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Agricultural Financial Risks Resulting from Extreme Events

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  • Stergios Xouridas

Abstract

type="main" xml:id="jage12083-abs-0001"> Decision-makers in the agricultural sector operate in a volatile and risky environment. The statistical assessment of agricultural commodity prices is necessary to deduce the stylised facts of agricultural markets and guide the action of market participants. This article examines the kurtosis values of 60 agricultural commodities and presents evidence that the distributions of their returns are fat-tailed. We use power-law distributions to model the tail returns and the possible time-varying extreme event risks in commodity markets. Our results suggest that the usefulness of the value at risk and expected shortfall as risk management tools is questionable.

Suggested Citation

  • Stergios Xouridas, 2015. "Agricultural Financial Risks Resulting from Extreme Events," Journal of Agricultural Economics, Wiley Blackwell, vol. 66(1), pages 192-220, February.
    • Handle: RePEc:bla:jageco:v:66:y:2015:i:1:p:192-220
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    File URL: http://hdl.handle.net/10.1111/jage.2014.66.issue-1
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    Cited by:

    1. Haberli, Caetano, Jr. & Oliveira, Tiago & Yanaze, Mitsuru, 2017. "Understanding the determinants of adoption of enterprise resource planning (ERP) technology within the agri- food context: the case of the Midwest of Brazil," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 20(5).
    2. Naeem, Muhammad Abubakr & Hamouda, Foued & Karim, Sitara, 2024. "Tail risk spillover effects in commodity markets: A comparative study of crisis periods," Journal of Commodity Markets, Elsevier, vol. 33(C).
    3. Dejan Živkov & Marijana Joksimović & Suzana Balaban, 2021. "Measuring parametric and semiparametric downside risks of selected agricultural commodities," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(8), pages 305-315.

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