An attribution analysis of soybean price volatility in China: global market connectedness or energy market transmission?
Author
Suggested Citation
DOI: 10.22004/ag.econ.308824
Download full text from publisher
References listed on IDEAS
- Song, Baohui & Marchant, Mary A. & Reed, Michael R. & Xu, Shuang, 2009. "Competitive Analysis and Market Power of China’s Soybean Import Market," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 12(1), pages 1-22, February.
- Jian Li & Jean-Paul Chavas & Xiaoli L. Etienne & Chongguang Li, 2017.
"Commodity price bubbles and macroeconomics: evidence from the Chinese agricultural markets,"
Agricultural Economics, International Association of Agricultural Economists, vol. 48(6), pages 755-768, November.
- Li, Jian & Chavas, Jean-Paul & Etienne, Xiaoli & Li, Chongguang, 2016. "Commodity Price Bubbles and Macroeconomics: Evidence from Chinese Agricultural Markets," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235068, Agricultural and Applied Economics Association.
- Brian M. Dillon & Christopher B. Barrett, 2016. "Global Oil Prices and Local Food Prices: Evidence from East Africa," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 98(1), pages 154-171.
- Yumeng Wang & Shuoli Zhao & Zhihai Yang & Donald J. Liu, 2015.
"Food versus crude oil: what do prices tell us? Evidence from China,"
China Agricultural Economic Review, Emerald Group Publishing Limited, vol. 7(3), pages 435-447, September.
- Wang, Yumeng & Zhao, Shuoli & Yang, Zhihai & Liu, Donald J., 2014. "Food versus Crude Oil: What Do Prices Tell Us? Evidence from China," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170578, Agricultural and Applied Economics Association.
- Zhang, Chuanguo & Qu, Xuqin, 2015. "The effect of global oil price shocks on China's agricultural commodities," Energy Economics, Elsevier, vol. 51(C), pages 354-364.
- Arnade, Carlos & Cooke, Bryce & Gale, Fred, 2017. "Agricultural price transmission: China relationships with world commodity markets," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 28-40.
- Yangmin Ke & Chongguang Li & Andrew M. McKenzie & Ping Liu, 2019. "Risk Transmission between Chinese and U.S. Agricultural Commodity Futures Markets—A CoVaR Approach," Sustainability, MDPI, vol. 11(1), pages 1-18, January.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
- LIN, Xuegui, 2018. "Analysis of Volatility Spillover Effect of Soybean Price between Domestic and International Markets," Asian Agricultural Research, USA-China Science and Culture Media Corporation, vol. 10(01), January.
- Jian Li & Chongguang Li & Jean-Paul Chavas, 2017.
"Food Price Bubbles and Government Intervention: Is China Different?,"
Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 65(1), pages 135-157, March.
- Li, Jian & Li, Chongguang & Chavas, Jean-Paul, 2015. "Food Price Bubbles and Government Intervention: Is China Different?," Staff Paper Series 579, University of Wisconsin, Agricultural and Applied Economics.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Zhang, Qiang & Reed, Michael R., 2008. "Examining the Impact of the World Crude Oil Price on China's Agricultural Commodity Prices: The Case of Corn, Soybean, and Pork," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6797, Southern Agricultural Economics Association.
- Jean‐Paul Chavas & Jian Li, 2020. "A quantile autoregression analysis of price volatility in agricultural markets," Agricultural Economics, International Association of Agricultural Economists, vol. 51(2), pages 273-289, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Filip, Ondrej & Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2019.
"Food versus fuel: An updated and expanded evidence,"
Energy Economics, Elsevier, vol. 82(C), pages 152-166.
- Ondrej Filip & Karel Janda & Ladislav Kristoufek & David Zilberman, 2017. "Food versus fuel: An updated and expanded evidence," CAMA Working Papers 2017-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Ondrej Filip & Karel Janda & Ladislav Kristoufek & David Zilberman, 2017. "Food versus Fuel: An Updated and Expanded Evidence," Working Papers IES 2017/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2017.
- Jian Li & Jean‐Paul Chavas, 2023. "A dynamic analysis of the distribution of commodity futures and spot prices," American Journal of Agricultural Economics, John Wiley & Sons, vol. 105(1), pages 122-143, January.
- T.G. Saji, 2018. "Price transmission for natural rubber: India integration with world markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(617), W), pages 155-168, Winter.
- Ye Chen & Jian Li & Qiyuan Li, 2023. "Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 910-937, August.
- Xiaokang Hou & Shah Fahad & Peipei Zhao & Beibei Yan & Tianjun Liu, 2022. "The Trilogy of the Chinese Apple Futures Market: Price Discovery, Risk-Hedging and Cointegration," Sustainability, MDPI, vol. 14(19), pages 1-16, October.
- Sergio Adriani David & Claudio M. C. Inácio & José A. Tenreiro Machado, 2019. "Ethanol Prices and Agricultural Commodities: An Investigation of Their Relationship," Mathematics, MDPI, vol. 7(9), pages 1-25, August.
- Lisbeth Funding la Cour, 1995.
"A Component® based Analysis of the danish Long-run Money Demand Relation,"
Discussion Papers
95-18, University of Copenhagen. Department of Economics.
- Funding la Cour, Lisbeth, 1999. "A Component-Based Analysis Of The Danish Long-Run Money Demand Relation," Working Papers 06-1999, Copenhagen Business School, Department of Economics.
