جستجوی مقالات مرتبط با کلیدواژه « نوسانات قیمت » در نشریات گروه « اقتصاد کشاورزی »

The Present article examines factors that have effect on saffron warehouse receipt and on saffron futures in Iran commodity exchange. This study tries to identify the import of saffron future price and the two-way communication between these two financial instruments (saffron warehouse receipt and saffron futures) to saffron market.

In this regard, this study seeks to answer the existence of the relationship between linear and non-linear causality between these two financial instruments. The data were obtained daily in the period from June 2018 to July 2019 using price fluctuations in saffron warehouse receipt and saffron futures. Descriptive – analytical research methods and library data collection methods, regression models and the concept of neural networks with the help of Eviews software and R Economic Statistical Software were used. The price fluctuations of saffron warehouse receipt have been extracted using Arch family models.

Results indicate that there is a two linear causality relationship between warehouse receipt’s price fluctuation and future’s price fluctuation. To investigate the existence of non-linear causality between the two under studied, variables VAR model residual was used. The BDS test result show the existence of a non-linear relationship between the mentioned variables. The results of the non-linear granger causality test based on neural network show that futures price are the cause for price fluctuations in saffron warehouse receipt.

It can be stated that price discovery is formed in saffron future market and saffron warehouse receipt market follows the futures market.

Continuous fluctuations in the prices of agricultural commodities have a significant effect on the situation of countries, especially developing countries in the world. In the short term, the impact of price shocks on imports of agricultural commodities and balance of payments and foreign exchange reserves is considerable in developing countries and it has negative effects on social security programs in these countries. In the long- run, these fluctuation effects on specialization of resources in production and development in agricultural sector delays. If price volatility to rise out of the market principals, increases in commodity prices in special times and for special products translates to bubble pick. Friedman’s theory on efficient markets underlines that, given rational behavior and rational expectations, the price of an asset will always reflect market fundamentals. Therefore, the main question is whether the forces of demand and supply, or explosive behavior (bubbles) generate price volatility mutations. If price volatility is due to market demand and supply conditions, a series of policies, including reducing demand or increase in supply can be effective to reduce volatility. However, if price fluctuations are for reasons beyond market factors, changes in supply or demand fluctuations may be more severe and worsen the situation of the producer and the consumer. Hence, it is important, especially for policy makers to determine that whether the market factors or factors outside of market cause fluctuations in the market.
Material and In the present study, by applying the generalized version of the sup augmented Dickey-Fuller (GSADF) test, bubble behavior identified. For this test, time series data from 2002 to 2013 that collected on a monthly basis, was used. Study variables include the chicken and beef prices. Since in the internal investigations, discussing for speculative bubbles in commodities in agricultural products not addressed, it is important to address this issue. These products, select from this perspective that these goods regularly have price volatility over the past years (mainly increase) and therefore, faced with mass and low production. As a result, consumers sometimes have not access to a sufficient quantity of these goods or the supply too much in some periods and vice versa.
Our findings suggest that food commodities exhibited bubble behavior during mentioned years. These mutations of explosive behavior are, in general, short-lived. Assessing trends in the price of chicken show those four cycles of bubble behavior have seen for this product. In the meat market, there are important reasons and factors behind these fluctuations. Fluctuations in the price of inputs, especially after subside targeting in Iran in 2010, increasing the general level of prices and inflation, consumer cross-sectional volatility (changes in demand) and low ability to store the meat for a long time, not full replacement of fresh poultry meat to freeze and finally and the most important factor the elimination of subsidies for agricultural inputs in recent years are the important factors that affect price and production volatility in recent years in Iran meat industry. For the price of beef, just two short-term and long-term bubbles appear in the studied period. Rising meat prices due to the rising cost of inputs such as animal fodder and a variety of animal feed, animal drugs, high cost of packaging, transportation problems, related to subsidize livestock inputs, labor and the total inflation are the most important factors for price fluctuations in beef meat.It should be noted that price fluctuations in the price of chicken meat are more and more severe than the price of red meat. The reason for more fluctuations in the price of chicken meat is that per capita consumption of chicken meat is larger than red meat and the level of price for this meat is lower than red meat. Therefore, customers can buy it even when the price of chicken meat increases from its mean. The price of red meat is about 4 to 5 times of chicken meat and therefore volatility in the price of red meat can considerably affect on real income and consumption by consumers.
Considering the results and given the importance and influence of external factors on the price volatility of food commodities, we propose the strategies for reducing price volatility mutations and thus reduce the bubble behavior, such that it can be mentioned to apply the appropriate policy of import and export to control the market fluctuations and prices. It is recommended that the daily and monthly prices of major agricultural products such as meat, scrutinized and assessed carefully in order to determine the real parts of price fluctuations for better policy considerations.

