Next Article in Journal
Urban Shrinkage and Sustainability: Assessing the Nexus between Population Density, Urban Structures and Urban Sustainability
Next Article in Special Issue
Evaluation of Dust Concentration During Grinding Grain in Sustainable Agriculture
Previous Article in Journal
External Financing, R&D Intensity, and Firm Value in Biotechnology Companies
Previous Article in Special Issue
Health-Promoting Properties of Fresh and Processed Purple Cauliflower
Open AccessArticle

Modeling the Dependency between Extreme Prices of Selected Agricultural Products on the Derivatives Market Using the Linkage Function

1
Department of Economics and Organization of Enterprises, Cracow University of Economics, Krakow 31-510, Poland
2
Higher School of Economics and Computer Science in Krakow, Kraków 31-510, Poland
3
Department of International Management, Cracow University of Economics, Krakow 31-510, Poland
4
Institute of Agricultural Engineering and Informatics, University of Agriculture in Krakow, Krakow 30-149, Poland
5
Department of Agricultural and Environmental Chemistry, University of Agriculture in Krakow, Krakow 31-120, Poland
6
Department of Human Nutrition, Faculty of Food Technology, University of Agriculture in Krakow, Krakow 30-149, Poland
*
Author to whom correspondence should be addressed.
Sustainability 2019, 11(15), 4144; https://doi.org/10.3390/su11154144
Received: 4 June 2019 / Revised: 27 July 2019 / Accepted: 30 July 2019 / Published: 1 August 2019
(This article belongs to the Special Issue Sustainable Production in Food and Agriculture Engineering)
The purpose of the article is to identify and estimate the dependency model for the extreme prices of agricultural products listed on the Chicago Mercantile Exchange. The article presents the results of the first stage of research covering the time interval 1975–2010. The selected products are: Corn, soybean and wheat. The analysis of the dependency between extreme price values on the selected futures was based on the estimation of five models of two-dimensional extreme value copulas, namely, the Galambos copula, the Gumbel copula, the Husler–Reiss copula, the Tawn asymmetric copula and the t-EV copula. The next stage of the analysis was to test whether the structure of the dependency described with the estimated copulas is a sufficient approximation of reality, and whether it is suitable for modeling empirical data. The quality of matching the estimated copulas to empirical data of return rates of agricultural products was assessed. For this purpose, the Kendall coefficient was calculated, and the methodology of the empirical combining function was used. The conducted research allowed for the determination of the conduct for this kind of phenomena as it is crucial in the process of investing in derivatives markets. The analyzed phenomena are highly dependent on e.g., financial crises, war, or market speculation but also on drought, fires, rainfall, or even crop oversupply. The conducted analysis is of key importance in terms of balancing agricultural production on a global scale. It should be emphasized that conducting market analysis of agricultural products at the Chicago Mercantile Exchange in the context of competition with the agricultural market of the European Union is of significant importance. View Full-Text
Keywords: agricultural product; price; modeling; management agricultural product; price; modeling; management
MDPI and ACS Style

Gródek-Szostak, Z.; Malik, G.; Kajrunajtys, D.; Szeląg-Sikora, A.; Sikora, J.; Kuboń, M.; Niemiec, M.; Kapusta-Duch, J. Modeling the Dependency between Extreme Prices of Selected Agricultural Products on the Derivatives Market Using the Linkage Function. Sustainability 2019, 11, 4144.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Search more from Scilit
 
Search
Back to TopTop