Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets.
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| Title: | Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets. |
|---|---|
| Authors: | Triantafyllou, Athanasios (AUTHOR) a.triantafyllou@essex.ac.uk, Dotsis, George (AUTHOR), Sarris, Alexandros (AUTHOR) |
| Source: | Journal of Agricultural Economics. Sep2020, Vol. 71 Issue 3, p631-651. 21p. |
| Subjects: | Farm produce, Commodity exchanges, Agricultural marketing, Agricultural prices, Extreme value theory |
| Abstract: | 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. [ABSTRACT FROM AUTHOR] |
| Copyright of Journal of Agricultural Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | |
| Database: | Engineering Source |
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| Header | DbId: egs DbLabel: Engineering Source An: 145207170 AccessLevel: 6 PubType: Academic Journal PubTypeId: academicJournal PreciseRelevancyScore: 0 |
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| Items | – Name: Title Label: Title Group: Ti Data: Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Triantafyllou%2C+Athanasios%22">Triantafyllou, Athanasios</searchLink> (AUTHOR)<i> a.triantafyllou@essex.ac.uk</i><br /><searchLink fieldCode="AR" term="%22Dotsis%2C+George%22">Dotsis, George</searchLink> (AUTHOR)<br /><searchLink fieldCode="AR" term="%22Sarris%2C+Alexandros%22">Sarris, Alexandros</searchLink> (AUTHOR) – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22Journal+of+Agricultural+Economics%22">Journal of Agricultural Economics</searchLink>. Sep2020, Vol. 71 Issue 3, p631-651. 21p. – Name: Subject Label: Subjects Group: Su Data: <searchLink fieldCode="DE" term="%22Farm+produce%22">Farm produce</searchLink><br /><searchLink fieldCode="DE" term="%22Commodity+exchanges%22">Commodity exchanges</searchLink><br /><searchLink fieldCode="DE" term="%22Agricultural+marketing%22">Agricultural marketing</searchLink><br /><searchLink fieldCode="DE" term="%22Agricultural+prices%22">Agricultural prices</searchLink><br /><searchLink fieldCode="DE" term="%22Extreme+value+theory%22">Extreme value theory</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: 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. [ABSTRACT FROM AUTHOR] – Name: AbstractSuppliedCopyright Label: Group: Ab Data: <i>Copyright of Journal of Agricultural Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.) |
| PLink | https://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=egs&AN=145207170 |
| RecordInfo | BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.1111/1477-9552.12377 Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 21 StartPage: 631 Subjects: – SubjectFull: Farm produce Type: general – SubjectFull: Commodity exchanges Type: general – SubjectFull: Agricultural marketing Type: general – SubjectFull: Agricultural prices Type: general – SubjectFull: Extreme value theory Type: general Titles: – TitleFull: Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Triantafyllou, Athanasios – PersonEntity: Name: NameFull: Dotsis, George – PersonEntity: Name: NameFull: Sarris, Alexandros IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 09 Text: Sep2020 Type: published Y: 2020 Identifiers: – Type: issn-print Value: 0021857X Numbering: – Type: volume Value: 71 – Type: issue Value: 3 Titles: – TitleFull: Journal of Agricultural Economics Type: main |
| ResultId | 1 |
