@article{AlgieriKalkuhlKoch2017,
  author    = {Algieri, Bernardina and Kalkuhl, Matthias and Koch, Nicolas},
  title     = {A tale of two tails: Explaining extreme events in financialized agricultural markets},
  series = {Food policy : economics planning and politics of food and agriculture},
  volume    = {69},
  journal   = {Food policy : economics planning and politics of food and agriculture},
  publisher = {Elsevier},
  address   = {Oxford},
  issn      = {0306-9192},
  doi       = {10.1016/j.foodpol.2017.05.004},
  pages     = {256 -- 269},
  year      = {2017},
  abstract  = {The substantial booms and busts in agricultural prices marked by extreme events across commodities lead to heated debates about the effects of speculative trading on commodity price fluctuations. This study proposes a new approach to understanding extreme events and boom-bust processes in agricultural markets. Using weekly futures data for twelve indexed agricultural commodities during 2006 to 2016, we find that extreme price changes, located in the 10\% tails of the distribution, cluster across agricultural markets. We then implement a multinomial logit model to investigate which factors are associated with the propagation of extreme events. Specifically, we disentangle three transmission conduits. (1) The macroeconomic conduit captures the possibility that the synchronized extreme price events are generated by business-cycle driven demand shifts mainly in emerging economies. (2) The financial conduit refers to potential links between extreme returns and the increasing flow of money from financial participants into agricultural futures markets. (3) Finally, the energy conduit accounts for possible spillover effects due to oil price shocks. Our results indicate an important role of managed money positions and oil prices while the real demand channel remains mostly insignificant. (C) 2017 Elsevier Ltd. All rights reserved.},
  language  = {en}
}
@article{HaileKalkuhlAlgierietal.2017,
  author    = {Haile, Mekbib Gebretsadik and Kalkuhl, Matthias and Algieri, Bernardina and Gebreselassie, Samuel},
  title     = {Price shock transmission},
  series = {Agricultural economics},
  volume    = {48},
  journal   = {Agricultural economics},
  number    = {6},
  publisher = {Wiley},
  address   = {Hoboken},
  issn      = {0169-5150},
  doi       = {10.1111/agec.12373},
  pages     = {769 -- 780},
  year      = {2017},
  abstract  = {This study assesses the degree of vertical price transmission along the wheat-bread value chain in Ethiopia. This is pursued by applying a vector error correction model and an impulse response analysis using monthly price data for the period 2000-2015. Our analysis considers transmission of price shocks across different market levels, including from the international and domestic wheat grain markets at the upstream to the domestic wheat bread market at the downstream of the value chain. The empirical findings indicate that significant cointegration exists across prices of the different market stages. There is a transmission from international prices to domestic prices at downstream markets, in particular to flour and bread prices. Prices at upstream markets are largely influenced by the domestic wholesale market. In general, the speed of adjustment is quite slow with a half-life of about one year for restoring the equilibrium price relationship. As price margins between the different market stages in the value chain have substantially decreased in the last 15 years, higher transmission, and thus exposure to international market shocks, can be expected in the future. The results also show that causal relationships exist between prices at different market stageswith the wholesale market identified as the key market level where prices and price expectations are formed.},
  language  = {en}
}