Corn price volatility and income protection for producers
Objective: To estimate the indicator of the risk of the future price of yellow corn #2 of the Chicago Futures Exchange in the United States to the spot price of white corn in the main white corn producing regions of Mexico through the financial volatility indicator. Methodology: The research used the returns of the monthly time series for the period January 1998 to December 2020 corresponding to the spot price of white corn for five producer-consumer regions of Mexico and the futures price of yellow corn #2 listed on the Chicago Stock Exchange. To quantify volatility, the generalized autoregressive conditional heteroskedasticity model of order (1,1) was estimated. Results: The volatility indicator for yellow corn turned out to be 0.9870 for the futures price of quality 2 yellow corn. In the case of the spot price of white corn in Mexico, the volatility was 0.0.7977 for the national price; 0.3385 for the central region; 0.3206 for the western region and 0.0078 for the southeastern region, respectively. Implications: The high volatility of yellow corn #, close to unity, shows that the international market for this commodity is riskier than the national market or the regional markets in Mexico. Conclusions: The national white corn market showed to be more risky than the western, central and southeastern regional markets, showing a higher volatility indicator.
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Colegio de Postgraduados
2023
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oai:ojs.pkp.sfu.ca:article23922023-05-19T23:57:43Z Corn price volatility and income protection for producers Corn price volatility and producer income protection GARCÍA HERNÁNDEZ, MARIO IVAN Valdivia-Alcalá, Ramón Osorio-Caballero, Maria I. Hernández-Ortiz, Juan Santiago-Zárate, Miguel I. Barragán-Avilés, Cristian A. futures market autoregressive conditional heteroscedasticity risk hedge supply agricultural policy futures market, autoregressive conditional heteroskedasticity, risk coverage, supply, agricultural policy. Objective: To estimate the indicator of the risk of the future price of yellow corn #2 of the Chicago Futures Exchange in the United States to the spot price of white corn in the main white corn producing regions of Mexico through the financial volatility indicator. Methodology: The research used the returns of the monthly time series for the period January 1998 to December 2020 corresponding to the spot price of white corn for five producer-consumer regions of Mexico and the futures price of yellow corn #2 listed on the Chicago Stock Exchange. To quantify volatility, the generalized autoregressive conditional heteroskedasticity model of order (1,1) was estimated. Results: The volatility indicator for yellow corn turned out to be 0.9870 for the futures price of quality 2 yellow corn. In the case of the spot price of white corn in Mexico, the volatility was 0.0.7977 for the national price; 0.3385 for the central region; 0.3206 for the western region and 0.0078 for the southeastern region, respectively. Implications: The high volatility of yellow corn #, close to unity, shows that the international market for this commodity is riskier than the national market or the regional markets in Mexico. Conclusions: The national white corn market showed to be more risky than the western, central and southeastern regional markets, showing a higher volatility indicator. O Objective: To estimate the risk indicator of the future price of yellow corn #2 at the Chicago Futures Exchange (USA) regarding the spot price of white corn in the main producing regions in Mexico through the financial volatility indicator. Methodology: The research used the returns of the monthly time series corresponding to the spot price of white corn from January 1998 to December 2020, considering five producer-consumer regions of Mexico and the future price of yellow corn #2 as listed on the Chicago Stock Exchange. To quantify volatility, the generalized autoregressive conditional heteroskedasticity model of order (1,1) was estimated. Results: The yellow corn #2 volatility indicator was 0.9870 (future price). In the case of the spot price of white corn in Mexico, the volatility was 0.7977 for the national price, 0.3385 for the central region, 0.3206 for the western region, and 0.0078 for the southeast region. Implications: The high volatility of yellow corn #2 (close to unity) shows that the international market for this commodity is riskier than the national market or regional markets in Mexico. Conclusions: The national white corn market proved to be riskier than the west, center, and southeast regional markets, which have a higher volatility indicator. Colegio de Postgraduados 2023-05-08 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://revista-agroproductividad.org/index.php/agroproductividad/article/view/2392 10.32854/agrop.v16i3.2392 AgroP; 2023: EARLY ACCESS (Vol. III) Agro Productividad; 2023: EARLY ACCESS (Vol. III) 2594-0252 2448-7546 spa https://revista-agroproductividad.org/index.php/agroproductividad/article/view/2392/2053 Derechos de autor 2023 Agro Productividad |
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GARCÍA HERNÁNDEZ, MARIO IVAN Valdivia-Alcalá, Ramón Osorio-Caballero, Maria I. Hernández-Ortiz, Juan Santiago-Zárate, Miguel I. Barragán-Avilés, Cristian A. |
| spellingShingle |
GARCÍA HERNÁNDEZ, MARIO IVAN Valdivia-Alcalá, Ramón Osorio-Caballero, Maria I. Hernández-Ortiz, Juan Santiago-Zárate, Miguel I. Barragán-Avilés, Cristian A. Corn price volatility and income protection for producers |
| author_facet |
GARCÍA HERNÁNDEZ, MARIO IVAN Valdivia-Alcalá, Ramón Osorio-Caballero, Maria I. Hernández-Ortiz, Juan Santiago-Zárate, Miguel I. Barragán-Avilés, Cristian A. |
| author_sort |
GARCÍA HERNÁNDEZ, MARIO IVAN |
| title |
Corn price volatility and income protection for producers |
| title_short |
Corn price volatility and income protection for producers |
| title_full |
Corn price volatility and income protection for producers |
| title_fullStr |
Corn price volatility and income protection for producers |
| title_full_unstemmed |
Corn price volatility and income protection for producers |
| title_sort |
corn price volatility and income protection for producers |
| description |
Objective: To estimate the indicator of the risk of the future price of yellow corn #2 of the Chicago Futures Exchange in the United States to the spot price of white corn in the main white corn producing regions of Mexico through the financial volatility indicator.
Methodology: The research used the returns of the monthly time series for the period January 1998 to December 2020 corresponding to the spot price of white corn for five producer-consumer regions of Mexico and the futures price of yellow corn #2 listed on the Chicago Stock Exchange. To quantify volatility, the generalized autoregressive conditional heteroskedasticity model of order (1,1) was estimated.
Results: The volatility indicator for yellow corn turned out to be 0.9870 for the futures price of quality 2 yellow corn. In the case of the spot price of white corn in Mexico, the volatility was 0.0.7977 for the national price; 0.3385 for the central region; 0.3206 for the western region and 0.0078 for the southeastern region, respectively.
Implications: The high volatility of yellow corn #, close to unity, shows that the international market for this commodity is riskier than the national market or the regional markets in Mexico.
Conclusions: The national white corn market showed to be more risky than the western, central and southeastern regional markets, showing a higher volatility indicator. |
| publisher |
Colegio de Postgraduados |
| publishDate |
2023 |
| url |
https://revista-agroproductividad.org/index.php/agroproductividad/article/view/2392 |
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