- Alessia Naccarato & Andrea Pierini & Giovanna Ferraro, 2021. "Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment," Annals of Operations Research, Springer, vol. 299(1), pages 81-99, April.
- Muhammad Shahbaz & Vassilios G. Papavassiliou & Amine Lahiani & David Roubaud, 2023.
"Are we moving towards decarbonisation of the global economy? Lessons from the distant past to the present,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2620-2634, July.
- Muhammad Shahbaz & Vassilios Papavassiliou & Amine Lahiani & David Roubaud, 2023. "Are we moving towards decarbonisation of the global economy? Lessons from the distant past to the present," Post-Print hal-03573208, HAL.
- Jakšić Saša, 2022. "Modelling Determinants of Inflation in CESEE Countries: Global Vector Autoregressive Approach," Review of Economic Perspectives, Sciendo, vol. 22(2), pages 137-169, June.
- Valérie Mignon & Christophe Hurlin, 2007.
"Une synthèse des tests de cointégration sur données de panel,"
Économie et Prévision, Programme National Persée, vol. 180(4), pages 241-265.
- Christophe Hurlin & Valérie Mignon, 2007. "Une synthèse des tests de cointégration sur données de Panel," Economie & Prévision, La Documentation Française, vol. 0(4), pages 241-265.
- Christophe Hurlin & Valérie Mignon, 2006. "Une synthèse des tests de cointégration sur données de panel," Working Papers halshs-00070887, HAL.
- Christophe Hurlin, 2007. "Une Synthèse des Tests de Cointégration sur Données de Panel," Post-Print halshs-00270210, HAL.
- Christophe HURLIN & V. MIGNON, 2006. "Une synthèse des tests de co-intégration sur données de panel," LEO Working Papers / DR LEO 1724, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Rangan Gupta & Josine Uwilingiye, 2008.
"Measuring The Welfare Cost Of Inflation In South Africa,"
South African Journal of Economics, Economic Society of South Africa, vol. 76(1), pages 16-25, March.
- Rangan Gupta & Josine Uwilingiye, 2008. "Measuring the Welfare Cost of Inflation in South Africa," Working Papers 200804, University of Pretoria, Department of Economics.
- Josine Uwilingiye & Rangan Gupta, 2008. "Measuring the welfare cost of inflation in South Africa," Working Papers 068, Economic Research Southern Africa.
- Wilton Bernardino & João B. Amaral & Nelson L. Paes & Raydonal Ospina & José L. Távora, 2022. "A statistical investigation of a stock valuation model," SN Business & Economics, Springer, vol. 2(8), pages 1-25, August.
- Brittle, Shane, 2009. "Ricardian Equivalence and the Efficacy of Fiscal Policy in Australia," Economics Working Papers wp09-10, School of Economics, University of Wollongong, NSW, Australia.
- Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2014.
"Causality and contagion in EMU sovereign debt markets,"
International Review of Economics & Finance, Elsevier, vol. 33(C), pages 12-27.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "Causality and contagion in EMU sovereign debt markets," Working Papers 2014-03, Universitat de Barcelona, UB Riskcenter.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“Causality and Contagion in EMU Sovereign Debt Markets”," IREA Working Papers 201403, University of Barcelona, Research Institute of Applied Economics, revised Feb 2014.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "Causality and Contagion in EMU Sovereign Debt Markets," Working Papers 14-03, Asociación Española de Economía y Finanzas Internacionales.
- Kenneth F. Wallis & Jan P. A. M. Jacobs, 2005.
"Comparing SVARs and SEMs: two models of the UK economy,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 209-228.
- Jan P. A. M. Jacobs & Kenneth F. Wallis, 2005. "Comparing SVARs and SEMs: two models of the UK economy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 209-228.
- Peter Rowland & Hugo OLiveros C., 2003. "Colombian Purchasing Power Parity Analysed Using a Framework of Multivariate Cointegration," Borradores de Economia 252, Banco de la Republica de Colombia.
- Jiawu Dai & Liurui Deng & Lan Yang, 2021. "Testing the absorber hypothesis of exchange rates for the overshooting of agricultural prices in China," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(8), pages 327-336.
- Jesus Gonzalo & Tae-Hwy Lee, 2000.
"On the robustness of cointegration tests when series are fractionally intergrated,"
Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
- Lee, T.H. & Gonzalo, J., 1995. "On the Robustness of Cointegration Tests when Series Are Fractionally Integrated," The A. Gary Anderson Graduate School of Management 95-11, The A. Gary Anderson Graduate School of Management. University of California Riverside.
- Lee, Tae-Hwy, 1996. "On the robustness of cointegration tests when series are fractionally integrated," DES - Working Papers. Statistics and Econometrics. WS 4542, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Duca, John V., 2013.
"Did the commercial paper funding facility prevent a Great Depression style money market meltdown?,"
Journal of Financial Stability, Elsevier, vol. 9(4), pages 747-758.
- Duca, John V., 2010. "Did the Commercial Paper Funding Facility Prevent a Great Depression Style Money Market Meltdown?," MPRA Paper 29255, University Library of Munich, Germany, revised 22 Feb 2011.
- John V. Duca, 2011. "Did the commercial paper funding facility prevent a Great Depression-style money market meltdown?," Working Papers 1101, Federal Reserve Bank of Dallas.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:ifaamr:308824. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/ifamaea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.