Analysing the Effective Factors of Corn Price in Iran Mercantile Exchange
Subject Areas : Agricultural Economics ResearchBehzad Fakary Sardahaei 1 , Naser Shahnoushi 2 , Hosein Mohammadi 3 , Akbar Mirzapour 4 , Arash Dourandish 5
1 - دانشجوی کارشناسی ارشد، گروه اقتصاد کشاورزی دانشگاه فردوسی مشهد
2 - دانشیار گروه اقتصاد کشاورزی دانشگاه فردوسی مشهد
3 - مشهد، دانشگاه فردوسی مشهد، دانشکده کشاورزی، گروه اقتصاد
4 - استادیار دانشگاه آزاد قزوین
5 - استادیار گروه اقتصادکشاورزی دانشگاه فردوسی مشهد
Keywords: Exchange Rate, GARCH, Impulse Response Function, VAR,
Abstract :
Corn is cultivated widely either in world and Iran because of its high consumption, quality and nutritional value and according to these it’s named as the king of agricultural products. The agricultural products market in Iran has always been faced with many limitations and structural problems which are almost due to the inefficient structure of this market and lack of modern economic tools. Hence, Iran Mercantile Exchange debuted to control the price volatility of exchanged goods as one of its goals. This study analyses and compares the price volatility of corn in Iran Mercantile Exchange withthe domestic traditional market and Chicago Mercantile Exchange. Therefore, weekly prices of corn since March 2010 till December 2011 are used to analyze the interactions between the prices of corn in traditional market, Iran Mercantile Exchange, Chicago Mercantile Exchange, the exchange rate and crude oil prices by applying the OLS, ARCH and VAR methods. Also the interactions of these variables are analyzed. According to the resultsthere is no significant difference between the fluctuations of changes in corn prices in Iran Mercantile Exchange and domestic traditional market, but the intensity of fluctuations in corn prices in Iran Mercantile Exchange is more than the domestic traditional market. The exchange rate has significant effect on the corn prices. However, the crude oil prices had no significant effect. So using the derivative instrument in Iran Mercantile
Corn is cultivated widely either in world and Iran because of its high consumption, quality and nutritional value and according to these it’s named as the king of agricultural products. The agricultural products market in Iran has always been faced with many limitations and structural problems which are almost due to the inefficient structure of this market and lack of modern economic tools. Hence, Iran Mercantile Exchange debuted to control the price volatility of exchanged goods as one of its goals. This study analyses and compares the price volatility of corn in Iran Mercantile Exchange withthe domestic traditional market and Chicago Mercantile Exchange. Therefore, weekly prices of corn since March 2010 till December 2011 are used to analyze the interactions between the prices of corn in traditional market, Iran Mercantile Exchange, Chicago Mercantile Exchange, the exchange rate and crude oil prices by applying the OLS, ARCH and VAR methods. Also the interactions of these variables are analyzed. According to the resultsthere is no significant difference between the fluctuations of changes in corn prices in Iran Mercantile Exchange and domestic traditional market, but the intensity of fluctuations in corn prices in Iran Mercantile Exchange is more than the domestic traditional market. The exchange rate has significant effect on the corn prices. However, the crude oil prices had no significant effect. So using the derivative instrument in Iran Mercantile Exchange will help to reduce the fluctuation of the corn price in Iran.
