Measurement of Commodity Price Risk
An overview of Brazilian agricultural markets
Bibliographic Data
| ID | 4011069 |
|---|---|
| Authors | Daniel Henrique Dario Capitani (0000-0002-8025-4152, Universidade Estadual de Campinas (UNICAMP)), Fabio Mattos (0000-0001-8933-8953, University of Nebraska–Lincoln) |
| Year | 2017 |
| Volume | 55 |
| Issue | 3 |
| Pages | 515-532 |
| Publication date | 2017-09-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Revista de Economia e Sociologia Rural (JOURNAL) |
| Journal identifiers | ISSN: 0103-2003 • E-ISSN: 1806-9479 |
| Publisher | FapUNIFESP (SciELO) (PUBLISHER) |
| DOI | 10.1590/1234-56781806-94790550306 |
| OpenAlex | W2765453299 |
| SCIELO_PID | S0103-20032017000300515 |
| Language | EN |
| Citations received | 1 |
| References cited | 14 |
This study explores different procedures to estimate price risk in commodity markets. Focusing on Brazilian agricultural markets, the paper proposes to assess both dispersion and downside risk measures using five different approaches (volatility, coefficient of variation, lower partial moments, value at risk and conditional value at risk). Results suggest that some commodities have large price variability but small downside risk, while other commodities show small price variability and large downside risk. Thus, there is no single answer to the question of which commodity exhibits more price risk, but rather distinct answers depending on how risk is perceived by different individuals. These findings are relevant for agents in the agricultural industry as they affect marketing and risk management decisions and for policy makers involved in support programs to agriculture
Agribusiness · Agriculture · Commodity · Downside risk · Econometrics · Economics · Financial economics · Futures contract · Market risk · Price risk · Risk management · Volatility (finance) · Agricultural risk and resilience · Finance · Market Dynamics and Volatility · Monetary Policy and Economic Impact
| Unique citing works | 1 |
|---|---|
| Citations per year | 0,25 |
| Citation span | 2022 - 2022 (1) |
| Citation velocity | historical |
| Highly cited | No |