Systemic weather risk is a major obstacle for the formation of private (non-subsidized) crop insurance. This paper explores the possibility of spatial diversication ofinsurance by estimating the joint occurrence of unfavorable weather conditions in dierentlocations. For that purpose copula...

It is frequently stated that price risk in European agriculture in-creases due to the liberalization of formerly regulated markets. This argument is used to motivate the necessity of risk manage-ment and income stabilization for farms. Against this background we empirically investigate the price...

This paper investigates the impact of speculation on prices of agricultural commodities. Recently, non-commercial traders are responsible for price peaks and increased volatility on agricultural markets. As a matter of fact, speculation with commodity futures has increased over the last decade....

We analyze the speed of mean reversion (k) in the convenience yield and the spot price volatility for 7 US commodities between 1989-2012. In the hog market k is large, soybeans exhibit the lowest values. While for 5 of 7 commodities κ is lower in the more recent period (2005-2012) than in the...

The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable...

Der Beitrag untersucht den Einfluss von Spekulation mit Terminkontrakten auf die Preise von Agrarrohstoffen. Konkret wird der öffentlich diskutierte Vorwurf aufgegriffen, Spekulation sei für den Preisanstieg und die Preisschwankungen auf Agrarmärkten mit verantwortlich und trage so zur...

Der Beitrag untersucht den Einfluss von Spekulation mit Terminkontrakten auf die Preise von Agrarrohstoffen. Konkret wird der öffentlich diskutierte Vorwurf aufgegriffen, Spekulation sei für den Preisanstieg und die Preisschwankungen auf Agrarmärkten mit verantwortlich und trage so zur...