Price volatility in food markets: can stock building mitigate price fluctuations?

Abstract

This article studies US corn price fluctuations in the past two decades. Price volatility is explained by volatility clustering, the influence of energy prices, corn stocks and global economic conditions. A multivariate generalised auto-regressive conditional heteroskedastic specification that allows for exogenous variables in the conditional covariance model is estimated both parametrically and semiparametrically. Findings provide evidence of price volatility transmission between ethanol and corn markets. They also suggest that macroeconomic conditions can influence corn price volatility and that stock building is found to significantly reduce corn price fluctuations.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 93 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.