Assessing volatility patterns in food crops
Prices of food crops are naturally volatile as their supply depends on unpredictable factors such as weather. While volatility is not a problem per se, excessive price movements in global markets can pose a threat to world food security.
AMIS Research Paper No. 6 analyses thresholds that are associated with the transition between different levels of price volatility. To this end, the study surveys a host of factors related to price dynamics of food crops. It isolates relevant determinants of volatility transition and discovers their change points using a statistical estimation and variable selection algorithm termed component-wise gradient boosting.
In doing so, the sutdy provides insigths into the causes of excessive volatility, which will ultimately help AMIS construct indicators to detect market risk.