Time-varying risk premium: Further evidence in agricultural futures markets

J. Frank, P. Garcia

Research output: Contribution to journalArticlepeer-review

Abstract

Research has provided mixed results regarding the presence of a time-varying risk premium in agricultural futures markets. In this article we test for the presence of a time-varying risk premium focusing on the properties of the underlying data. Our results show that accounting for the structural break in the 1970s plays a key role in the findings. In contrast to recent research, we find only limited evidence of time-varying risk premium. For a two-month horizon the corn, soybean meal and hog markets show no signs of a risk premium, while very weak support for a time-varying premium emerges in live cattle. For the four-month horizon, no evidence of a time-varying risk premium appears for any of the markets.

Original languageEnglish (US)
Pages (from-to)715-725
Number of pages11
JournalApplied Economics
Volume41
Issue number6
DOIs
StatePublished - 2009

ASJC Scopus subject areas

  • Economics and Econometrics

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