Global agricultural commodity market responses to extreme weather

Global dynamics in a commodity market model

We study the global behavior of the price dynamics in a commodity market governed by a balance between demand and supply. While the dependence of demand on price is considered instantaneous, the supply term contains a delay, leading to a delay–differential equation. A discrete model is naturally defined as a limit case of this equation. We provide a thorough study of the discrete case, and use ...

Extreme Global Equity Market Risk JOHN COTTER

Extreme asset price movements appear to be more pronounced over time and have major consequences for an economy’s financial stability and monetary policies. This paper investigates the extreme behaviour of equity market returns and quantifies the probabilities of these losses. Taking fourteen major equity markets the study illustrates similarities and divergences in the tail returns from around...

Market Efficiency and Volatility Spillovers in Futures and Spot Commodity Market: The Agricultural Sector Perspective

Future contracts in commodity market with limited maturities are primarily used for hedging commodity price-fluctuation risks or for taking advantage of price movements, rather than for the buying or selling of the actual cash commodity. This paper is an effort to analyze the market efficiency of the Indian commodity market and volatility spillover effects between the spot and future market wit...

Computing Global Strategies for Multi-Market Commodity Trading

The focus of this work is the computation of efficient strategies for commodity trading in a multi-market environment. In today’s "global economy" commodities are often bought in one location and then sold (right away, or after some storage period) in different markets. Thus, a trading decision in one location must be based on expectations about future price curves in all other relevant markets...

Private sector investments to create market-supporting institutions: The case of Malawian Agricultural Commodity Exchange