The Effects of Stocks and Price Floors on Price Dynamics and Volatility: An Application to the U.S. Nonfat Dry Milk Market

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dc.creatorKim, Kwansoo
dc.creatorChavas, Jean-Paul
dc.date2017-04-01T15:33:21Z
dc.date.accessioned2026-07-09T09:05:15Z
dc.descriptionThis 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 dynamics and price volatility in the presence of private and public stocks. 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.
dc.identifierdoi:10.22004/ag.econ.201558
dc.identifierhttps://ageconsearch.umn.edu/record/201558/files/wp2002-2.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/201558
dc.identifier.urihttp://hdl.handle.net/123456789/605585
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/201558
dc.titleThe Effects of Stocks and Price Floors on Price Dynamics and Volatility: An Application to the U.S. Nonfat Dry Milk Market
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