Revista de Economia e Sociologia Rural
https://revistasober.org/article/doi/10.1590/1234-56781806-94790550306
Revista de Economia e Sociologia Rural
Artigo original

Measurement of Commodity Price Risk: an overview of Brazilian agricultural markets

Daniel Henrique Dario Capitani; Fabio Mattos

http://dx.doi.org/10.1590/1234-56781806-94790550306 resr, vol.55, n3, p.515-532, 2017
PDF
SciELO
Downloads: 0
Views: 1235

Abstract

Abstract:: 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.

Keywords

Commodity price, risk, volatility, downside risk.

Referências

BAWA, V. S. Safety-first, stochastic dominance, and optimal portfolio choice. Journal of Financial and Quantitative Analysis, v. 13, n. 2, p. 255-271, 1978.

BAUCELLS, M., WEBER, M. and WELFENS, F. Reference-point formation and updating. Management Science, v. 57, n. 3, 506-519, 2011.

BRAZILIAN AGRICULTURAL CONFEDERATION - CNA. Sugar: cost of production. Brasilia, DF, Brazil, 2016. Available at <http://www.cna.org.br>.

BRAZILIAN BEEF EXPORTERS ASSOCIATION - ABIEC. Statistics. Sao Paulo, SP, Brazil, 2017. Available at <http://www.brazilianbeef.org.br/>.

BRAZILIAN INSTITUTE OF GEOGRAPHY AND STATISTICS - IBGE. Agricultural and livestock census. Rio de Janeiro, RJ, Brazil, 2016. Available at <http:// www.sidra.ibge.gov.br>.

BRAZILIAN NATIONAL SUPPLY COMPANY - CONAB. Agricultural cost of production. Brasilia, DF, Brazil, 2016. Available at <http://www.conab.gov.br/>.

BRAZILIAN SUGARCANE INDUSTRY ASSOCIATION - UNICA. Sugarcane harvest reports. São Paulo, SP, Brazil, 2016. Available at <http://www.unicadata.com.br/>.

CAMPOS, K. C. Análise da volatilidade de preços de produtos agropecuários no Brasil. Revista de Economia e Agronegócio, v. 5, n. 3, p. 303-328, 2007.

CENTER FOR ADVANCED STUDIES ON APPLIED ECONOMICS - CEPEA/USP. Prices indexes. Piracicaba, SP, Brazil, 2016. Available at <http://www.cepea.esalq.usp.br/>.

CHEN, S. S., LEE, C. and SHRESTHA, K. Futures hedge ratios: a review. The Quarterly Review of Economics and Finance, v. 43, n. 3, p. 433-465, 2003.

COELHO, C. N. 70 anos de Política Agrícola no Brasil (1931-2001). Revista de Política Agrícola, ano 10, n. 3, p. 03-58, jul./set. 2001.

COMTRADE. International trade statistics database: commodity trade statistics. New York, 2016. Available at <http://www.comtrade.un.org>.

CONT, R. Empirical properties of asset returns: stylized facts and statistical issues. Quantitative Finance, v. 1, n. 1, p. 223-236, 2001.

FISHBURN, P. C. 1977. Mean-risk analysis with risk associated with below-target returns. The American Economic Review, v. 67, n. 2, p. 116-126.

FREITAS, C. A. and SÁFADI, T. Volatilidade dos retornos de commodities agropecuárias brasileiras: um teste utilizando o modelo APARCH. Revista de Economia e Sociologia Rural, v. 53, n. 2, p. 211-228, abr./jun. 2015.

GARCIA, J. R. and VIEIRA FILHO, J. E. Brazilian agricultural policy: productivity, inclusion and sustainability. Revista de Política Agrícola, ano 23, n. 1, p. 91-104, jan./mar. 2014.

GROOTVELD, H. and HALLERBACH, W. Variance vs downside risk: is there really that much difference? European Journal of Operational Research, v. 114, n. 2, p. 304-319, 1999.

HARRIS, R. D. F. and SHEN, J. Hedging and value at risk. Journal of Futures Market, v. 26, n. 4, p. 369-390, 2006.

INFORM ECONOMICS - FNP. Anuelpec online: cattle cost of production data. São Paulo, SP, Brazil, 2016. Availabe at <http://www.informaeconomic-fnp.com/publicacoes>.

JORION, P. Value at risk - the new benchmark for managing financial risk. New York: McGrall-Hill, 2001.

KAHNEMAN, D. and TVERSKY, A. Prospect theory: An analysis of decision under risk. Econometrica, v. 47, n. 2, p. 263, 1979.

LIANG, B. and PARK, H. Risk measures for hedge funds: a cross-sectional approach. European Financial Management, v. 13, n. 2, p. 333-370, 2007.

LIEN, D. and TSE, Y. K. Some recent developments in futures hedging. Journal of Economic Surveys, v. 16, n. 3, p. 357-396, 2002.

MARKOWITZ, H. M. Portfolio selection: efficient diversification of investments. New York, NY: John Wiley & Sons, 1959.

MOSCHINI, G. and HENNESSY, D. A. Uncertainty, risk aversion, and risk management for agricultural producers. In: GARDNER. B . and RAUSSER G. , (Eds.). Handbook of agricultural economics. North Holland: Elsevier, 2001, p. 87-153.

PEREIRA, V. F. et al. Conditional volatility of the returns from Brazilian agricultural commodities. Revista de Economia, v. 36, n. 3, 73-94, set./dez. 2010.

RACHEV, S. T., MENN, C. and FABOZZI, F. J. Risk measures and portfolio selection. In: RACHEV, S. T.; MENN, C.; FABOZZI, F. J. (Eds.). Fat-tailed and skwed asset returns distributions: implications for risk management, portfolio selection, and option pricing. New York, NY: John Wiley & Sons , 2005, p. 181-198.

ROY, A. D. Safety first and the holding of assets. Econometrica, v. 20, n. 3, p. 431-450, 1952.

UNSER, M. Lower partial moments as measures of perceived risk: an experimental study. Journal of Economics Psychology, v. 21, n. 1, p. 253-280, 2000.

VELD, C. and VELD-MERKOULOVA, Y. The risk perceptions of individual investors. Journal of Economic Psychology, v. 29, n. 2, p. 226-252, 2008.
 

5cee88650e88255840a63c0f resr Articles
Links & Downloads
1806-9479 (Eletrônico) 0103-2003 (Impresso)
resr ©2024 Todos os direitos reservados.

resr

Share this page
Page Sections