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, Xinyue He College of Economics and Management, Huazhong Agricultural University , China Search for other works by this author on: Oxford Academic Siyu Bian College of Economics and Management, Huazhong Agricultural University , China *Corresponding author: E-mail: sbian3@mail.hzau.edu.cn Search for other works by this author on: Oxford Academic Teresa Serra Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign , USA Search for other works by this author on: Oxford Academic
https://orcid.org/0000-0002-3033-3477 European Review of Agricultural Economics, Volume 50, Issue 4, September 2023, Pages 1428–1452, https://doi.org/10.1093/erae/jbad026
Published:
27 July 2023
Article history
Received:
25 October 2022
Revision received:
29 May 2023
Editorial decision:
06 July 2023
Accepted:
13 July 2023
Corrected and typeset:
27 July 2023
Published:
27 July 2023
A correction has been published: European Review of Agricultural Economics, Volume 50, Issue 5, December 2023, Page 1849, https://doi.org/10.1093/erae/jbad034
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Xinyue He, Siyu Bian, Teresa Serra, The pricing ofvariance risks inagricultural futures markets: do jumps matter?, European Review of Agricultural Economics, Volume 50, Issue 4, September 2023, Pages 1428–1452, https://doi.org/10.1093/erae/jbad026
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Abstract
The existence of a negative variance risk premium on agricultural futures contracts suggests that market participants pay to hedge unexpected increases in the volatility of these contracts. In this paper, we decompose the variance risk premium in corn and soybeans markets into jump and diffusive components using options and futures data from 2009 to 2021. We find that market participants on average only pay to hedge unexpected increases in jump volatility but not those in diffusive volatility. Furthermore, growing season uncertainty and the arrival of United States Department of Agriculture (USDA) announcements play important roles in driving the market’s fear of unexpectedly large price jumps.
© The Author(s) 2023. Published by Oxford University Press on behalf of the Foundation for the European Review of Agricultural Economics. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com
This article is published and distributed under the terms of the Oxford University Press, Standard Journals Publication Model (https://academic.oup.com/pages/standard-publication-reuse-rights)
JEL
Q02 - Commodity Markets Q13 - Agricultural Markets and Marketing; Cooperatives; Agribusiness
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