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 language | English (US) |
|---|---|
| Pages (from-to) | 715-725 |
| Number of pages | 11 |
| Journal | Applied Economics |
| Volume | 41 |
| Issue number | 6 |
| DOIs | |
| State | Published - 2009 |
ASJC Scopus subject areas
- Economics and Econometrics