scholarly journals On agricultural commodities’ extreme price risk

Extremes ◽  
2021 ◽  
Author(s):  
Maarten R. C. van Oordt ◽  
Philip A. Stork ◽  
Casper G. de Vries

AbstractWe show how fat tails in agricultural commodity returns arise endogenously from productivity shocks in a standard macroeconomic model. Using nearly ninety years of data, we show that the eight agricultural commodities in our sample exhibit fat-tailed return distributions. Statistical tests confirm the heavy-tailedness of price spikes for agricultural commodities. We apply extreme value theory to estimate the size and likelihood of price spikes in agricultural commodities. Back-testing verifies the validity of our risk assessment methodology.

Author(s):  
Sagar Pathane ◽  
Uttam Patil ◽  
Nandini Sidnal

The agricultural commodity prices have a volatile nature which may increase or decrease inconsistently causing an adverse effect on the economy. The work carried out here for predicting prices of agricultural commodities is useful for the farmers because of which they can sow appropriate crop depending on its future price. Agriculture products have seasonal rates, these rates are spread over the entire year. If these rates are known/alerted to the farmers in advance, then it will be promising on ROI (Return on Investments). It requires that the rates of the agricultural products updated into the dataset of each state and each crop, in this application five crops are considered. The predictions are done based on neural networks Neuroph framework in java platform and also the previous years data. The results are produced on mobile application using android. Web based interface is also provided for displaying processed commodity rates in graphical interface. Agricultural experts can follow these graphs and predict market rates which can be informed to the farmers. The results will be provided based on the location of the users of this application.


Energies ◽  
2019 ◽  
Vol 12 (7) ◽  
pp. 1344 ◽  
Author(s):  
Duc Hong Vo ◽  
Tan Ngoc Vu ◽  
Anh The Vo ◽  
Michael McAleer

The food-energy nexus has attracted great attention from policymakers, practitioners, and academia since the food price crisis during the 2007–2008 Global Financial Crisis (GFC), and new policies that aim to increase ethanol production. This paper incorporates aggregate demand and alternative oil shocks to investigate the causal relationship between agricultural products and oil markets. For the period January 2000–July 2018, monthly spot prices of 15 commodities are examined, including Brent crude oil, biofuel-related agricultural commodities, and other agricultural commodities. The sample is divided into three sub-periods, namely: (i) January 2000–July 2006, (ii) August 2006–April 2013, and (iii) May 2013–July 2018. The structural vector autoregressive (SVAR) model, impulse response functions, and variance decomposition technique are used to examine how the shocks to agricultural markets contribute to the variance of crude oil prices. The empirical findings from the paper indicate that not every oil shock contributes the same to agricultural price fluctuations, and similarly for the effects of aggregate demand shocks on the agricultural market. These results show that the crude oil market plays a major role in explaining fluctuations in the prices and associated volatility of agricultural commodities.


2021 ◽  
Vol 15 (2) ◽  
pp. 277-296
Author(s):  
Karmex Siadari ◽  
M. Syamsul Maarif ◽  
Bustanul Arifin ◽  
Zulkifli Rangkuti Rangkuti

Abstrak Pembiayaan komoditas pertanian sistem resi gudang belum berlangsung sesuai harapan di Indonesia. Hal tersebut menurut beberapa studi karena masih banyak permasalahan penghambat. Studi ini mengidentifikasi kendala pembiayaan komoditas pertanian sistem resi gudang di Indonesia. Penelitian dilakukan melalui wawancara mendalam terhadap responden tertentu yang memiliki pengetahuan atau pengalaman pada pembiayaan komoditas pertanian berbasis sistem resi gudang yang diimplentasikan terhadap komoditas pertanian seperti kopi, lada, beras dan jagung. Data yang dikumpulkan diidentifikasi, dikelompokkan dan diklasifikasikan secara terstruktur di dalam pola berfikir strategis dan dianalisa secara analisa deskriptif. Penelitian ini berhasil menemukan faktor penghambat pembiayaan komoditas pertanian sistem resi gudang di Indonesia antara lain: ketidaksesuaian nilai manfaat yang dibangun dengan karakteristik petani di Indonesia khususnya petani kecil; keterbatasan sumber layanan, ketidakcocokan skema dan fitur pembiayaan, harga pembiayaan dan skala ekonomi petani, suplai informasi yang memengaruhi kesadaran pada pembiayaannya. Permasalahan tersebut harus dapat diminimalisasi sehingga meningkatkan aksesibilitas dan kelangsungan pembiayaan sistem SRG pada petani di Indonesia. Kata kunci: Pembiayaan Komoditas Pertanian, Kendala, Sistem Resi Gudang   Abstract Agricultural commodity financing in the warehouse receipt system has not performed as expected in Indonesia. According to several studies, it is due to many obstacles hindering the system to grow. This study identifies the constraints on agricultural commodities financing on the warehouse receipt system. The research was conducted through in-depth interviews with certain respondents who have knowledge or experience in agricultural commodities financing based on a warehouse receipt system implemented on agricultural commodities such as coffee, pepper, rice, and maize. The collected data are identified, grouped, and classified in a structured manner in the pattern of strategic thinking and analyzed by descriptive analysis. The study succeeded to identify the barriers that hindering agricultural commodities financing in warehouse receipt system to grow in Indonesia: the incompatibility of the value built with the characteristics of agriculture business, especially for small farmers; limited financing sources, incompatibility of financing schemes and features, financing prices and farmer economies of scale and supply of information that affects awareness of financing. These problems must be minimized to encourage the accessibility and continuity of financing on WRS for farmers in Indonesia. Keywords: Agricultural Commodity Financing, Contraints, Warehouse Receipt System JEL Classification: D46, F6, F61, F65, Q14


