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Price risk in commodities: Sensitivity of agricultural commodities to interest rate shocks?

Author

Listed:
  • Gonzalo Rondinone

    (Universidad de Buenos Aires, Argentina)

  • Esteban Otto Thomasz

    (Universidad de Buenos Aires, Argentina)

Abstract

The aim of this study is to test the sensitivity of the price of agricultural commodities against shocks in the interest rate. The study will focus specifically on the case of soybeans and corn, analyzing if in recent years there have been changes in price sensitivity of prices to changes in interest rates. Using a vector autoregression model we will test the reaction of prices to changes in interest rates. Depending on the results, we resume some implications of the process, especially in relation to the impact on countries dependent on the export of agricultural commoditites.

Suggested Citation

  • Gonzalo Rondinone & Esteban Otto Thomasz, 2016. "Price risk in commodities: Sensitivity of agricultural commodities to interest rate shocks?," Contaduría y Administración, Accounting and Management, vol. 61(4), pages 746-761, Octubre-D.
    • Handle: RePEc:nax:conyad:v:61:y:2016:i:4:p:746-761
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    Cited by:

    1. Ismael Pérez-Franco & Esteban Otto Thomasz & Gonzalo Rondinone & Agustín García-García, 2022. "Feed price risk management for sheep production in Spain: a composite future cross-hedging strategy," Risk Management, Palgrave Macmillan, vol. 24(2), pages 137-163, June.

    More about this item

    Keywords

    Price Risk; Agricultural commodities; Financialization; Autorregressive vector system;
    All these keywords.

    JEL classification:

    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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