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Impact of the phenomenon of financialization on maize prices’ volatility (VAR modelling)
Joint Authors
Tabash, Jamal
Shaqur, Said Shawqi
Source
Revue Stratégie et Développement
Issue
Vol. 8, Issue 15 (31 Jul. 2018), pp.55-80, 26 p.
Publisher
Publication Date
2018-07-31
Country of Publication
Algeria
No. of Pages
26
Main Subjects
Abstract EN
This working paper aims to describe the relationship between the phenomenon of financialization and the volatility of commodities prices, especially maize prices in the last decade.
In fact, agricultural markets affected by the financialization process, have been characterized by a big uncertainty, as a result, commercials have been very risk averse.
Many researchers have been investigating the relationship between financial speculation activity and commodity prices volatility since 2007/8 crisis.
However, our study is particular when it analyzes this impact by introducing the behavior of commercials.
Thus, we have tried to identify this effect through risk aversion of commercials based on VNM expected utility theory and VAR modelling, referring to a research methodology based on a descriptive and critical approach of world cereal markets (spot and future market), and empirical research method using quantitative independent variables that lead to analytical results.
Findings reveal that variables used in the econometric model are borderline I(1).
Otherwise, the variable Spl (spread) does not affect the commercials behavior.
In cereal market, Commercials are very risk averse and sensitive to prices evolution.
The long/short financial speculators’ position variation have an important impact on the behavior of commercials, which engage them in herd behavior, hence the soaring or the sharp drop of cereal prices
American Psychological Association (APA)
Tabash, Jamal& Shaqur, Said Shawqi. 2018. Impact of the phenomenon of financialization on maize prices’ volatility (VAR modelling). Revue Stratégie et Développement،Vol. 8, no. 15, pp.55-80.
https://search.emarefa.net/detail/BIM-880013
Modern Language Association (MLA)
Tabash, Jamal& Shaqur, Said Shawqi. Impact of the phenomenon of financialization on maize prices’ volatility (VAR modelling). Revue Stratégie et Développement Vol. 8, no. 15 (Jul. 2018), pp.55-80.
https://search.emarefa.net/detail/BIM-880013
American Medical Association (AMA)
Tabash, Jamal& Shaqur, Said Shawqi. Impact of the phenomenon of financialization on maize prices’ volatility (VAR modelling). Revue Stratégie et Développement. 2018. Vol. 8, no. 15, pp.55-80.
https://search.emarefa.net/detail/BIM-880013
Data Type
Journal Articles
Language
English
Notes
Includes appendices : p. 76-80
Record ID
BIM-880013