Crop Price Comovements During Extreme Market Downturns

David M. Zimmer
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引用次数: 8

Abstract

type="main" xml:id="ajar12119-abs-0001"> This study develops and estimates mixture models of crop price comovements using copula functions, which allow for departures from normality during extreme market circumstances. The models also account for unique time-series patterns inherent in crop price data. The results point to two main conclusions. First, mixture models appear to provide an easy-to-estimate approach for capturing real-life crop price movements. Second, mixture models find that, during extreme market downswings, correlations in price movements strengthen by several orders of magnitude. These results suggest that structured securities assembled from different crops tend to lose diversified protection during extreme market downswings, the exact times when such protection is needed most.
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极端市场低迷时期的农作物价格变动
type="main" xml:id="ajar12119-abs-0001">本研究使用copula函数开发和估计作物价格变动的混合模型,该模型允许在极端市场环境下偏离常态。这些模型还解释了农作物价格数据中固有的独特时间序列模式。研究结果指向两个主要结论。首先,混合模型似乎提供了一种易于估计的方法来捕捉现实生活中的农作物价格变动。其次,混合模型发现,在市场极端下跌期间,价格变动的相关性会增强几个数量级。这些结果表明,由不同作物组合而成的结构性证券往往会在市场极端下跌时失去多样化的保护,而这恰恰是最需要这种保护的时候。
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