Evaluating the Dynamic Nature of Market Risk
AbstractThis study examines the systematic risk present in major crops for the United States and three corn-belt states. An index of commodities is used in conjunction with cash receipts to generate dynamic estimates of the systematic risk for each crop and state. In our study, we find that beta estimates from a time varying parameter model (FLS) and OLS formulation are substantially different. From our graphs of betas over time, one gains insight into the changing nature of risk and the impact of institutional and macroeconomic events. Systematic risk is shown to increase for most crops over the analyzed period with significant changes in volatility after the collapse of the Bretton Woods Accord.
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Bibliographic InfoPaper provided by NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management in its series 2009 Conference, April 20-21, 2009, St. Louis, Missouri with number 53037.
Date of creation: Apr 2009
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Systematic risk; flexible least squares; single index model; farm policy; macroeconomics; Agribusiness; Agricultural Finance; Consumer/Household Economics; Demand and Price Analysis; Farm Management; Financial Economics; Institutional and Behavioral Economics; Marketing; Risk and Uncertainty;
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