ECONIS Select – Volatility in agricultural commodity prices

07/2011

This is a selection of recent articles, working papers and books on the subject, chosen by our staff and available through our document delivery services.

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Literature selected from our database ECONIS:

• Title: Commodity price volatility in the biofuel era: an examination of the linkage between energy and agricultural markets / Thomas W. Hertel; Jayson Beckman
  Published: Cambridge, Mass., 2011
  Series: NBER working paper series; 16824
  Keywords: Agrarproduktion / Agrarpreis / Volatilität / Biokraftstoff / Energiemarkt / USA / 2000-2015
  Signatory: W 1 (16824)
  Link: http://www.nber.org/papers/w16824.pdf
• Article: Price volatility and rational expectations in a sectoral framework commodity model: a multivariate GARCH approach / Anthony N. Rezitis; Konstantinos S. Stavropoulos
  In: Agricultural economics. - Malden, Mass. [u.a.]: Blackwell, ISSN 0169-5150, ZDB-ID 7428893. - Bd. 42.2011, 3, S. 419-435
  Keywords: Rohstoffpreis / Volatilität / Fleisch / EU-Agrarpolitik / ARCH-Modell / Griechenland
• Article: Was könnte die Politik tun, um Agrarpreisschwankungen entgegenzuwirken? / Dieter Kirschke; Astrid Häger
  In: Wie gehen wir mit Risiken um?. - Frankfurt am Main: DLG-Verl., ISBN 978-3-7690-5041-7. - 2010, S. 26-45
  Keywords: Agrarpreis / Volatilität / Agrarmarktordnung / Buffer Stock / Markteffizienz / Staatliche Einflussnahme / Risikomanagement
• Title: Preisvolatilität auf landwirtschaftlichen Märkten / Ernst-Oliver von Ledebur; Jochen Schmitz
  Published : Braunschweig: vTI, 2011
  Series: Arbeitsberichte aus der VTI-Agrarökonomie; 2011,05
  Keywords: Agrarpreis / Volatilität / Deutschland / Welt / EU-Agrarpolitik / Reform / Außenhandelsliberalisierung / EU-Staaten
  Link: http://d-nb.info/101151642X/ [Langzeitarchivierung Nationalbibliothek]
  http://nbn-resolving.de/urn:nbn:de:gbv:253- 201105-dn048405-2 [Resolving-System DNB]
  http://hdl.handle.net/10419/45374 [Download aus dem Internet, Stand: 3.5.2011]
  http://nbn-resolving.de/urn/resolver.pl? urn=urn:nbn:de:gbv:253-201105-dn048405-2
• Article: Determinants of agricultural and mineral commodity prices / Jeffrey A. Frankel and Andrew K. Rose
  In: Inflation in an era of relative price shocks. - Sydney: Reserve Bank of Australia, ISBN 978-0-9807068-0-2. - 2010, S. 9-59
  Keywords: Agrarpreis / Rohstoffpreis / Volatilität / Overshooting / Konsuminterdependenz / Schätzung / Welt / 1960-2008
• Title: Volatile Agrarpreise: das Stabilisierungspotential aktueller EU-Reformen / Bettina Rudloff
  Published: Berlin: SWP, 2009
  Series: SWP-Studie; 2009,S 26
  Keywords: Agrarpreis / Volatilität / Nahrungsmittelpreis / EU-Agrarpolitik / Agrarmarkt / Agrarreform / EU-Staaten
  Link: Table of contents
  Signatory: C 260089
• Article : Do futures stabilize the volatility of the agricultural spot prices?: evidence from Thailand / Teerapong Pinjisakikool
