Milk Price Volatility and its Determinants
作者： Xiaodong Du , Fengxia Dong , Brian W. Gould
关键词: Volatility (finance) 、 Volatility swap 、 Futures contract 、 Financial market 、 Financial economics 、 Monetary economics 、 Economics 、 Supply and demand 、 Volatility smile 、 Realized variance 、 Speculation
摘要: Abstract: The classified pricing of fluid milk under the Federal Milk Marketing Orders (FMMO) system combined with cash settlement feature Class IIII futures contracts generate a unique volatility pattern these markets in sense that gradually decreases as USDA price announcement dates approaching month. Focusing on evolution III market, this study quantifies relative importance set factors driving variation. While volatilities both corn market and financial Granger-cause volatility, impact is more persistent. Besides embedded seasonality, demand supply conditions dairy cheese case, well changes U.S. exchange rates are found to have positive statistically significant impacts volatility. speculation positively affects markets, effect was insignificant. Keywords: Cash settlement, impulse responses, pricing, realized speculation. JEL Classification: Q11; Q14.
sci-hub.st 参考文章(9)
Jean-Paul Chavas, Kwansoo Kim, A Dynamic Analysis of the Effects of a Price Support Program on Price Dynamics and Price Volatility Journal of Agricultural and Resource Economics. ,vol. 27, pp. 495- ,(2002)
Barry K. Goodwin, Randy Schnepf, Determinants of endogenous price risk in corn and wheat futures markets Journal of Futures Markets. ,vol. 20, pp. 753- 774 ,(2000) , 10.1002/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F
Robert F. Engle, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation Econometrica. ,vol. 50, pp. 987- 1007 ,(1982) , 10.2307/1912773
Deborah H. Streeter, William G. Tomek, Variability in soybean futures prices: An integrated framework Journal of Futures Markets. ,vol. 12, pp. 705- 728 ,(1992) , 10.1002/FUT.3990120609
Jean‐Paul Chavas, Kwansoo Kim, A Heteroskedastic Multivariate Tobit Analysis of Price Dynamics in the Presence of Price Floors American Journal of Agricultural Economics. ,vol. 86, pp. 576- 593 ,(2004) , 10.1111/J.0002-9092.2004.00602.X
Halbert White, A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity Econometrica. ,vol. 48, pp. 817- 838 ,(1980) , 10.2307/1912934
Dennis A. Shields, Dairy Pricing Issues ,(2009)
Ke Tang, Wei Xiong, Index Investment and Financialization of Commodities Research Papers in Economics. ,(2010)
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys, MODELING AND FORECASTING REALIZED VOLATILITY Econometrica. ,vol. 71, pp. 579- 625 ,(2003) , 10.1111/1468-0262.00418