THE EFFECT OF MARKET SHOCKS ON THE VOLATILITY OF CORN PRICE
THE EFFECT OF MARKET SHOCKS ON THE VOLATILITY OF CORN PRICE
Author(s): DEBORAH BRIDGES, Frank TENKORANG, GREG NIESSubject(s): Agriculture, Health and medicine and law, Financial Markets
Published by: Editura Universităţii »Alexandru Ioan Cuza« din Iaşi
Keywords: Ethanol; Price volatility; COVID-19; ARCH; GARCH; Corn;
Summary/Abstract: The volatility of agricultural markets makes risk management for producers a challenge. Market shocks, such as the increased demand for corn-based ethanol in the mid-2000s and the recent COVID-19 disruption, only exacerbate the problem. The paper investigates the impact of these two shocks on corn price volatility using futures commodity prices. ARCH/GARCH estimations are compared for the ethanol pre-expansion and expansion periods and pre-COVID-19 shutdown and COVID-19 shutdown periods. The results indicate a high level of price volatility due to the shocks, thus worsening corn producers' price risk situation.
Journal: Review of Economic and Business Studies (REBS)
- Issue Year: 2023
- Issue No: 31
- Page Range: 9-18
- Page Count: 10
- Language: English
