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...

We study the effects of political uncertainty on commodity markets from both theoretical and empirical perspectives. Consistent with our theoretical predictions, commodity prices and inventories decline by 6.6% and 5.7%, respectively, and convenience yields increase by 1.9% in the quarter...

This article reviews the literature on commodities from the perspective of an investor. We re-examine some of the early papers in the literature using recent data and find that the empirical support for the theory of normal backwardation as an explanation for the commodity risk premium is weak...

This paper explores the extent to which commodity prices can predict GDP growth rates of various countries using indices of 27 commonly traded commodity futures. Commodity returns can strongly predict the next quarter's GDP growth, while the basis shows a reasonable level of predictive power....

This paper reviews the literature on commodities from the perspective of an investor. We re-examine some of the early papers in the literature using recent data, and find that the empirical support for the Theory of Normal Backwardation as an explanation for the commodity risk premium is weak,...