Modeling the Dependency between Extreme Prices of Selected Agricultural Products on the Derivatives Market Using the Linkage Function

Zofia Gródek-Szostak , Gabriela Malik , Danuta Kajrunajtys , Anna Szeląg-Sikora , Jakub Sikora , Maciej Kuboń , Marcin Niemiec , Joanna Kapusta-Duch

Abstract

The purpose of the article is to identify and estimate the dependency model for the extreme prices of agricultural products listed on the Chicago Mercantile Exchange. The article presents the results of the first stage of research covering the time interval 1975–2010. The selected products are: Corn, soybean and wheat. The analysis of the dependency between extreme price values on the selected futures was based on the estimation of five models of two-dimensional extreme value copulas, namely, the Galambos copula, the Gumbel copula, the Husler–Reiss copula, the Tawn asymmetric copula and the t-EV copula. The next stage of the analysis was to test whether the structure of the dependency described with the estimated copulas is a sucient approximation of reality, and whether it is suitable for modeling empirical data. The quality of matching the estimated copulas to empirical data of return rates of agricultural products was assessed. For this purpose, the Kendall coecient was calculated, and the methodology of the empirical combining function was used. The conducted research allowed for the determination of the conduct for this kind of phenomena as it is crucial in the process of investing in derivatives markets. The analyzed phenomena are highly dependent on e.g., financial crises, war, or market speculation but also on drought, fires, rainfall, or even crop oversupply. The conducted analysis is of key importance in terms of balancing agricultural production on a global scale. It should be emphasized that conducting market analysis of agricultural products at the Chicago Mercantile Exchange in the context of competition with the agricultural market of the European Union is of significant importance.
Author Zofia Gródek-Szostak
Zofia Gródek-Szostak,,
-
, Gabriela Malik
Gabriela Malik,,
-
, Danuta Kajrunajtys
Danuta Kajrunajtys,,
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, Anna Szeląg-Sikora (FoPaPE / IoAEaI)
Anna Szeląg-Sikora,,
- Institute of Agricultural Engineering and Informatics
, Jakub Sikora (FoPaPE / IoAEaI)
Jakub Sikora,,
- Institute of Agricultural Engineering and Informatics
, Maciej Kuboń (FoPaPE / IoAEaI)
Maciej Kuboń,,
- Institute of Agricultural Engineering and Informatics
, Marcin Niemiec (FoAE / DoAaECh)
Marcin Niemiec,,
- Department of Agricultural and Environmental Chemistry
, Joanna Kapusta-Duch (FoFT / DoHN)
Joanna Kapusta-Duch,,
- Department of Human Nutrition
Journal seriesSustainability, ISSN 2071-1050, (N/A 70 pkt)
Issue year2019
Vol11
No15
Pages1-14
Publication size in sheets0.65
Article number4144
Keywords in Englishagricultural product; price; modeling; management
ASJC Classification3305 Geography, Planning and Development; 2105 Renewable Energy, Sustainability and the Environment; 2308 Management, Monitoring, Policy and Law
DOIDOI:10.3390/su11154144
URL https://www.mdpi.com/2071-1050/11/15/4144/pdf
Internal identifierWTŻ/2019/59
Languageen angielski
LicenseJournal (articles only); author's original; Uznanie Autorstwa (CC-BY); after publication
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Modeling the Dependency between Extreme Prices of Selected Agricultural Products on the Derivatives Market Using the Linkage Function of 06-08-2019
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Score (nominal)70
Score sourcejournalList
Publication indicators WoS Citations = 1; Scopus SNIP (Source Normalised Impact per Paper): 2016 = 0.911; WoS Impact Factor: 2018 = 2.592 (2) - 2018=2.801 (5)
Citation count*
Additional fields
FinansowanieThe Project has been financed by the Ministry of Science and Higher Education within “Regional Initiative of Excellence” Programme for 2019–2022. Project no.: 021/RID/2018/19. Total financing: 11 897 131,40 PLN.
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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