東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Essays on Price and Volatility Dynam...

Yang, Yao.

FindBook

Google Book

Amazon

博客來

Essays on Price and Volatility Dynamics in Agricultural Commodity Markets.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Price and Volatility Dynamics in Agricultural Commodity Markets./
作者:	Yang, Yao.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2023,
面頁冊數:	172 p.
附註:	Source: Dissertations Abstracts International, Volume: 85-03, Section: B.
Contained By:	Dissertations Abstracts International85-03B.
標題:	Agriculture. -
電子資源:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30530930
ISBN:	9798380166874

Essays on Price and Volatility Dynamics in Agricultural Commodity Markets.
Yang, Yao.

Essays on Price and Volatility Dynamics in Agricultural Commodity Markets. - Ann Arbor : ProQuest Dissertations & Theses, 2023 - 172 p.

Source: Dissertations Abstracts International, Volume: 85-03, Section: B.

Thesis (Ph.D.)--University of Georgia, 2023.

This dissertation consists of three essays on the price behaviors of agricultural commodity markets. It investigates price and volatility dynamics in commodity markets from three aspects: volatility spillover, asymmetric price transmission, and extreme price comovements. The first essay studies volatility transmission between U.S. soybeans and Chinese soybean end products. A bidirectional volatility spillover is found across the two countries, but its effect has decreased since 2009. In addition, the bilateral trade dispute has had a smaller impact on price volatility in futures markets for the soybean complex across countries compared to the 2008 global financial crisis. The second essay applies a multivariate quantile framework to investigate asymmetric price responses in a joint production process. It examines whether output price responses vary with the price levels of other jointly produced goods and under which market conditions asymmetric price transmission might occur. The results show prices of end products respond more to input price increases rather than decreases when their market is bullish and the other product's market is bearish. The third essay studies the relationship between information releases and extreme price movements in related agricultural commodities, including soybean, corn, and wheat. The study examines whether the release of USDA reports has explanatory{A0}power for these coexceedances (i.e., more than one market simultaneously suffers from extreme events). After controlling for exposure to other risk factors, most reports increase the probability of return and volatility coexceedances, especially in crop markets.

ISBN: 9798380166874Subjects--Topical Terms:

518588
Agriculture.
Subjects--Index Terms:

Announcement effects

Essays on Price and Volatility Dynamics in Agricultural Commodity Markets.
LDR:02866nmm a2200397 4500 001 2403861
005 20241122094127.5
006 m o d
007 cr#unu||||||||
008 251215s2023 ||||||||||||||||| ||eng d
020 $a 9798380166874
035 $a (MiAaPQ)AAI30530930
035 $a AAI30530930
040 $a MiAaPQ $c MiAaPQ
100 1 $a Yang, Yao. $3 3632828
245 1 0 $a Essays on Price and Volatility Dynamics in Agricultural Commodity Markets.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2023
300 $a 172 p.
500 $a Source: Dissertations Abstracts International, Volume: 85-03, Section: B.
500 $a Advisor: Karali, Berna.
502 $a Thesis (Ph.D.)--University of Georgia, 2023.
520 $a This dissertation consists of three essays on the price behaviors of agricultural commodity markets. It investigates price and volatility dynamics in commodity markets from three aspects: volatility spillover, asymmetric price transmission, and extreme price comovements. The first essay studies volatility transmission between U.S. soybeans and Chinese soybean end products. A bidirectional volatility spillover is found across the two countries, but its effect has decreased since 2009. In addition, the bilateral trade dispute has had a smaller impact on price volatility in futures markets for the soybean complex across countries compared to the 2008 global financial crisis. The second essay applies a multivariate quantile framework to investigate asymmetric price responses in a joint production process. It examines whether output price responses vary with the price levels of other jointly produced goods and under which market conditions asymmetric price transmission might occur. The results show prices of end products respond more to input price increases rather than decreases when their market is bullish and the other product's market is bearish. The third essay studies the relationship between information releases and extreme price movements in related agricultural commodities, including soybean, corn, and wheat. The study examines whether the release of USDA reports has explanatory{A0}power for these coexceedances (i.e., more than one market simultaneously suffers from extreme events). After controlling for exposure to other risk factors, most reports increase the probability of return and volatility coexceedances, especially in crop markets.
590 $a School code: 0077.
650 4 $a Agriculture. $3 518588
650 4 $a Finance. $3 542899
653 $a Announcement effects
653 $a Asymmetric price transmission
653 $a Coexceedance
653 $a Volatility impulse response
653 $a Volatility spillover
690 $a 0503
690 $a 0501
690 $a 0508
690 $a 0473
710 2 $a University of Georgia. $b Agricultural and Applied Economics - PHD. $3 3690790
773 0 $t Dissertations Abstracts International $g 85-03B.
790 $a 0077
791 $a Ph.D.
792 $a 2023
793 $a English
856 4 0 $u https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30530930