Volatility in Cereal Prices: Intra‐ Versus Inter‐annual Volatility
研究了小麦、玉米等六种谷物的年内与年际价格波动，发现低库存时供给冲击主要影响年际波动，而需求与利率冲击影响年内波动，原油和汇率也有作用，衍生品市场影响不显著。
Abstract Intra‐annual (within crop year) price volatility and inter‐annual (between crop years) price volatility are measured for wheat, maize, rice, barley, oats and rye. A set of explanatory variables is used in a pooled regression to explain variations in these price volatilities. With low cereal stocks, supply (yield) shocks (defined here as volatilities, as for the price volatilities) mostly influence inter‐annual volatility while other influential factors are the crude oil price and exchange rate. Cereal demand and interest rate shocks combined with low stocks affect intra‐annual volatility, while other explanatory factors include exchange rate and crude oil price shocks. The derivatives market activity appears to have no significant effect on either intra‐ or inter‐annual volatility. In contrast, large cereal stocks and a well‐functioning international cereal market reduce the effects of shocks in the explanatory variables on both intra‐ and inter‐annual volatilities.