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Assessing the vulnerability to price spikes in agricultural commodity markets

Triantafyllou, Athanasios and Dotsis, George and Sarris, Alexandros (2019) Assessing the vulnerability to price spikes in agricultural commodity markets. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

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Abstract

We empirically examine the predictability of the conditions which are associated with a higher probability of a price spike in agricultural commodity markets. We find that the forward spread is the most significant indicator of probable price jumps in maize, wheat and soybeans futures markets, a result which is in line with the “Theory of Storage”. We additionally show that some option-implied variables add significant predictive power when added to the more standard information variable set. Overall, the estimated probabilities of large price increases from our probit models exhibit significant correlations with the historical sudden market upheavals in agricultural markets.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: Agricultural price spikes, Tail Risk Measure, Extreme Value Theory, Risk neutral moments, Agricultural Commodities, Basis, Theory of Storage
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Elements
Date Deposited: 02 Jul 2019 08:48
Last Modified: 02 Jul 2019 08:48
URI: http://repository.essex.ac.uk/id/eprint/24921

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