Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets
研究了农产品期货市场价格飙升的可预测性，发现远期价差是玉米、小麦和大豆价格跳涨的最显著指标，期权隐含变量能增强预测能力。
Abstract We examine empirically the predictability of conditions associated with a higher probability of a price spike in agricultural commodity markets. We find that the forward spread is the most significant indicator of probable price jumps in maize, wheat and soybeans futures markets, a result which is in line with the ‘Theory of Storage’. We additionally show that some option‐implied variables add significant predictive power when added to the more standard information variable set. Overall, the estimated probabilities of large price increases from our probit models exhibit significant correlations with historical sudden market upheavals in agricultural markets.