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Modeling Price Volatility for Selected Agricultural Commodities in Ethiopia: The Application of GARCH Models 埃塞俄比亚选定农产品价格波动建模:GARCH模型的应用
ERN: Agricultural Commodities (Topic) Pub Date : 2021-08-27 DOI: 10.2139/ssrn.3912501
Tirngo Abeje
{"title":"Modeling Price Volatility for Selected Agricultural Commodities in Ethiopia: The Application of GARCH Models","authors":"Tirngo Abeje","doi":"10.2139/ssrn.3912501","DOIUrl":"https://doi.org/10.2139/ssrn.3912501","url":null,"abstract":"This study aimed to model and forecast the volatility of returns for selected agricultural commodities prices using generalized autoregressive conditional heteroskedasticity GARCH models in Ethiopia. GARCH family models, specifically GARCH, threshold generalized autoregressive conditional heteroskedasticity TGARCH, and exponential generalized autoregressive conditional heteroskedasticity EGARCH were employed to analyze the time-varying volatility of selected agricultural commodities prices from 2011to 2021. The data analysis results revealed that, out of the GARCH specifications, the TGARCH model with the Normal distributional assumption of residuals was a better fit model for the price volatility of Teff and Red Pepper in which their return series reacted differently to the good and the bad news. The study indicated the existence of the leverage effect, which implied that the bad news could have a larger effect on volatility than the good news of the same magnitude, and the asymmetric term was significant. Also, the TGARCH model was found to be the accurate model for forecasting price return volatility of the same commodities, namely Teff and Red Pepper. In short, the study concludes that TGARCH was to be the best fit to model and forecast price return volatility of Teff and Red Pepper in the Ethiopian context. In short, the study concludes that TGARCH was to be the best fit to model and forecast price return volatility of Teff and Red Pepper in the Ethiopian context.","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126462330","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach 资产类别与投资组合多元化:来自随机跨越方法的证据
ERN: Agricultural Commodities (Topic) Pub Date : 2020-10-30 DOI: 10.2139/ssrn.3721907
D. K. Nguyen, Nikolas Topaloglou, T. Walther
{"title":"Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach","authors":"D. K. Nguyen, Nikolas Topaloglou, T. Walther","doi":"10.2139/ssrn.3721907","DOIUrl":"https://doi.org/10.2139/ssrn.3721907","url":null,"abstract":"We propose a stochastic spanning approach to assess whether a traditional portfolio of stocks and bonds spans augmented portfolios including commodities, foreign exchange, and real estate. We empirically show that in all seven portfolio combinations, the augmented portfolio is not spanned by the traditional one. Our results are further confirmed by both parametric and non-parametric tests in an out-of-sample setting. Therefore, traditional investors can generally benefit in terms of higher Sharpe ratios from augmenting their portfolio with alternative asset classes. Additional analysis demonstrates that diversification benefits can be explained by the current state of the U.S. economy and stock markets.","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128610917","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
'Explosions' of Corn Futures Prices 玉米期货价格“爆炸”
ERN: Agricultural Commodities (Topic) Pub Date : 2019-11-02 DOI: 10.2139/ssrn.3479685
V. Salov
{"title":"'Explosions' of Corn Futures Prices","authors":"V. Salov","doi":"10.2139/ssrn.3479685","DOIUrl":"https://doi.org/10.2139/ssrn.3479685","url":null,"abstract":"The CME Globex Corn futures Time and Sales data, during the United States Department of Agriculture, USDA, news, are studied. The price fluctuations of high frequency and magnitude resemble explosions caused by chemical or nuclear branched chain reactions. The structure of the jumps and mechanisms of its dynamics are analyzed. Suggested equations satisfactory describe the volume rates. There is a relationship between the maximum profit strategy and cumulative volume.","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125090477","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Impact of GST on Spending Behaviour of the Consumers 消费税对消费者消费行为的影响
ERN: Agricultural Commodities (Topic) Pub Date : 2019-08-30 DOI: 10.34218/ijm.10.4.2019.009
Dr.V.B. Chitra
{"title":"Impact of GST on Spending Behaviour of the Consumers","authors":"Dr.V.B. Chitra","doi":"10.34218/ijm.10.4.2019.009","DOIUrl":"https://doi.org/10.34218/ijm.10.4.2019.009","url":null,"abstract":"Goods and Service Tax (GST) is a single tax on the supply of goods and services. The statutory tax rates under GST came into effect from 1st July, 2017 which replaced all other applicable indirect taxes. The present study aims to analyse the relationship between income and spending behaviour and to measure the impact of GST on spending behaviour. The researcher has used Factor Analysis and ANOVA to test the hypotheses. The result showed that there is strong relationship between income and Electronic and Sport Equipments and no relationship between income and Wheat, rice, clothing, hair oil, soap, tooth paste, cosmetics, dry fruits, tobacco, fast food, internet connection, newspapers and magazines, fruits and vegetables, entertainment, vehicle maintenance and foot wares. The study also found that impact of GST is more on essential items than comfort and superfluous items.<br>","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"298 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133125425","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
How Much Would You Pay to Resolve Volatility Risk in Agricultural Commodity Markets? 化解农产品市场波动风险你愿意付多少钱?
