The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this purpose, we use the delta Conditional Value-at-Risk ΔCoVaR)...

The present study examines the dynamics and regulatory regimes of commodity derivatives markets through time. The historical perspective allows to identify the reasons behind the use of derivatives and the impact of changing rules on financial systems. It further permits to highlight the...

This paper considers the Samuelson hypothesis, which argues that the futures price volatility increases as the futures contract approaches its expiration. Utilizing intraday data from 20 futures markets in six futures exchanges, we find strong support for the Samuelson hypothesis in agricultural...

This study examines both long-run and short-run linkages between futures and spot prices for a wide range of agricultural commodities in China and the US. We use the Johansen cointegration test to examine the long-run equilibrium relationship in both multivariate and bivariate contexts. The VECM...

Biofuels production has experienced rapid growth worldwide as one of several strategies to promote green energy economies. Indeed, climate change mitigation and energy security have been frequent rationales behind biofuel policies, but biofuels production could generate negative impacts, such as...

Agricultural commodities, here considered as renewable products, are critical to many developing countries. Not only are their prices rising, along with price volatility on both spot and future markets, but also an increasing financialization of these products is making itself felt. All this may...

The present study examines the dynamics and regulatory regimes of commodity derivatives markets through time. The historical perspective allows to identify the reasons behind the use of derivatives and the impact of changing rules on financial systems. It further permits to highlight the...

The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this purpose, we use the delta Conditional Value-at-Risk CoVaR)...

This article is centred on the volatility of commodity prices. It presents the instruments offering a protection against volatility and shows how they can be employed. The first section exposes these derivative instruments. It distinguishes them in step with the need they respond and the way...

The paper examines the potential of stochastic simulation methods and Earnings at Risk method in risk analysis of farming business. The results revealed a different nature of yield and price risks in agriculture. The natural yields are low spatially correlated and the rate of yield risk depends...