2017
DOI: 10.1590/1234-56781806-94790550306
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Measurement of Commodity Price Risk: an overview of Brazilian agricultural markets

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 … Show more

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Cited by 3 publications
(3 citation statements)
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“…Poorly informed farmers may not be able to adopt risk protection mechanisms, leading to inefficient production and marketing decisions. The findings are in line with Kisaka-Lwayo and Ajuruchkwu (2012), Achandi and Mujawamariya (2016), Capitani andMattos (2017), andAsravor (2018), who argued that uninformed farmer is willing to accept whichever price is offered by the buyer who comes to the village. Furthermore, access to warehousing facilities helps farmers manage price risk by storing and selling during periods when prices are reasonably higher.…”
Section: Factors Affecting Utilization Of Risk Management Strategies By Rice Farmerssupporting
confidence: 87%
See 1 more Smart Citation
“…Poorly informed farmers may not be able to adopt risk protection mechanisms, leading to inefficient production and marketing decisions. The findings are in line with Kisaka-Lwayo and Ajuruchkwu (2012), Achandi and Mujawamariya (2016), Capitani andMattos (2017), andAsravor (2018), who argued that uninformed farmer is willing to accept whichever price is offered by the buyer who comes to the village. Furthermore, access to warehousing facilities helps farmers manage price risk by storing and selling during periods when prices are reasonably higher.…”
Section: Factors Affecting Utilization Of Risk Management Strategies By Rice Farmerssupporting
confidence: 87%
“…Indeed, the risk of rice price variations can be minimized through better planning of the marketing activities and the adoption of protection strategies. However, with a few exceptions, the use of formal methods of analysis and protection against price risks has been little observed (Capitani & Mattos, 2017;Pochara, 2012;Sirisupluxana & Bunyasiri, 2018;World Bank, 2014). In this context, studying the perceptions and responses of smallholders to price risk is essential for the formulation of appropriate policies and strategies to minimize the impacts of price fluctuations.…”
Section: Introductionmentioning
confidence: 99%
“…For instance, Champika 190 University of Economics -Varna, Bulgaria T (2016) [4] established that farmers in some communities formulate their expectations regarding prices and take decisions on the type of products to produce based on the price during the previous year, the costs for production, the resilience of the crop to climate changes, the influence of their colleagues and past experience. Capitani and Mattos (2017) [5] discuss that the expectations of farmers are influenced by the costs for production and by the minimum prices established by the government.…”
Section: Theoretical Frameworkmentioning
confidence: 99%