Time-varying risk premium: further evidence in agricultural futures markets
AbstractResearch has provided mixed results regarding the presence of a time-varying risk premium in agricultural futures markets. In this article we test for the presence of a time-varying risk premium focusing on the properties of the underlying data. Our results show that accounting for the structural break in the 1970s plays a key role in the findings. In contrast to recent research, we find only limited evidence of time-varying risk premium. For a two-month horizon the corn, soybean meal and hog markets show no signs of a risk premium, while very weak support for a time-varying premium emerges in live cattle. For the four-month horizon, no evidence of a time-varying risk premium appears for any of the markets.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 41 (2009)
Issue (Month): 6 ()
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Web page: http://www.tandfonline.com/RAEC20
Other versions of this item:
- Frank, Julieta & Garcia, Philip, 2005. "Time-Varying Risk Premium or Informational Inefficiency? Further Evidence in Agricultural Futures Markets," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19051, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
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