Storage and the Volatility of Agricultural Prices: A Model of Endogenous Fluctuations

Fordham Economics Department Discussion Paper 2008 -11

21 Pages Posted: 12 Oct 2013

See all articles by Sophie Mitra

Sophie Mitra

Fordham University

Jean-Marc Boussard

French National Institute for Agricultural Research (INRA)

Date Written: November 1, 2009

Abstract

Recent developments in world food markets stress the importance of identifying the sources of food price volatility. This paper develops a nonlinear Cobweb model with endogenous volatility which accounts for several characteristics of agricultural commodity markets (seasonality, storage) and leads to price series with positive skewness and auto-correlation, as in actual commodity prices. Practical consequences may imply a rethinking of the current methods of world food market regulation.

Keywords: Price volatility, storage, chaos theory, agricultural markets

Suggested Citation

Mitra, Sophie and Boussard, Jean-Marc, Storage and the Volatility of Agricultural Prices: A Model of Endogenous Fluctuations (November 1, 2009). Fordham Economics Department Discussion Paper 2008 -11. Available at SSRN: https://ssrn.com/abstract=2338114

Sophie Mitra (Contact Author)

Fordham University ( email )

441 East Fordham road
Bronx, NY 10458
United States

HOME PAGE: http://www.fordham.edu/economics/mitra

Jean-Marc Boussard

French National Institute for Agricultural Research (INRA) ( email )

INRA, UMR Economie Publique INRA-AgroParisTech
Av. L. BRETIGNIERES
78850 GRIGNON, 78-Yvelines F-78850
France

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