Content area
Full Text
Abstract
There is a growing concern about issues related to high agricultural commodities price volatility since the food crisis in 2007/08. In this contribution the development of Polish agricultural price volatility is analyzed. Polish wheat, pork and beef prices volatilities were quantified and compare to volatilities of prices on European and international markets. There is an increase in wheat price volatility in 2005-2014 comparing to years 1993-2003, while pork and beef prices became more stable. Relative growth of Polish agricultural price volatility is present on all three analyzed markets. To identify changes in volatility transmission patters Granger causality tests were also performed. Change in wheat price volatility transmission was revealed.
Keywords
agricultural prices, volatility, agricultural policy, Polish agricultural markets
(ProQuest: ... denotes formulae omitted.)
Introduction
The issue of agricultural commodities price volatilities has always attracted considerable attention of farmers, policymakers and agricultural economists. There is a vast literature that deals with the problem of unstable prices in agri-food sector. Since food crisis in 2007/08 there is observed even growing number of studies on price volatility (Kornher, Kalkuhl 2013).
In this paper the problem of agricultural price volatility from farmers perspective is taken into consideration. The question is whether the price volatility after joining the European Union (EU) decreased or opposite. Operating on the EU Single Market should stabilise agricultural prices since impact of weather conditions on total production is more heterogeneous. On the other side since Luxembourg reforms in 2003 Common Agricultural Policy (CAP) became more market-oriented and price risk in agriculture is quite high. Trade liberalization also matters since price shocks from international markets are quickly transmitted to domestic markets in last decades. Wheat, pork, and beef prices on Polish, European, and International market covering the period 1993-2014 are used to find the answer to question whether EU accession helped Polish farmers with price risk. The annualized standard deviation of logarithmic price ratios is used as a volatility measures. Prices from International markets are used as a benchmark. Then the assessment of Granger causality between analyzed time-series is tested to help to understand the nature of price volatility transmission.
1. Literature review
As it was mentioned above there is wide scientific literature dealing with problems of price volatility in agriculture. It should...