MEASURING PRICE RISK IN COMMODITY MARKETS

• Authors: Figiel Szczepan , Hamulczuk Mariusz
• Languages of publication: EN

Abstracts

EN

In the article concepts of price uncertainty and risk as well as econometric methods useful in measuring this type of risk are briefly discussed. Four the most frequently used approaches and related methods of measuring price risk in commodity markets were characterized and their potential application was empirically illustrated on the example of wheat market in Poland. Results of the analysis carried out showed that predictable and unpredictable components of the price series should be distinguished to properly evaluate real risk exposure. Some noticeable changes in the volatility of the wheat prices over the analyzed period indicate that exposure to the price risk in Polish wheat market after accession to the EU has increased.

Keywords

EN

COMMODITY MARKETS; MEASUREMENT METHODS; POLISH WHEAT MARKET; PRICE RISK

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Uniwersytet Warmińsko-Mazurski w Olsztynie
• Journal: Olsztyn Economic Journal
• Year: 2010
• Volume: 5
• Issue: 2
• Pages: 380-394
• Document type: ARTICLE

Contributors

author

Figiel Szczepan

author

Hamulczuk Mariusz

• Szczepan Figiel, Department of Market Analysis and Marketing, University of Warmia and Mazury in Olsztyn, Poland

Identifiers

CEJSH db identifier

11PLAAAA091415