IDEAS home Printed from https://ideas.repec.org/a/bla/jageco/v66y2015i1p192-220.html
   My bibliography  Save this article

Agricultural Financial Risks Resulting from Extreme Events

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/jage.2014.66.issue-1
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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. 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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jageco:v:66:y:2015:i:1:p:192-220. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0021-857X .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.