Today most people believe that news affects the market and due to the progress in technology, detail of global and local events reflected on the top of market activities. In this context, the aim of this study is evaluation of the news effect on price volatility of the major food groups including: meat, cereals and bread, oils and fats, dairy and eggs in Iran. So, non-linear GARCH type models were applied using monthly consumer price index data from April 2002 to March 2015. We carry out the EGARCH, GJR-GARCH, TGARCH, SAGARCH, PGARCH, NGARCH, APGARCH and NPGARCH models to describe asymmetric effects of news. Results revealed the EGARCH(1,1) for meat, GJR-GARCH(1,1) for cereals and bread, TGARCH(1,1) for oils and fats and GJR-GARCH(1,1) for dairy and birds eggs were, best model. The αβ parameters, as stability measure, for all four food groups are higher than 0.91, which indicates stability of news effect on cereals and bread market is more than other groups. In other words, impact of releases news (shocks) decays slowly and gradually and it can be concluded that there is long-term effect on major food group’s prices. Therefore it is recommended that the policy-makers and economists pay more attention to control of news, so that the news spread in the food market, particularly cereals and bread groups.

The price fluctuations of chicken and its production inputs are one of the main challenges in broiler industry which affects the producer and consumer‘s welfare. This study investigates the price fluctuations of broiler and the price fluctuations of the two important inputs of broiler production -e. g. one day-old chick and soybean meal- in Tehran province. To achieve the purpose، the non-linear GARCH model (EGARCH، TGARCH، GJRGARCH، NGARCH) were estimated، using weekly data during the years 2006-2011. Analyzing non-linear GARCH models، the results presented that the TGARCH، EGARCH and GJRGARCH are the best models for broiler price، one day-old chick and soybean meal، respectively. Analyzing different forms of non-linear GARCH models revealed that the TGARCH، EGARCH and GJRGARCH are the best ones for broiler price، one day-old chick and soybean meal،، respectively. The results show that there is leverage effect for all three sets of prices. This indicates that the negative shocks and positive shocks have different effects on the price fluctuations. The bad news has greater impacts on the price fluctuations than the good news.

The agricultural products’ market has always been faced with many structural problems such as marketing weakness، price fluctuations and inadequate infrastructure and transportation in Iran. A major cause of such structural problems has been referred to the traditional and inefficient structure of the agricultural products’ market. Hence، Iran Mercantile Exchange started its activity since 2007 in order to reduce deficiencies of agricultural products’ market with the goal of controlling the price volatility of exchanged goods. This study analyses and compares the price volatility of wheat in Iran Mercantile Exchange by the domestic traditional market with the Chicago Mercantile Exchange. Therefore، weekly prices of wheat from March 2010 to December 2011were used to analyze the interactions between the prices of wheat in traditional market، Iran Mercantile Exchange، Chicago Mercantile Exchange، the exchange rates and the crude oil prices. The results revealed that the fluctuations in wheat prices in Iran Mercantile Exchange was high، compared to the domestic traditional market. The wheat price shocks in the Iranian market as well as in the Chicago Mercantile Exchange and the crude oil prices transferred to the wheat prices in the Iran Mercantile Exchange.

Corn as the third strategic agricultural product, after wheat and rice, is one of the most important crops. In addition, to poultry feed, it is used to produce edible oil, starch, glucose, and raw material in industrial production of ethanol and some other products. Slight increase and low volatility in prices of goods and services will result in stability and sustainable economic growth, promote social and economic development. In this study, the cycles and fluctuations in corn price are analyzed applying Harmonic pattern and GARCH model respectively to daily prices of corn from Iran Agricultural Mercantile Exchange, since 14.10.2007 till 11.10.2011. Harmonic analysis results indicate long-term cycles in a period of 21 months in analyzing period. GARCH model results showed that corn price fluctuations cause more fluctuations in corn future prices, in addition the error terms that has less contribution in conditional variance. However, the guaranteed price spend a lot for government, it was not able to control price fluctuation. Therefore, policymakers should provide a proper condition to encourage sellers and buyers to deal in Agricultural Mercantile Exchange and use future and option contract.

Successful export of a commodity is closely dependent upon observing the related international standards. Aflatoxin standard is an important index of pistachio import/export market. A lot of pistachio consignments are annually rejected because of being infected with aflatoxin. This results in export market's instability and fluctuations. The role of aflatoxin contammination in pistachio market instability was investigated in this study. Mean and variance of pistachio price in the two states of being polluted or non-polluted with aflatoxin as well as the farmer's willingness to pay for using sanitary standards in pistachio dealings were evaluated. Results indicated that export of Iranian pistachio to EU countries remained at the same level, during the study period (2004 – 2007). Along with an increase in total world export of pistachio, the share of pistachio exported to EU countries was reduced. Results also indicate that, the frequency of pistachio (exported to EU countries) being rejected was less during autumn season, as compared to the total export. There was a negative correlation between the number of rejected pistachio consignments and the pistachio price, meaning that the rejection of pistachio negatively affects the pistachio price. An evaluation of the willingness to pay for eliminating aflatoxin indicated that, on the average, it equals 0.25 dollars per kilogram of the produce. But, it is equal to 0.43 dollars per kilogram for a relatively more contaminated year such as 2005. If all the consignments are contaminated, the willingness to pay will be increased to 1.18 dollars per kilogram. Finally, for enhancing sanitary condition of pistachio market, it was proposed to promote early harvesting, and to increase sanitary observance of pistachio market paths after it is sold out by the farmers. Internalization of sanitary costs and receiving them from farmers, traders, and others involved in pistachio industry were suggested.