What Drives Volatility Expectations in Grain Markets?

Michael K. Adjemian, Valentina G. Bruno and Michel Robe

No 285861, 2016 Conference, April 18-19, 2016, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: We analyze empirically the drivers of grain option-implied volatilities (IVs). Forward-looking uncertainty and risk aversion in equity market (jointly captured by the VIX) and the state of commodity inventories (proxied by the net cost of carry for each grain) have significant impacts on forward-looking volatility in the three largest U.S. agricultural markets: corn, soybeans, and wheat. We also find some evidence that financial speculation has an immediate but short-lived negative impact on grain Ivs.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2016-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:n13416:285861

DOI: 10.22004/ag.econ.285861

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