On agricultural commodities' extreme price risk

被引：6

作者：

van Oordt, Maarten R. C. ^{[1
]}

Stork, Philip A. ^{[2
,3
]}

de Vries, Casper G. ^{[3
,4
]}

机构：

[1] Bank Canada, Funds Management & Banking Dept, 234 Wellington Ave, Ottawa, ON K1A 0G9, Canada

[2] Vrije Univ Amsterdam, Sch Business & Econ, Boelelaan 1105, NL-1081 HV Amsterdam, Netherlands

[3] Tinbergen Inst, Gustav Mahlerlaan 117, NL-1082 MS Amsterdam, Netherlands

[4] Erasmus Univ, Erasmus Sch Econ, Burgemeester Oudlaan 50, NL-3062 PA Rotterdam, Netherlands

来源：

EXTREMES | 2021年 / 24卷 / 03期

关键词：

Commodity prices; Extreme value theory; Heavy tails; Risk management; CROP-YIELD DISTRIBUTIONS; MOMENT ESTIMATOR; POWER LAWS; ECONOMICS; PARETO; MODEL; TAIL;

D O I：

10.1007/s10687-020-00401-3

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We 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.

引用

页码：531 / 563

页数：33

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