EconPapers    
Economics at your fingertips  
 

Crop price comovements during extreme market downturns

David Zimmer

Australian Journal of Agricultural and Resource Economics, 2016, vol. 60, issue 2

Abstract: This study develops and estimates mixture models of crop price comovements using copula functions, which allow for departures from normality during extreme market circumstances. The models also account for unique time-series patterns inherent in crop price data. The results point to two main conclusions. First, mixture models appear to provide an easy-to-estimate approach for capturing real-life crop price movements. Second, mixture models find that, during extreme market downswings, correlations in price movements strengthen by several orders of magnitude. These results suggest that structured securities assembled from different crops tend to lose diversified protection during extreme market downswings, the exact times when such protection is needed most.

Keywords: Crop Production/Industries; Demand and Price Analysis; Marketing (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://ageconsearch.umn.edu/record/292449/files/ajar12119.pdf (application/pdf)

Related works:
Journal Article: Crop price comovements during extreme market downturns (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:aareaj:292449

DOI: 10.22004/ag.econ.292449

Access Statistics for this article

More articles in Australian Journal of Agricultural and Resource Economics from Australian Agricultural and Resource Economics Society Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().

 
Page updated 2025-03-19
Handle: RePEc:ags:aareaj:292449