What explains price volatility changes in commodity markets ? : answers from the world palm oil market
What are the sources of commodity prices volatility changes? This is the question we try to answer. Limited to palm oil market (1818-1999), our hypothesis is that the superimposition of short distance operators, located near the export supply, whose expectation horizon is limited to a few weeks, to long-distance operators further off the export supply, whose expectation horizon exceeds six months to one year, is responsible for volatility changes and market's instability. Because of the superimposition of horizons of trade, volatility changes and grows along with the development of short-distance trade. We prove this hypothesis using a trader-behaviour model derived from Day and Huang (1990) and Day (1994). Our simulation results challenge the argument that trade liberalisation and a market size enlargement sohuld help to reduce commodity prices volatility (résumé de l'auteur)
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Subjects: | E70 - Commerce, commercialisation et distribution, E21 - Agro-industrie, marché des produits de base, prix, huile de palme, secteur agroindustriel, commerce, modèle de simulation, http://aims.fao.org/aos/agrovoc/c_1781, http://aims.fao.org/aos/agrovoc/c_6178, http://aims.fao.org/aos/agrovoc/c_5514, http://aims.fao.org/aos/agrovoc/c_208, http://aims.fao.org/aos/agrovoc/c_7848, http://aims.fao.org/aos/agrovoc/c_24242, |
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dig-cirad-fr-2647722024-01-27T08:12:25Z http://agritrop.cirad.fr/264772/ http://agritrop.cirad.fr/264772/ What explains price volatility changes in commodity markets ? : answers from the world palm oil market. Voituriez Tancrède. 2000. . s.l. : s.n., 7 p. International Conference of Agricultural Economists. 24, Berlin, Allemagne, 13 Août 2000/18 Août 2000. What explains price volatility changes in commodity markets ? : answers from the world palm oil market Voituriez, Tancrède eng 2000 s.n. E70 - Commerce, commercialisation et distribution E21 - Agro-industrie marché des produits de base prix huile de palme secteur agroindustriel commerce modèle de simulation http://aims.fao.org/aos/agrovoc/c_1781 http://aims.fao.org/aos/agrovoc/c_6178 http://aims.fao.org/aos/agrovoc/c_5514 http://aims.fao.org/aos/agrovoc/c_208 http://aims.fao.org/aos/agrovoc/c_7848 http://aims.fao.org/aos/agrovoc/c_24242 What are the sources of commodity prices volatility changes? This is the question we try to answer. Limited to palm oil market (1818-1999), our hypothesis is that the superimposition of short distance operators, located near the export supply, whose expectation horizon is limited to a few weeks, to long-distance operators further off the export supply, whose expectation horizon exceeds six months to one year, is responsible for volatility changes and market's instability. Because of the superimposition of horizons of trade, volatility changes and grows along with the development of short-distance trade. We prove this hypothesis using a trader-behaviour model derived from Day and Huang (1990) and Day (1994). Our simulation results challenge the argument that trade liberalisation and a market size enlargement sohuld help to reduce commodity prices volatility (résumé de l'auteur) conference_item info:eu-repo/semantics/conferenceObject Conference info:eu-repo/semantics/closedAccess http://agritrop.cirad.fr/486085/ |
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E70 - Commerce, commercialisation et distribution E21 - Agro-industrie marché des produits de base prix huile de palme secteur agroindustriel commerce modèle de simulation http://aims.fao.org/aos/agrovoc/c_1781 http://aims.fao.org/aos/agrovoc/c_6178 http://aims.fao.org/aos/agrovoc/c_5514 http://aims.fao.org/aos/agrovoc/c_208 http://aims.fao.org/aos/agrovoc/c_7848 http://aims.fao.org/aos/agrovoc/c_24242 E70 - Commerce, commercialisation et distribution E21 - Agro-industrie marché des produits de base prix huile de palme secteur agroindustriel commerce modèle de simulation http://aims.fao.org/aos/agrovoc/c_1781 http://aims.fao.org/aos/agrovoc/c_6178 http://aims.fao.org/aos/agrovoc/c_5514 http://aims.fao.org/aos/agrovoc/c_208 http://aims.fao.org/aos/agrovoc/c_7848 http://aims.fao.org/aos/agrovoc/c_24242 |
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E70 - Commerce, commercialisation et distribution E21 - Agro-industrie marché des produits de base prix huile de palme secteur agroindustriel commerce modèle de simulation http://aims.fao.org/aos/agrovoc/c_1781 http://aims.fao.org/aos/agrovoc/c_6178 http://aims.fao.org/aos/agrovoc/c_5514 http://aims.fao.org/aos/agrovoc/c_208 http://aims.fao.org/aos/agrovoc/c_7848 http://aims.fao.org/aos/agrovoc/c_24242 E70 - Commerce, commercialisation et distribution E21 - Agro-industrie marché des produits de base prix huile de palme secteur agroindustriel commerce modèle de simulation http://aims.fao.org/aos/agrovoc/c_1781 http://aims.fao.org/aos/agrovoc/c_6178 http://aims.fao.org/aos/agrovoc/c_5514 http://aims.fao.org/aos/agrovoc/c_208 http://aims.fao.org/aos/agrovoc/c_7848 http://aims.fao.org/aos/agrovoc/c_24242 Voituriez, Tancrède What explains price volatility changes in commodity markets ? : answers from the world palm oil market |
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What are the sources of commodity prices volatility changes? This is the question we try to answer. Limited to palm oil market (1818-1999), our hypothesis is that the superimposition of short distance operators, located near the export supply, whose expectation horizon is limited to a few weeks, to long-distance operators further off the export supply, whose expectation horizon exceeds six months to one year, is responsible for volatility changes and market's instability. Because of the superimposition of horizons of trade, volatility changes and grows along with the development of short-distance trade. We prove this hypothesis using a trader-behaviour model derived from Day and Huang (1990) and Day (1994). Our simulation results challenge the argument that trade liberalisation and a market size enlargement sohuld help to reduce commodity prices volatility (résumé de l'auteur) |
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conference_item |
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E70 - Commerce, commercialisation et distribution E21 - Agro-industrie marché des produits de base prix huile de palme secteur agroindustriel commerce modèle de simulation http://aims.fao.org/aos/agrovoc/c_1781 http://aims.fao.org/aos/agrovoc/c_6178 http://aims.fao.org/aos/agrovoc/c_5514 http://aims.fao.org/aos/agrovoc/c_208 http://aims.fao.org/aos/agrovoc/c_7848 http://aims.fao.org/aos/agrovoc/c_24242 |
author |
Voituriez, Tancrède |
author_facet |
Voituriez, Tancrède |
author_sort |
Voituriez, Tancrède |
title |
What explains price volatility changes in commodity markets ? : answers from the world palm oil market |
title_short |
What explains price volatility changes in commodity markets ? : answers from the world palm oil market |
title_full |
What explains price volatility changes in commodity markets ? : answers from the world palm oil market |
title_fullStr |
What explains price volatility changes in commodity markets ? : answers from the world palm oil market |
title_full_unstemmed |
What explains price volatility changes in commodity markets ? : answers from the world palm oil market |
title_sort |
what explains price volatility changes in commodity markets ? : answers from the world palm oil market |
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s.n. |
url |
http://agritrop.cirad.fr/264772/ |
work_keys_str_mv |
AT voiturieztancrede whatexplainspricevolatilitychangesincommoditymarketsanswersfromtheworldpalmoilmarket |
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