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

Gonzalo Rondinone () and Esteban Otto Thomasz
Additional contact information
Gonzalo Rondinone: Universidad de Buenos Aires, Argentina
Esteban Otto Thomasz: Universidad de Buenos Aires, Argentina

Contaduría y Administración, 2016, vol. 61, issue 4, 746–761

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.

Keywords: Price Risk; Agricultural commodities; Financialization; Autorregressive vector system (search for similar items in EconPapers)
JEL-codes: C3 G11 Q11 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.cya.unam.mx/index.php/cya/article/view/1048 (application/pdf)

Related works:
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:nax:conyad:v:61:y:2016:i:4:p:746-761

Access Statistics for this article

Contaduría y Administración is currently edited by Francisco López-Herrera (Editors in Chief)

More articles in Contaduría y Administración from Accounting and Management Contact information at EDIRC.
Bibliographic data for series maintained by Alberto García-Narvaez (Technical Editor) ().