  In: EuroEconomica. - Gala¸ti, ISSN 1582-8859, ZDB-ID 25431730. - 2009, 1=22, S. 47-57
  Keywords: Agrarprodukt / Spotmarkt / Volatilität / Financial Futures / Warenbörse / ARCH-Modell / Thailand
• Article: Food security in an era of economic volatility / Rosamond L. Naylor; Walter P. Falcon
  In: Population and development review. - Hoboken, NJ: Wiley-Blackwell, ISSN 0098-7921, ZDB-ID 1985954. - Bd. 36.2010, 4, S. 693-723
  Keywords: Nahrungsmittelpreis / Volatilität / Nahrungsmittelversorgung / Ländliche Armut / Welt / 2005-2010
• Title: Speculation and volatility spillover in the crude oil and agricultural commodity markets: a Bayesian analysis / Xiaodong Du, Cindy L. Yu, and Dermot J. Hayes
  Published: Ames, Iowa: CARD, 2009
  Series: Working paper / Center for Agricultural and Rural Development; 491
  Keywords: Ölpreis / Volatilität / Spillover-Effekt / Spekulation / Rohstoffpreis / Agrarpreis / USA / 1998-2009
  Signatory: W 1125 (491)
  Link: http://www.card.iastate.edu/publications/DBS/ PDFFiles/09wp491.pdf
• Article: Commodity price discovery: problems that have solutions or solutions that are problems / T. Randall Fortenbery
  In: Journal of agricultural and applied economics. - Lexington, Ky.: SAEA, ISSN 1074-0708, ZDB-ID 11751484. - Bd. 41.2009, 2, S. 393-402
  Keywords: Rohstoff-Futures / Hedging / Agrarpreis / Volatilität / Risikomanagement / Bubbles / Spekulation / USA / 2006-2008
• Title: Maispreisverhalten - Maispreistransmission während des Preisbooms an den Terminmärkten / Jochen Schmitz und Ernst-Oliver von Ledebur
  Published: Braunschweig: Inst. für Ländliche Räume, 2009
  Series: Arbeitsberichte des Bereichs Agrarökonomie ; 2009.02
  Keywords: Mais / Preis / Bubbles / Rohstoff-Futures / Volatilität / Spillover-Effekt / Maismarkt / Welt / 2007-2008
  Link: http://nbn-resolving.de/urn:nbn:de:gbv:253- 200909-dk041941-2 [Resolving-System DNB]
  http://d-nb.info/997565144/ [Langzeitarchivierung Nationalbibliothek]
  http://nbn-resolving.de/urn/resolver.pl? urn=urn:nbn:de:gbv:253-200909-dk041941-2
  http://hdl.handle.net/10419/39367 [Download aus dem Internet, Stand 28.04.2010]
• Article: Fractional integration in agricultural futures price volatilities revisited / Peter S. Sephton
  In: Agricultural economics. - Malden, Mass. [u.a.]: Blackwell, ISSN 0169-5150, ZDB-ID 7428893. - Bd. 40.2009, 1, S. 103-111
  Keywords: Rohstoff-Futures / Agrarprodukt / Volatilität / Statistische Methode / Zeitreihenanalyse
• Title: Poverty, vulnerability and trade policy in general equilibrium / by Ernesto Valenzuela
  Published: 2006
  Keywords: Allgemeines Gleichgewicht / Agrarpreis / Volatilität / Außenhandelspolitik / Haushaltseinkommen / Armut / Rohstoffmarkt / Weizenmarkt / Buffer Stock / Theorie / Welt
  Link: Table of contents
  Signatory: B 371754
• Article: Trends and volatility in agricultural commodity prices / Christopher L. Gilbert
  In: Agricultural commodity markets and trade. - Cheltenham [u.a.]
