Multi-frequency downside risk interconnectedness between soft agricultural commodities

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In this article, we explore multiscale extreme risk interdependence between four soft agricultural markets - coffee, cocoa, cotton and orange juice. Wavelet correlation and cross-correlation are used to investigate this interlink, and dynamic conditional Value at Risk is used to measure extreme risk. Wavelet correlation results suggest a very weak connection between the markets in the short-term and midterm horizons, which means that investors who operate in the short term or midterm do not have to apply hedging measures against extreme risk. However, the situation is different in the long term, where relatively high correlations are found on the highest wavelet scale in all pairs, except coffee-cocoa. Complementary cross-correlation analysis indicates a lead-lag relationship between the markets. The results are mostly in line with expectations, as bigger markets lead smaller markets. Only in the cases of cocoa-cotton and cocoa-orange juice does the opposite happen. … celý popis

Podrobná bibliografie

Hlavní autor

Dejan Živkov

Další autoři

Boris Kuzman
Jonel Subić

Typ dokumentu

Články

Fyzický popis

10 ilustrací

Publikováno v

Agricultural Economics. -- ISSN 0139-570X. -- Roč. 69, č. 8 (2023), s. 332-342

Témata

WORLD MARKETS

COMMODITY MARKETS

INVESTMENT

Agricultural prices

PRICE ELASTICITIES

COFFEE

COCOA BEANS

COTTON

ORANGE JUICE

risk assessment

MARKET INFORMATION SERVICES

TIME SERIES ANALYSIS

vzájemné korelace

velikost trhu

dynamika cen

světové trhy

zbožní trhy

investice

ceny zemědělských produktů

cenová elasticita

káva

kakaové boby

bavlna

pomerančová šťáva

hodnocení rizika

tržní informace

analýza časových řad

více… méně…

Popis jednotky

5 grafů, 5 tabulek

Bibliografie

Seznam literatury na s. 341-342 (17 záznamů)