Extreme price moves: an INGARCH approach to model coexceedances in commodity markets

The market response to government crop news under different release regimes

Bernardina Algieri and Arturo Leccadito

European Review of Agricultural Economics, 2021, vol. 48, issue 4, 878-914

Abstract: This study presents a set of integer-valued generalised autoregressive conditional heteroskedastic models to identify possible transmission channels of joint extreme price moves (coexceedances) across a group of agricultural commodities. These models are very useful to identify factors affecting joint tail events and they are superior in terms of goodness of fit to models without autoregressive components. Emerging market demand, crude oil, exchange rate, stock market conditions and credit spread explain extreme joint returns. Psychological factors and the Monday effect play a role in affecting extreme events, while weather anomalies (El Niño and La Niña episodes) do not have explanatory power.

Keywords: coexceedance; commodities; extreme returns; INGARCH models (search for similar items in EconPapers)
Date: 2021
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