaray, R., 151 Sweden, 91–96, 100, 102–104 Systematic volatility, T Taheripour, F., 37 Takayama, T., 167 Tang, K., 43 Taylor-Schwert generalised autoregressive conditional heteroskedasticity (TS-GARCH) model, 89 Taylor, S J., 46, 89, 135 Tea, 49, 51 Thomas, H C., 151 Thorp, S., 43 Threshold generalized autoregressive conditional heteroskedasticity (TGARCH) model, 78 Time continuous models, 134 Time discrete models, 134–135 Time-invariant correlation, 48, 73–78, 86, 94, 99, 110, 172 Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ 230 Time series analysis, model, 48, 73–78, 86, 94, 99, 110, 172 Timmer, C P., 54, 59 Tin, 150–151, 155–156, 159–161 Tomek, W G., 110, 120 Total factor productivity (TFP), 39, 42 Trace test, 171 Trade barriers, 31 distortions, 26 liberalization, 8, 64 policies, 21, 172 Traders, 26, 47, 59, 108, 110, 120, 133, 151–153, 161, 176–177, 192, 195, 198 Transmission elasticities, 34–35, 42 Transparency, 4, 210, 213–214, 216 Treaty of Rome common markets, 64 Trend, 2, 5–7, 9, 15, 18, 20, 22–23, 38, 42, 45–47, 49–51, 66–68, 136, 151, 153–155, 157–158, 168, 176–177, 181–183, 198–200, 203, 213–214 -cycle-seasonal-irregular model, Trostle, R., 21, 108 Truong, B T., 152, 156 Tsay, R., 78 U Uncertainty, 1, 5, 8, 14, 23–25, 27, 56, 85–86, 127, 178, 185–188, 192 The United Kingdom, 91, 93–96 United Nations (UN) United Nations conference on trade and development (UNCTAD), 59, 155, 198 United Nations-Food and agriculture organization (UN-FAO), 15, 18, 20, 28, 35–36, 47, 53, 56–57, 72, 165, 170, 182–184, 190, 192–193, 195, 198, 202 United Nations world food (WFP) programme, 202 United States (US), 20, 22, 28, 31–34, 36–39, 47, 49, 53, 58, 63, 66, 107–130, 140–143, 146, 151, 170, 187, 196–197, 201, 203–204, 210, 215 United States department of agriculture (USDA), 9, 28, 66, 107, 110, 112–115, 126 Unit root test, 75, 158 Univariate GARCH model, 134, 138–139, 141, 170 Index Univariate methods, 134–136 Unobserved components model, Urritia, J L., 153 Uruguay round agreement on agriculture (URAA), 185 V Vansteenkiste, I., 41, 151 Varangis, P N., 151–153, 197 Variance, 45, 48–50, 53, 71, 74–78, 87–89, 110, 116–117, 134–139, 144, 146, 166, 168–171, 173–177 equation, 88–89, 136–137, 139, 146, 169, 174 Vector error correction (VEC), 139, 166, 168, 172 Vector error correction model (VECM), 166, 168–169, 172 Vegetable oils, 36, 48, 53, 56 Volatile market, 13 Volatility co-movements, 133–147 persistence, 176 spillovers, 10, 165–178 transmission, 8–9, 23, 135, 139, 147 W Weather, 2–3, 7, 21, 33, 46, 108, 178, 187, 198, 209 Welfare loss, 56 Westcott, P C., 107–108 West Texas intermediate (WTI), 34 Wheat, 14–23, 28, 36–37, 40–41, 50–51, 54–56, 59–60, 108–109, 140–145, 153, 166–167, 170–176, 182, 192, 214 White noise, 50, 74, 87 Whole milk powder (WMP), 58, 65 Williams, J C., 47 Wohar, M E., 154 Wolf, H., World market, 10, 16, 56–57, 70–71, 79, 166, 170, 172–173, 175–178, 190, 192, 198, 200, 202, 208–209 prices, 9, 16, 19, 25, 55, 58, 64, 66, 68–72, 75, 77, 79, 171, 173, 176, 182, 190, 209, 214–215 World agricultural supply and demand estimates (WASDE), 107, 109, 111–112, 114–119, 121–124, 127 Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/ Index World trade organization (WTO), 54, 58, 64, 79, 184–185, 210 World War II (WWII) or the Second World War, 32 Wray, R L., 43 Wright, B D., 47, 158 X Xiong, W., 43 Y Yields, 3, 21, 37, 46, 108, 136, 173, 178, 210 Yoo, B S., 156 231 Young bovine, 19, 89–91, 93, 95–97, 99–100 price(s), 91, 93 Z Zakoian, J M., 89 ZALF, 212 Zhang, Z., 43 Zinc, 150–151, 155–156, 159–161 ZMP, 143 Zρ test, 170 Zulanf, C R., 151 Zulauf, C R., 109 Trắc nghiệm kiến thức Forex : https://tracnghiemforex.com/