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Assessing the vulnerability to price spikes in agricultural commodity markets

Triantafyllou, Athanasios and Dotsis, George and Sarris, Alexandros (2020) 'Assessing the vulnerability to price spikes in agricultural commodity markets.' Journal of Agricultural Economics, 71 (3). pp. 631-651. ISSN 0021-857X

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We examine empirically the predictability of conditions 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 historical sudden market upheavals in agricultural markets.

Item Type: Article
Uncontrolled Keywords: agricultural price spikes; extreme value theory; risk neutral moments; tail risk measure; theory of storage
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Essex Business School
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 27 Mar 2020 13:48
Last Modified: 23 Sep 2022 19:38

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