2020 ◽  
Vol 57 ◽  
pp. 81-87
Author(s):  
Przemysław Śleszyński

The article presents a map, which was compiled in 2009 in cooperation with Prof. Roman Kulikowski for the National Spatial Development Concept 2030. It concerns the inclusion of agricultural commodities in connection with natural conditions for the development of this sector of economy. For the typology, a division into the following classes was proposed: in terms of the quality of agricultural production space: A – up to 45 points, B – 45.1 to 60 points, C – above 60 points and in terms of commodity quality per 1 ha of agricultural land: 1 – up to 1,000 PLN, 2 – 1,000 up to 2,000 PLN, 3 – above 2,000 PLN. It has been shown that in Poland there is no stronger interdependence between natural conditions and agricultural commercialization. The resulting typology was further used to show changes within particular 9 distinguished types in terms of total population and post-productive age in agglomeration (suburban) and non-agglomeration areas. A disturbing phenomenon of relatively fast depopulation and ageing of the population in areas with good natural conditions for the development of agricultural function was detected. If this is not related to agrarian overpopulation, it is a serious obstacle to the desired transformations in Polish agriculture. Typology of communes, due to natural conditions and agricultural commodities may be useful for research on the processes taking place in rural areas presenting diverse development level.


2014 ◽  
Vol 2 (1) ◽  
pp. 25
Author(s):  
Erwin Kharisma

<p class="Abstract"><em>Subdistrict Ambarawa as a small town in Central Java is a city that has the potential in the domestic and regional services. Projo market located in downtown Ambarawa is one of the largest traditional market in Semarang Regency. Projo market is a market first that held a special morning vegetable market. Intensive activity often cause traffic jams in front of the Market Projo passed by the national road-Jogjakart Semarang. Ambarawa position is located in the middle of agricultural areas have specialized functions makes Ambarawa make Ambarawa be the exit for agricultural commodities. To find the perpetrator, the location, flow and value-added agricultural commodities in the  market  Projo,  it  is  necessary  to  review  how  the  chain  of  agricultural  commodity  markets  in  the  Market Projo.Market chain analysis will address how the role of Market Projo Ambarawa particularly in the area of the system especially agricultural commodities. From the analysis of the market chain will be known to impact the flow Projo Market chain of agricultural commodities trading activities. Is the impact of the market chain with trading activities have positive and negative for the traders in the Market Projo. This study aims to determine the condition of the agricultural commodity market chain and its relation to the activities of trade in agricultural commodities in the market Projo,   Ambarawa. This   research   approach   is   qualitative   penedekatan  with   descriptive   statistical   analysis techniques. Under the conditions of the market chain will be described the relationship between market chain of agricultural commodities trading activities Projo Market. The results of the analysis it is associated chain actors vegetables and fruits were not only from local actors, but also there are actors nonlocal located near the center producing commodities, such as the perpetrator of farmers and gatherers. While the majority of local actors are actors who sell at the Market Projo such as market traders and retailers. With the presence of nonlocal actors illustrates that commodity in a commodity market Projo nonlocal. Nonlocal vegetables are from Sub Getasan and District Ngablak. Then for for commodities originating from the center of fruit like Batu in  East Java, Malang, Banyuwangi, and Kediri, while for centers such as Magelang, Central Java and Kebumen.For the analysis of the chain, most players in this industry sector is taking the basic ingredients of vegetables and fruits to be processed into other forms, such as food, vegetables, fruit soups, fruit ice. The perpetrator was a perpetrator of restaurants and pkl.For added value, some local actors such as market traders, retailers, and collectors get the added value is large enough compared to other actors of vegetables, local fruits, and fruit imports. Only farmers who obtain the greatest added value of vegetables, fruit for local and imported commodities of local actors such as collectors and market traders get the most added value than nonlocal actors involved. From the above descriptions can be drawn with the impact of the market chain of agricultural commodities trading activities in the Projo Market terfasilitasinya local merchants to sell at the market and value-added Projo received from local traders is quite big compared to nonlocal actors commodity chain of vegetables and fruits. With local traders in the Market terfasilitasinya Projo, it is necessary to the arrangement and the addition of market capacity because the capacity exceeds the capacity of market traders, especially the morning market. Projo market as needed to absorb the local market traders and local people's income will rise gradually to Market Projo can benefit the surrounding community.</em></p>


