On Agricultural Commodities' Extreme Price Risk
Copyright policy )On Agricultural Commodities' Extreme Price Risk
AbstractWe show how fat tails in agricultural commodity returns arise endogenously from productivity shocks in a standard macroeconomic model. Using nearly ninety years of data, we show that the eight agricultural commodities in our sample exhibit fat-tailed return distributions. Statistical tests confirm the heavy-tailedness of price spikes for agricultural commodities. We apply extreme value theory to estimate the size and likelihood of price spikes in agricultural commodities. Back-testing verifies the validity of our risk assessment methodology.
- Erasmus University Rotterdam Netherlands
- Bank of Canada Canada
- Tinbergen Institute Netherlands
- VU Research Institutes, Tinbergen Institute Netherlands
- Vrije Universiteit Amsterdam Netherlands
Applications of statistics to actuarial sciences and financial mathematics, commodity prices, 60G70, extreme value theory, Statistics of extreme values; tail inference, Extreme value theory, SDG 8 - Decent Work and Economic Growth, Agricultural commodities; extreme value theory; heavy tails; risk management, risk management, Commodity prices, heavy tails, Extreme value theory; extremal stochastic processes, Time series, auto-correlation, regression, etc. in statistics (GARCH), Risk management, Heavy tails, 62G32, jel: jel:C14, jel: jel:Q11, jel: jel:Q14
Applications of statistics to actuarial sciences and financial mathematics, commodity prices, 60G70, extreme value theory, Statistics of extreme values; tail inference, Extreme value theory, SDG 8 - Decent Work and Economic Growth, Agricultural commodities; extreme value theory; heavy tails; risk management, risk management, Commodity prices, heavy tails, Extreme value theory; extremal stochastic processes, Time series, auto-correlation, regression, etc. in statistics (GARCH), Risk management, Heavy tails, 62G32, jel: jel:C14, jel: jel:Q11, jel: jel:Q14
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).9 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Top 10% influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!