Methods to Analyse Agricultural Commodity Price Volatility
本书汇编了欧盟委员会联合研究中心关于农产品价格波动研讨会的论文，涵盖波动测量、市场间传导、与能源及宏观变量关联以及风险管理，旨在为预测价格变动和管理后果提供建议。
This volume represents a compilation of papers presented at a workshop on price volatility organised by the European Commission's Joint Research Centre in Seville. The editors state that the book's goal is the provision of ‘recommendations for anticipating price movements and managing their consequences’, based on insights in recent trends in price volatility in agricultural markets. Towards this goal, the book presents 12 chapters covering the measurement of volatility (Chapters 1, 2, 4, 5 and 6), the transmission of volatility between different markets (Chapters 8 and 10), the link between agricultural prices with energy prices (Chapter 3) or with macroeconomic variables (Chapter 9) and finally the management of risk associated with volatility in international markets (Chapter 11) and in the context of the Common Agricultural Policy (Chapter 12). Definitions of volatility and their underlying models are given in Chapters 4 and 6. Here, C. Gilbert and W. Morgan (Chapter 4) give an interesting discussion on the definition and measurement of commodity price volatility as well as its causes. The chapter reminds us of the common misconception in confounding high prices with high volatility, especially when both phenomena are often observed together. I. Piot-Lepetit (Chapter 6) runs a battery of generalised autoregressive conditional heteroskedasticity (GARCH)-like models on livestock price movements in the European Union (EU), investigating which of the various models nested within the general asymmetric power autoregressive conditional heteroskedasticity model fit the best. The results are diverse, differing by country or by commodity, and also on the period used for estimation. These findings are not very surprising or helpful, given model sensitivity to limited sample sizes that were employed.