The pricing of variance risks in agricultural futures markets: do jumps matter?

IF 3.3 2区经济学 Q2 AGRICULTURAL ECONOMICS & POLICY

European Review of Agricultural Economics Pub Date : 2023-07-27 DOI:10.1093/erae/jbad026

Xinyue He, Siyu Bian, Teresa Serra

引用次数: 0

Abstract

The existence of a negative variance risk premium on agricultural futures contracts suggests that market participants pay to hedge unexpected increases in the volatility of these contracts. In this paper, we decompose the variance risk premium in corn and soybeans markets into jump and diffusive components using options and futures data from 2009 to 2021. We find that market participants on average only pay to hedge unexpected increases in jump volatility but not those in diffusive volatility. Furthermore, growing season uncertainty and the arrival of United States Department of Agriculture (USDA) announcements play important roles in driving the market’s fear of unexpectedly large price jumps.

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农产品期货市场方差风险的定价:跳跃重要吗?

农业期货合约负方差风险溢价的存在表明，市场参与者为对冲这些合约波动性的意外增加而付费。在本文中，我们使用2009年至2021年的期权和期货数据，将玉米和大豆市场的方差风险溢价分解为跳跃和扩散分量。我们发现，市场参与者平均只为对冲跳跃波动性的意外增加而付费，而不是扩散波动性的增加。此外，季节的不确定性和美国农业部（USDA）公告的到来，在推动市场对价格意外大幅上涨的担忧方面发挥了重要作用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

European Review of Agricultural Economics 管理科学-农业经济与政策

CiteScore

6.60

自引率

5.90%

发文量

审稿时长

>24 weeks

期刊介绍： The European Review of Agricultural Economics serves as a forum for innovative theoretical and applied agricultural economics research. The ERAE strives for balanced coverage of economic issues within the broad subject matter of agricultural and food production, consumption and trade, rural development, and resource use and conservation. Topics of specific interest include multiple roles of agriculture; trade and development; industrial organisation of the food sector; institutional dynamics; consumer behaviour; sustainable resource use; bioenergy; agricultural, agri-environmental and rural policy; specific European issues. Methodological articles are welcome. All published papers are at least double peer reviewed and must show originality and innovation. The ERAE also publishes book reviews.