Commenced in January 2007
Paper Count: 31584
Comparative Approach of Measuring Price Risk on Romanian and International Wheat Market
Abstract:This paper aims to present the main instruments used in the economic literature for measuring the price risk, pointing out on the advantages brought by the conditional variance in this respect. The theoretical approach will be exemplified by elaborating an EGARCH model for the price returns of wheat, both on Romanian and on international market. To our knowledge, no previous empirical research, either on price risk measurement for the Romanian markets or studies that use the ARIMA-EGARCH methodology, have been conducted. After estimating the corresponding models, the paper will compare the estimated conditional variance on the two markets.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1059805Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1224
 M. A. Diersen, and P. Garcia, "Risk measurement and supply response in the soybean complex," in Proc. NCR-134 Conf. on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, Chicago, IL, 1998, pp. 278-291.
 A. A. Moledina, T. L. Roe, and M. Shane, "Measurement of commodity price volatility and the welfare consequences of eliminating volatility," Working Paper at the Economic Development Centre, University of Minnesota, 2003.
 H. Jordaan, B. Grové, A. Jooste, and Z. G. Alemu, "Measuring the price volatility of certain field crops in South Africa using the ARCH/GARCH approach," Agrekon, vol. 46, no. 3, pp. 306-322, Sept. 2007.
 S. Figiel, and M. Hamulczuk, "Measuring price risk in commodity markets," Olsztyn Economic Journal, vol. 5, no. 2, pp. 380-394, 2010.
 J. Dehn, "Commodity price uncertainty in developing countries," Working paper at the Centre for the Study of African Economies, Working Paper WPS/2000-10, 2000.
 C. S. Pedersen, and S. E. Satchell, "On the foundation of performance measures under asymmetric returns," Quantitative Finance, vol. 2, pp. 217-223, 2002.
 O. E. Barndorff-Nielsen, S. Kinnebrock, and N. Shephard, "Measuring downside risk - realized semivariance," The Oxford-Man Institute, University of Oxford Working paper, OMI01.08, pp. 1-21, Jan. 2008.
 R. Tronstad, and T. J. McNeill, "Asymmetric price risk: an econometric analysis of aggregate sow farrowings, 1973-1986," American Journal of Agricultural Economics, vol. 71, pp. 630-637, 1989.
 J. I. Sengupta, and R. E. Sfeir, "Risk in supply response: an econometric application," Applied Economics, vol. 14, pp. 249-268, 1982.
 B. W. Brorsen, J. Chavas, W. R. Grant, and L.D. Schnake, "Marketing margins and price uncertainty: the case of the U.S. wheat market," American Journal of Agricultural Economics, vol. 67, pp. 521-528, 1985.
 B. W. Brorsen, J. Chavas, and W. R. Grant, "A market equilibrium analysis of the impact of risk on the U.S. rice industry," American Journal of Agricultural Economics, vol. 69, pp. 733-739, 1987.
 F. Antonovitz, and R. Green, "Alternative estimates of fed beef supply response to risk," American Journal of Agricultural Economics, vol. 72, pp. 475-487, 1990.
 B. Traill, "Risk variables in econometric supply response models," Journal of Agricultural Economics, vol. 24, pp. 53-62, 1978.
 C. A. Hurt, and P. Garcia, "The impact of price risk on sow farrowings, 1967-1978," American Journal of Agricultural Economics, vol. 64, pp. 565-568, 1982.
 T. Bollerslev, "Generalised autoregressive conditional heteroskedasticity," Journal of Econometrics, vol. 51, pp. 307-327, 1986.
 R. Engle, "GARCH 101: the use of ARCH/GARCH models in applied econometrics," Journal of Economic Perspectives, vol. 15, no. 4, pp. 157-168, Fall, 2001.
 S. V. Aradhyula, and M. T. Holt, "GARCH time-series models: an application to retail livestock prices," Western Journal of Agricultural Economics, vol. 13, pp. 365-374, 1988.
 M. T. Holt, and G. Moschini, "Alternative measures of risk in commodity supply models: an analysis of sow farrowing decisions in the United States," Journal of Agricultural and Resource Economics, vol. 17, no. 1, pp. 1-12, 1992.
 M. E. Babsiria, and J.-M. Zakoian, "Contemporaneous asymmetry in GARCH processes," Journal of Econometrics, vol. 101, pp. 257-294, 2001.
 C. Wang, J. Zhao, and M. Huang, "Measurement of the fluctuation risk of the China fruit market price based on VaR," Agriculture and Agricultural Science Procedia 1, pp. 212-218, 2010.
 R. F. Engle, D. M. Lilien, and R. P. Robins, "Estimating Time-varying Risk Premia in the Term Structure: The ARCH-M Model," Econometrica, vol. 55, pp. 391-408, 1987.
 C. Tudor, "Modelarea volatilitâţii seriilor de timp prin modele GARCH simetrice," The Romanian Economic Journal, vol. 30, no. 4, pp. 185- 210, 2008.
 F. Black, "Studies of Stock Price Volatility Changes," in Proc. of the Business and Economics Section of the American Statistical Association, Alexandria, VA, 1976, pp. 177-181.
 D. B. Nelson, "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, vol. 59, issue 2, pp. 347-370, 1991.
 I. M. Ban, "Romania-s Trade Patterns before Admission to EU in January 2007," Studia Oeconomica, vol. 54, no. 2, pp. 72-89, 2009.