  Keywords: Volatilität / |stw| Welt / |stw| Agrarpreis
• Title: The impact of domestic and international commodity price volatility on agricultural income instability: Ghana, Vietnam and Peru / George Rapsomanikis and Alexander Sarris
  Published: June 2006
  Series: Discussion paper / World Institute for Development Economics ; 2006,04
  Keywords: Agrareinkommen / |stw| Rohstoffpreis / |stw| Ghana / |stw| Vietnam / |stw| Peru
  Link: http://www.wider.unu.edu/publications/dps/ dps2006/dp2006-04.pdf
  Signatory: W 1382 (2006.04)
• Article: Agricultural commodity price volatility / Jan Dehn, Christopher L. Gilbert, and Panos Varangis
  In: Managing economic volatility and crises. - Cambridge [u.a.]: Cambridge Univ. Press, ISBN 0-521-85524-1. - 2005, S. 137-185
  Keywords: Volatilität / |stw| Agrarpreis
• Title: Volatility and price information contained in selected agricultural futures options / by Thorsten Michael Egelkraut
  Published: 2005
  Keywords: Rohstoff-Futures / Optionsgeschäft / Zinsstruktur / Preis / Volatilität / Maismarkt / Agrarmarkt / Optionspreistheorie / Theorie / Schätzung / USA
  Signatory: B 348178
• Article: Fractional integration in agricultural futures price volatilities / Hyun J. Jin and Darren L. Frechette
  In: American journal of agricultural economics. - Cary, NC: Oxford University Press, ISSN 0002-9092, ZDB-ID 2181885. - Bd. 86.2004, 2, S. 432-443
  Keywords: Rohstoff-Futures / |stw| Börsenkurs / |stw| Volatilität / |stw| Agrarprodukt / |stw| USA / 1979-2000
• Article: The information content of implied volatility in agricultural commodity markets / Pierre Giot
  In: The journal of futures markets. - Hoboken, NJ: Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139x. - Bd. 23.2002, 5, S. 441-454
  Keywords: Agrarmarkt / |stw| Rohstoffmarkt / |stw| Termingeschäft / |stw| Optionspreistheorie / |stw| Informationswert / |stw| Volatilität / |stw| ARCH-Modell / |stw| USA / |stw| Risikomaß / 1994-1995
• Title: Speculative influences on commodity futures prices 2006 - 2008 / Christopher L. Gilbert
  Published: Geneva: UNCTAD, 2010
  Series: Discussion papers / United Nations Conference on Trade and Development ; 197 United Nations publication
  Keywords: Rohstoffpreis / Bubbles / Mineralölmarkt / Metallmarkt / Agrarmarkt / Welt
  Signatory: W 1431 (197)
  Link: http://www.unctad.org/en/docs/osgdp20101_en. pdf
• Title: The predictive content of commodity futures / Menzie D. Chinn; Olivier Coibion
  Published: Cambridge, Mass., 2010
  Series: NBER working paper series; 15830
  Keywords: Spotmarkt / Termingeschäft / Agrarprodukt / Energie / Metall / Prognoseverfahren / USA / 1990-2009
  Signatory: W 1 (15830)
  Link: http://www.nber.org/papers/w15830.pdf
• Article: A speculative bubble in commodity futures prices?: cross-sectional evidence / Dwight R. Sanders; Scott H. Irwin
  In: Agricultural economics. - Malden, Mass. [u.a.]: Blackwell, ISSN 0169-5150, ZDB-ID 7428893. - Bd. 41.2010, 1, S. 25-32
  Keywords: Rohstoff-Futures / Index-Futures / Bubbles / Regression / USA / 2006-2008
• Article: The adequacy of speculation in agricultural futures markets: too much of a good thing? / Dwight R. Sanders, Scott H. Irwin, and Robert P. Merrin
  In: Applied economic perspectives and policy. - Oxford: Oxford Univ. Press, ISSN 2040-5790, ZDB-ID 25183849. - Bd. 32.2010, 1, S. 77-94
  Keywords: Rohstoff-Futures / Agrarpreis / Spekulation / Hedging / USA / 1995-2008
• Article: Devil or angel?: the role of speculation in the recent commodity price boom (and bust) / Scott H. Irwin, Dwight R. Sanders, and Robert P. Merrin
  In: Journal of agricultural and applied economics. - Lexington, Ky.: SAEA, ISSN 1074-0708, ZDB-ID 11751484. - Bd. 41.2009, 2, S. 377-391
  Keywords: Agrarpreis / Rohstoff-Futures / Investmentfonds / Bubbles / Spekulation / USA / 2006-2008
• Title: High agricultural commodity prices / Randy Schnepf
  Published: New York, NY: Nova Science Publ., c 2008
  Keywords: Agrarpreis / Agrarmarktordnung / USA
  Link: Table of contents
  Signatory: B 362063