Revista de Economia e Sociologia Rural
https://app.periodikos.com.br/journal/resr/article/doi/10.1590/1234-56781806-94790550306
Revista de Economia e Sociologia Rural
Artigo original

Measurement of Commodity Price Risk: an overview of Brazilian agricultural markets

Daniel Henrique Dario Capitani; Fabio Mattos

http://dx.doi.org/10.1590/1234-56781806-94790550306 resr, vol.55, n3, p.515-532, 2017
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Abstract

Abstract:: This study explores different procedures to estimate price risk in commodity markets. Focusing on Brazilian agricultural markets, the paper proposes to assess both dispersion and downside risk measures using five different approaches (volatility, coefficient of variation, lower partial moments, value at risk and conditional value at risk). Results suggest that some commodities have large price variability but small downside risk, while other commodities show small price variability and large downside risk. Thus, there is no single answer to the question of which commodity exhibits more price risk, but rather distinct answers depending on how risk is perceived by different individuals. These findings are relevant for agents in the agricultural industry as they affect marketing and risk management decisions and for policy makers involved in support programs to agriculture.

Keywords

Commodity price, risk, volatility, downside risk.

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