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.