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The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns

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  • Makkonen, Adam
  • Vallström, Daniel
  • Uddin, Gazi Salah
  • Rahman, Md Lutfur
  • Haddad, Michel Ferreira Cardia

Abstract

This paper is the first to examine the dynamic impact of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. Using a quantile regression approach, we report that temperature anomaly exerts a significant negative (positive) impact on returns of soybean, corn, cotton, and coffee (soybean, corn, and cocoa) futures in extreme bearish and bullish market conditions. Moreover, agricultural commodity futures returns appear to positively respond to aggregate stock returns and negatively influenced by exchange rate changes. However, such results vary across quantiles. We also report that economic activities and various uncertainty measures do not have a strong impact on the returns of agricultural commodity futures. Our study suggests that an adjustment in risk evaluation encompassing weather shocks would benefit portfolio management.

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  • Makkonen, Adam & Vallström, Daniel & Uddin, Gazi Salah & Rahman, Md Lutfur & Haddad, Michel Ferreira Cardia, 2021. "The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns," Energy Economics, Elsevier, vol. 100(C).
    • Handle: RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002802
    DOI: 10.1016/j.eneco.2021.105377
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    6. Shanghui Jia & Xinhui Chen & Liyan Han & Jiayu Jin, 2023. "Global climate change and commodity markets: A hedging perspective," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1393-1422, October.
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    9. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Short-Term Speculation Effects on Agricultural Commodity Returns and Volatility in the European Market Prior to and during the Pandemic," Agriculture, MDPI, vol. 12(5), pages 1-26, April.
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    12. Filippo Natoli, 2023. "The macroeconomic effects of temperature surprise shocks," Temi di discussione (Economic working papers) 1407, Bank of Italy, Economic Research and International Relations Area.
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    More about this item

    Keywords

    Agricultural commodity futures; Macroeconomic fundamentals; Portfolio management; Quantile regression; Temperature anomaly;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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