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Price Volatility Transmission: Linking the U.S. Crude Oil, Corn and Plastics Markets

Jiang, Jingze; Marsh, Thomas L.; Tozer, Peter R. - Agricultural and Applied Economics Association - AAEA - 2014

study price transmission among markets in United States, especially price volatility spillover effects. We find that … exogenous to this system. We also show the existence of volatility spillover from crude oil futures price to corn futures price … from crude oil market to corn market is greater, and the significant bidirectional volatility transmission between corn …

Persistent link: https://www.econbiz.de/10011068799

The Volatility Spillover Effects and Optimal Hedging Strategy in the Corn Market

Wu, Feng; Guan, Zhengfei - Agricultural and Applied Economics Association - AAEA - 2009

This article examines the volatility spillovers from energy market to corn market. Using a volatility spillover model …

Persistent link: https://www.econbiz.de/10005012633

Tail Dependence is to be Expected Among Crop Yields

Du, Xiaodong; Hennessy, David; Feng, Hongli - Agricultural and Applied Economics Association - AAEA - 2014

Rate setting methods for crop yield and revenue contracts employ methods that presume that correlations are state invariant. Whether this is true matters. If yield-yield correlations strengthen when crops are subject to widespread stress then diversification opportunities for private insurers...

Persistent link: https://www.econbiz.de/10011069083

Is Government Involvement Really Necessary: Implications for Systemic Risk and Crop Reinsurance Contracts

Feng, Xiaoguang; Hayes, Dermot - Agricultural and Applied Economics Association - AAEA - 2014

Persistent link: https://www.econbiz.de/10010936968

Policy Uncertainty under Market-Based Regulations: Evidence from the Renewable Fuel Standard

Lade, Gabriel; Lin, C.-Y. Cynthia; Smith, Aaron - Agricultural and Applied Economics Association - AAEA - 2014

Tradeable credits are a central component of many market-based regulations. Whenever the market for compliance credits is efficient and policies are enforced over time, credit prices should reflect both current and expected future discounted marginal compliance costs, which are a function of...

Persistent link: https://www.econbiz.de/10011068895

THE TRANSMISSION OF PRICE VOLATILITY IN THE BEEF MARKETS

Natcher, William C.; Weaver, Robert D. - Agricultural and Applied Economics Association - AAEA - 1999

This paper reconsiders the implications of efficient markets for transmission of price volatility across markets. Tests … of volatility transmission are based on conditional variances. Results are reported for key grain and beef markets …

Persistent link: https://www.econbiz.de/10005806420

FORECASTING ACCURACY, RATIONAL EXPECTATIONS AND MARKET EFFICIENCY IN THE US BEEF CATTLE INDUSTRY

Schaefer, Matthew P.; Myers, Robert J. - Agricultural and Applied Economics Association - AAEA - 1999

Recent studies have tested whether futures prices respond to U.S. Department of Agriculture inventory reports in accordance with the efficient markets hypothesis. These studies use survey forecasts to identify the anticipated and unanticipated information contained in a report. However, this...

Persistent link: https://www.econbiz.de/10005338140

THE EFFECT OF EXCHANGE RATE VOLATILITY ON WHEAT TRADE WORLDWIDE

Sun, Changyou; Kim, Mina; Koo, Won W.; Cho, Guedae; … - Agricultural and Applied Economics Association - AAEA - 2002

A modified gravity-type model was employed to evaluate the effect of exchange rate volatility on wheat exports …-term measures of exchange rate volatility were constructed and compared. Both measures of exchange rate volatility have exhibited a … volatility is an important factor in explaining the trade pattern of wheat trade worldwide. Keywords: wheat, export, exchange …

Persistent link: https://www.econbiz.de/10005513439

MEASURING MARKET RISK OF THE CATTLE FEEDING MARGIN: AN APPLICATION OF VALUE-AT-RISK ANALYSIS

Manfredo, Mark R.; Leuthold, Raymond M. - Agricultural and Applied Economics Association - AAEA - 1999

VaR gives a prediction of potential portfolio losses, with a certain level of confidence, that may be encountered over a specified time period due to adverse price movements in the portfolio's assets. For example, a VaR of 1 million dollars at the 95% level of confidence implies that overall...

Persistent link: https://www.econbiz.de/10005525943

What Explains High Commodity Price Volatility? Estimating a Unified Model of Common and Commodity-Specific, High- and Low-Frequency Factors

Karali, Berna; Power, Gabriel J. - Agricultural and Applied Economics Association - AAEA - 2009

of Engle and Rangel (2008) to explain the period of exceptionally high price volatility in commodity markets during 2006 …-2008. We find that decomposing realized volatility into high- and low-frequency components reveals the impact of slowly …-evolving macroeconomic variables on the price volatility. Further, we find that while macroeconomic variables have similar effects within the …

Persistent link: https://www.econbiz.de/10004979704