Impact of the phenomenon of financialization on Maize prices’ volatility (VAR modellin)
| المصدر: | مجلة الاستراتيجية والتنمية |
|---|---|
| الناشر: | جامعة عبدالحميد بن باديس مستغانم - كلية العلوم الاقتصادية والتجارية وعلوم التسيير |
| المؤلف الرئيسي: | Tebache, Djamal (Author) |
| مؤلفين آخرين: | Chakour, Said Chaouki (Co-Author) |
| المجلد/العدد: | ع15 |
| محكمة: | نعم |
| الدولة: |
الجزائر |
| التاريخ الميلادي: |
2018
|
| الشهر: | يوليو |
| الصفحات: | 55 - 80 |
| DOI: |
10.34276/1822-000-015-003 |
| ISSN: |
2170-0982 |
| رقم MD: | 912869 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Financialization | Uncertainty | Risk Aversion | Maize Prices’ Volatility | VAR Modelling
|
| رابط المحتوى: |
عدد مرات التحميل
2
| المستخلص: |
This working paper aims to describe the relationship between the phenomenon of financialization and the volatility of commodities prices, especially maize prices in the last decade. In fact, agricultural markets affected by the financialization process, have been characterized by a big uncertainty, as a result, commercials have been very risk averse. Many researchers have been investigating the relationship between financial speculation activity and commodity prices volatility since 2007/8 crisis. However, our study is particular when it analyzes this impact by introducing the behavior of commercials. Thus, we have tried to identify this effect through risk aversion of commercials based on VNM expected utility theory and VAR modelling, referring to a research methodology based on a descriptive and critical approach of world cereal markets (spot and future market), and empirical research method using quantitative independent variables that lead to analytical results. Findings reveal that variables used in the econometric model are borderline I (1). Otherwise, the variable Spl (spread) does not affect the commercials behavior. In cereal market, Commercials are very risk averse and sensitive to prices evolution. The long/short financial speculators’ position variation have an important impact on the behavior of commercials, which engage them in herd behavior, hence the soaring or the sharp drop of cereal prices. |
|---|---|
| ISSN: |
2170-0982 |
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