Risk Measurement and Supply Response in the Soybean Complex

Matthew A. Diersen and Philip Garcia

No 285723, 1981-1999 Conference Archive from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Output price risk has been found to affect firm behavior in the soybean complex. Here, we investigate the influence of price risk on the supply of soybean products, using futures prices and implied volatilities from options markets to generate the first and second moments of the crushers' returns distribution. Our findings suggest that implied volatilities can be a useful measure of price risk in a supply response context. This measure has the advantages of being forward-looking, market generated, and relatively easily implementable for those commodities with futures and options markets.

Keywords: Marketing (search for similar items in EconPapers)
Date: 1998-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nc8191:285723

DOI: 10.22004/ag.econ.285723

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