Recent unexpected changes (mid-2007- Aug 2011) in agricultural commodity markets have led stakeholders to ask if the volatility of futures prices currently observed are still the result of traditional fundamentals. Consequently, the purpose of this research was to identify those factors that affect monthly soybeans futures price volatility. To accomplish this study, four relevant factors are explored. First, the integration between energy and agricultural markets is accounted for via oil spot prices, as well as a dummy variable to account for the shift in the U.S renewable fuel policy since 2007. Second, the increasing consumption of commodities from China is analyzed by measuring their imports of soybeans from Argentina, Brazil, and the U.S. Third, U.S monetary policy is examined by including a U.S dollar index compared to currencies from China (Yuan), Brazil (Real), and Argentina (Peso), which are the main producers, consumers and traders of soybeans. Finally, financial speculation is analyzed by the number of speculative funds (mutual and index funds) available for public investors.
Evidence was found that the variability of oil spot prices, soybean imports to China, and the number of index funds are able to explain monthly soybeans future price volatility, from September 2006 to August 2011. Although U.S renewable fuel policy is included in the analysis, there is no statistical evidence of its influence on monthly soybeans futures prices. Similarly, there is no evidence that the U.S dollar index and the number of mutual funds are able to explain past values of soybeans futures price volatility. Excessive volatility in futures price may cause problems for those utilizing futures markets in their business operation, as well as for consumers. While the increasing risk has led to inefficient resource allocation for producers, merchandisers, and speculators, high prices have influenced the food security of developing countries with lower incomes, i.e. affecting the ability of lower income households to get access to soy products used for human consumption.
| Identifer | oai:union.ndltd.org:LSU/oai:etd.lsu.edu:etd-01052012-150637 |
| Date | 10 January 2012 |
| Creators | Gavilanez Hernandez, Diego J |
| Contributors | Detre, Joshua, Zapata, Hector, Guidry, Kurt |
| Publisher | LSU |
| Source Sets | Louisiana State University |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lsu.edu/docs/available/etd-01052012-150637/ |
| Rights | unrestricted, I hereby certify that, if appropriate, I have obtained and attached herein a written permission statement from the owner(s) of each third party copyrighted matter to be included in my thesis, dissertation, or project report, allowing distribution as specified below. I certify that the version I submitted is the same as that approved by my advisory committee. I hereby grant to LSU or its agents the non-exclusive license to archive and make accessible, under the conditions specified below and in appropriate University policies, my thesis, dissertation, or project report in whole or in part in all forms of media, now or hereafter known. I retain all other ownership rights to the copyright of the thesis, dissertation or project report. I also retain the right to use in future works (such as articles or books) all or part of this thesis, dissertation, or project report. |
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