2014/04/23 by Bernardina Algieri
Economics, Econometrics and Finance · #Italy: Economic History and Contemporary Issues #Market Dynamics and Volatility #Monetary Policy and Economic Impact
paper · doi:10.1111/agec.12099
openalex publication_date 2014/04/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/30
Abstract Over the last decade, commodity prices have registered substantial booms and busts marked by extreme volatility. Wheat in particular, one of the main nonoil commodities, has registered a roller coaster in price levels which seems to be inconsistent with supply and demand fundamentals. To acutely investigate the drivers of wheat prices and quantify their impact, a vector error correction model (VECM) has been used. The exogenous variables have been distinguished into four groups: market‐specific factors, broad macroeconomic determinants, speculative components, and weather variables. The quadriangulation of the determinants will enable us to better understand the movements in wheat price and identify the specific role of each component. The results show that a mix of factors are contributing to wheat price movements, including speculation, global demand, and real effective exchange rate.