1996 ◽  
Vol 79 (2) ◽  
pp. 476-486 ◽  
Author(s):  
Thomas Whitaker ◽  
William Horwitz ◽  
Richard Albert ◽  
Stanley Nesheim

Abstract A total of 1019 analytical precision estimates obtained from method-performance (collaborative) studies for mycotoxins published through 1991 were sortedby type of variance measurement, type of analytical method, and type of agricultural commodity. Precision estimates for total aflatoxin were sorted into 2 precision measurements (among-labo ratories and with in-laboratory), 3 analytical methods (thin-layer chromatography [TLC], liquid chromatography [LC], and enzyme-linked immunosorbent assay [ELISA]), and 11 agricultural commodities. Sufficient data existed to study the analytical variability (precision) associated with 36 sorted combinations (of a possible 66). In all but one combination (within-laboratory, barley, and TLC), the variance (V) was a function of totalafla- toxin concentration (C). A power function of the form V = aCb, where a and b are constants, describes the relationship between variance and aflatoxin concentration. The coefficients a and b were determined from regression analysis. When results were pooled across all agricultural commodities, LC had the lowest analytical variability while ELISA had the highest. For a given method, among-labora tories variability was approximately double the with in-laboratory variability. These analytical variability estimates can be coupled with previously determined variability estimates of sampling and sample preparation to determine the performance associated with specific test procedures used to inspect agricultural commodities for aflatoxin.


2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Manogna RL ◽  
Aswini Kumar Mishra

PurposeThe phenomenon known as financialization of commodities, arising from the speculation in commodity derivatives market, has raised serious concerns in the recent past. This has prompted distortion in agricultural commodity prices driving them away from rational levels of supply and demand shocks. In the backdrop of financialized commodities leading to increase in price of agricultural products and their interaction with equity markets, the authors examine the investment of institutional investors in impacting the agricultural returns. The paper aims to focus on the financial mechanism that drives extreme values and the mean of agricultural returns.Design/methodology/approachThe authors employ the Threshold AutoRegressive Quantile (TQAR) methodology to find evidence of linkages between the Indian agricultural and equity markets from January 2010 to May 2020 consistent with the rise in inflows of institutional investors in agricultural markets.FindingsThe results reveal that the investors impact the agricultural commodity markets strongly when the composite commodity index value (COMDEX) is low. Additionally, in the lower extreme quantiles (0.25) of agricultural returns, the integration between the equity index and agricultural returns is found to be highly significant compared to insignificant values in the higher quantiles (0.75 and 0.95) in both the regimes. The results suggest that low values of agricultural commodities are more closely linked to equity indices when composite commodity index value is low. This implies that, at the lower quantiles of COMDEX return (bad day), the investors move to the stock market. In that way, the commodity index returns are seen to be as a strong channel for the financialization of Indian agricultural commodities and suggesting potential involvement of investors during those regime.Research limitations/implicationsRegulators need to anticipate the price fluctuations in spot and futures markets. Investors in commodity markets need to strengthen risk awareness to carry out portfolio strategies.Practical implicationsFrom policy perspective, it is of pivotal importance to enhance the understanding of the financialization of agricultural products. The findings provide reference measures to stabilize the commodity markets, alleviate price distortions and carry out further evidence of price discovery and risk management in Indian commodity markets.Originality/valueTo the best of the authors’ knowledge, this study is the first to highlight the potential influence of financial markets on the financialization of agricultural commodities in an emerging economy like India.


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