This study examines the role of price competitiveness and foreign activity in Ghana’s export performance. Using an augmented VAR model in conjunction with modified Wald tests, causal relationships are tested between real effective exchange rates, foreign GDP and both total and agricultural...

This paper measures the impact of bilateral exchange rates, the world agricultural GDP and third-country exchange rate volatilities (Yen/USD and Euro/USD) on the BRICS agricultural exports using a vector autoregressive (VAR) model. Two measures of volatility are used: the standard deviation and...

Purpose – The purpose of this paper is to test for bubbles in the US hard red spring (HRS) wheat market from 2004 to 2014, with particular focus on 2007-2008 when the market experienced record-high price volatility. Design/methodology/approach – The authors apply a recently developed bubble...

This article investigates the pricing of volatility risk in agricultural commodity markets. We show theoretically that the cost of bearing volatility risk can be measured using returns to delta-neutral straddles. Using a sample of options for five commodities (corn, soybeans, Chicago wheat, live...