What are the risks of food price changes? A time series analysis

Øyvind Hoveid


It is a widely held belief (IPCC) that climate change brings
more risks to the world
I Since the start of MACSUR, TradeM has had risk on the
agenda, but few results have so far come out. It has been
claimed though, that there is no evidence for more risk in the
global wheat market (Steen and Gjølberg 2014) (TradeM
workshop at Hurdalssjøen)
I I have myself had the ambition of creating a dynamic
stochastic model of the food system in which risk would be an
integral part, but time has been too short
I I have also pointed to methods from finance to reveal insights,
and that is the road to be followed here, guided by Bølviken &
Benth (2000)


Buyer’s risk larger than seller’s risk — due to asymmetric
distribution of returns. Large price jumps are more likely than
equally sized price falls.
I Long term positions much more risky than short term ones —
as expected
I Agricultural commodities much less risky than crude oil
I Price risk are related to volatility, and their changes over time
will have similar causal explanations
I Risks of producers and consumers of agricultural commodities
will to some extent be related to the price risk, and also to
their portfolios and the co-variance between returns

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