The Effects of Stocks and Price Floor on Price Dynamics and Volatility: An Application to the U.S. Nonfat Dry Milk Market
نویسندگان
چکیده
This paper presents an econometric analysis of the effects of price support program and stocks on price dynamics and price volatility. Considering a price support program as a censoring scheme, market prices are specified as a dynamic Tobit model under time varying volatility. The model is applied to the U.S. nonfat dry milk market, based on monthly data for the period of 1970-2000. The econometric results show how the price support program and stocks (both private and public) affect expected price and price volatility. They document the role of stocks in reducing price volatility. The results also show the impacts of market liberalization on price dynamics.
منابع مشابه
The Effects of Stocks and Price Floors on Price Dynamics and Volatility: An Application to the U.S. Nonfat Dry Milk Market by
This paper presents an econometric analysis of the effects of price support programs and stocks on price dynamics and price volatility. Considering a price support program as a censoring mechanism, market prices are specified as a dynamic Tobit model with time varying volatility. The model is applied to the U.S. nonfat dry milk market to examine the impact of market liberalization on price dyna...
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