ERN: Agricultural Commodities (Topic) Pub Date : 2018-08-19 DOI: 10.2139/ssrn.3360791
Lei Yan, P. Garcia
{"title":"How Much Would You Pay to Resolve Volatility Risk in Agricultural Commodity Markets?","authors":"Lei Yan, P. Garcia","doi":"10.2139/ssrn.3360791","DOIUrl":"https://doi.org/10.2139/ssrn.3360791","url":null,"abstract":"This article investigates the pricing of volatility risk in agricultural commodity markets. We show theoretically that the cost of bearing volatility risk can be measured using returns to delta-neutral straddles. Using a sample of options for five commodities (corn, soybeans, Chicago wheat, live cattle, and lean hogs) for 2002–2016, we provide the following findings. First, returns to delta-neutral straddles are negative, ranging between –0.87% and –0.06% per day, suggesting that investors are willing to pay a cost to avoid volatility risk. Second, volatility risk is priced mainly at short maturities (within 2 months) but is negligible at longer maturities, and this term structure of volatility risk prevails in all markets. Last, volatility risk is more pronounced on the day immediately preceding the U.S. Department of Agriculture (USDA) announcements but is not effectively explained by economic or commodity specific factors.","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"104 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124043348","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Proceso De Formación De Precios De Commodities En Las Empresas De Comercio Exterior (Price Formation Process of Commodities in Foreign Trade Companies) 本研究的目的是分析在巴西和国外市场上的商品价格形成过程，以及在国外市场上的商品价格形成过程。
ERN: Agricultural Commodities (Topic) Pub Date : 2018-05-29 DOI: 10.18601/16577175.n21.03
María Carla Collazo Pire, Lourdes Souto Anido
{"title":"Proceso De Formación De Precios De Commodities En Las Empresas De Comercio Exterior (Price Formation Process of Commodities in Foreign Trade Companies)","authors":"María Carla Collazo Pire, Lourdes Souto Anido","doi":"10.18601/16577175.n21.03","DOIUrl":"https://doi.org/10.18601/16577175.n21.03","url":null,"abstract":"El escenario económico mundial actual demanda que las empresas que se dedican a la actividad de comercio exterior realicen, de manera cada vez más eficiente, una correcta gestión de precios. Por tal motivo, el presente artículo trata sobre la importancia de realizar una correcta formación de precios en las empresas que comercializan commodities para, así, lograr menores pérdidas y mayores ganancias ante la volatilidad existente de los mismos. Además, se realiza un análisis de la situación actual de cuatro empresas vinculadas al comercio exterior en Cuba, con la finalidad de proponer un plan de acción que propicie mejores resultados para dichas empresas.","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114613476","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Cambio tecnológico y mejoras en el bienestar de los caficultores en Colombia: el caso de las variedades resistentes a la roya (Technological Change and Improvements in the Welfare of Coffee Farmers in Colombia: The Case of Rust-Resistant Varieties) 本研究的目的是评估在墨西哥和拉丁美洲的咖啡种植中使用抗锈病品种的技术变化和改善，以及在墨西哥和拉丁美洲的咖啡种植中使用抗锈病品种的技术变化和改善。
ERN: Agricultural Commodities (Topic) Pub Date : 2017-07-05 DOI: 10.2139/SSRN.3007761
J. Rueda
{"title":"Cambio tecnológico y mejoras en el bienestar de los caficultores en Colombia: el caso de las variedades resistentes a la roya (Technological Change and Improvements in the Welfare of Coffee Farmers in Colombia: The Case of Rust-Resistant Varieties)","authors":"J. Rueda","doi":"10.2139/SSRN.3007761","DOIUrl":"https://doi.org/10.2139/SSRN.3007761","url":null,"abstract":"<b>Spanish Abstract:</b> Este artículo determina el impacto de la adopción de las variedades resistentes a la roya del cafeto en el bienestar del productor de café, medido por medio del índice SISBEN III y los ingresos brutos por hectárea. Se utilizan datos de corte transversal de 76.902 caficultores distribuidos en 21 departamentos de Colombia para 2014. Por medio de la metodología Propensity Score Matching, se encuentra que la adopción de variedades resistentes a la roya incrementa la productividad por hectárea al año entre 29,5% y 34,9% (según el algoritmo de emparejamiento utilizado), lo que a su vez mejora entre 31,9% y 37,6% los ingresos brutos por hectárea al año y el puntaje SISBEN III entre 3,4% y 5,0%. Estos impactos son mayores para los productores con fincas más pequeñas y aquellos con altos niveles de educación. Los resultados son robustos a diferentes especificaciones del propensity score. <b>English Abstract:</b> This article determines the impact in producer’s welfare of the adoption of resistant varieties to coffee leaf rust. Producer’s welfare is measured by the