Both prices and the volatility of storable agricultural commodity futures contracts have been rising since 2005 and particularly since 2007. This paper aims to answer two principal questions: (i) How has the behavior of these futures prices over time and across maturities changed with the rise...

Land is the most important agricultural asset. Income risk due to farmland price volatility creates economic hardship for rural communities. Although inflation explains much of the farmland valuation problem, it remains to some extent a puzzle. We use wavelet-based statistical methods supported...

Commodity cash and futures prices have been rising steadily since 2006. As evidenced by the April 2008 Commodity Futures Trading Commission Agricultural Forum, there is much concern among traditional futures and options market participants that the usefulness of commodity derivatives has been...

Commodity and energy prices have exhibited an unprecedented increase between October 2006 and July 2008, only to fall sharply during the last months of 2008. Many explanations have been offered to this phenomenon, including steadily increasing demand from China and India, large mandated...

The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been asource of hardship for traditional commodity market participants such as producers andmerchant/shippers. The usefulness of futures markets has been called into question, especiallygiven that some market...

Commodity cash and futures prices have been rising steadily since 2006. As evidenced by the April 2008 Commodity Futures Trading Commission Agricultural Forum, there is much concern among traditional futures and options market participants that the usefulness of commodity derivatives has been...

We estimate a model of common and commodity-specific, high- and low-frequency factors, built on the spline-GARCH model of Engle and Rangel (2008) to explain the period of exceptionally high price volatility in commodity markets during 2006-2008. We find that decomposing realized volatility into...

The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been a source of hardship for traditional commodity market participants such as producers and merchant/shippers. The usefulness of futures markets has been called into question, especially given that some market...

This paper analyzes the effect of the ACRE program adopted in the final version of the 2007 Farm Bill on the risk-reducing effectiveness of insurance products. To the best of our knowledge this is a first attempt to analyze the effect of the ACRE program on the risk management decisions of crop...

Commodity and energy prices have exhibited an unprecedented increase between October 2006 and July 2008, only to fall sharply during the last months of 2008. Many explanations have been offered to this phenomenon, including steadily increasing demand from China and India, large mandated...