Journal of Rural Development
A Study on Structural Changes and Volatility of World Grain Prices due to the Progress of Financialization
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AuthorKim, Wooseok
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Publication Date2024.03.20
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Original
The purpose of this study is to examine structural changes in world grain prices due to the progress of financialization and the clustering, asymmetry, and feedback of volatility the come with it, and to provide useful information that can be used strategically in related policy decisions. As a result of the analysis, there is a significant structural change in grain prices as progress in financialization, with a break point in July 2006. Accordingly, the entire analysis period is divided into two periods: period I, before the structural change, and period II, after the structural change, and the mean-variance model is found to be the AR(1)-EGARCH(1, 2)-M model in period I and the AR(1)-EGARCH(1, 1)-M model in period II. Volatility increases more after the structural change than before. Volatility clustering appears in both periods, but volatility expands more after than before the structural change, and positive asymmetric volatility that is not present before exists, which appears to affect the overall increase in volatility. There is volatility clustering in both periods, but there is also asymmetric volatility where the negative volatility, which is not present before, contributed to the overall volatility. In addition, it is found that the volatility feedback, which previously appear as a positive risk premium, changes to a negative risk premium due to the speculative tendency for grains.
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