SISBEN III index and gross income per hectare. I analyzed cross sectional data of 76.902 coffee growers located in 21 departments of Colombia during 2014. Through the Propensity Score Matching methodology, I found that the adoption of varieties resistant to rust increases productivity per hectare per year between 29,5% and 34,9% (according to the matching algorithm used), which in turn improves gross income per hectare per year between 31,9% and 37,6% and the SISBEN III index between 3,4% and 5,0%. These impacts are greater for producers with smaller farms and those with high levels of education. The results are robust to different specifications of the Propensity Score.","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122016724","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Food and Agricultural Prices Across Countries and the Law of One Price 各国食品和农产品价格及一价法则
ERN: Agricultural Commodities (Topic) Pub Date : 2017-05-15 DOI: 10.2139/ssrn.2968742
K. Clements, Jiawei Si, Long Hai Vo
{"title":"Food and Agricultural Prices Across Countries and the Law of One Price","authors":"K. Clements, Jiawei Si, Long Hai Vo","doi":"10.2139/ssrn.2968742","DOIUrl":"https://doi.org/10.2139/ssrn.2968742","url":null,"abstract":"This paper investigates several basic characteristics of food and agricultural prices across commodities, countries and time. The first part of the paper uses consumer prices across commodities and countries from the International Comparisons Program and finds that food has a distinct tendency to be cheaper in rich countries as compared to poor ones. This possibly reflects the productivity bias effect of Balassa and Samuelson, or Engel’s law. Food prices are also less dispersed in rich countries. Cross-country and cross-commodity tests reject the law of one price (LOP) more often than not with, as might be expected with consumer prices. In the second part of the paper, data on agricultural producer prices from the Food and Agriculture Organisation are used to test if deviations from the LOP are stationary, using a panel approach. As about three-quarters of the 100+ products obey the law, there seems to be some support for the LOP in this context.","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128506383","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Russia’s Wheat Export 俄罗斯小麦出口
ERN: Agricultural Commodities (Topic) Pub Date : 2016-11-23 DOI: 10.2139/ssrn.2874810
N. Shagaida
{"title":"Russia’s Wheat Export","authors":"N. Shagaida","doi":"10.2139/ssrn.2874810","DOIUrl":"https://doi.org/10.2139/ssrn.2874810","url":null,"abstract":"Russia has become the world’s biggest wheat exporter, and it has a chance to remain as such. A downswing trend in global food markets and a weakened effect of rouble devaluation may reduce success rates of Russia’s grain exports in years to come.","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125497857","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Deconstructing Wheat Price Spikes: A Model of Supply and Demand, Financial Speculation, and Commodity Price Comovement 解构小麦价格飙升:供求、金融投机和商品价格变动的模型
ERN: Agricultural Commodities (Topic) Pub Date : 2014-04-01 DOI: 10.2139/ssrn.2502922
J. Janzen, C. Carter, Aaron Smith, Michael K Adjemian
{"title":"Deconstructing Wheat Price Spikes: A Model of Supply and Demand, Financial Speculation, and Commodity Price Comovement","authors":"J. Janzen, C. Carter, Aaron Smith, Michael K Adjemian","doi":"10.2139/ssrn.2502922","DOIUrl":"https://doi.org/10.2139/ssrn.2502922","url":null,"abstract":"In 2008, wheat futures prices spiked and then crashed along with prices for other agricultural and nonagricultural commodities. Market observers offered several theories to explain this common movement, or comovement, in prices, and have proposed policies to address the perceived problem of excessive price volatility. The design of an appropriate policy response would benefit from a better understanding of the cause of the observed price movements. This study uses an econometric model to decompose observed wheat prices into a set of economic factors and measure the relative contribution of each factor to observed price changes. Findings show that market-specific shocks related to supply and demand for wheat were the dominant cause of price spikes in the three U.S. wheat futures markets. Fluctuations in the global macroeconomy associated with broadbased demand shocks were relatively less significant for wheat than for other commodities like crude oil and corn. Finally, little evidence suggests commodity index trading contributed to recent price spikes.","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130204977","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 26
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