Journal of Futures Markets,
Год журнала:
2023,
Номер
44(2), С. 151 - 217
Опубликована: Окт. 17, 2023
Abstract
This
study
investigates
the
potential
effects
of
environmental
factors
on
fluctuations
in
agricultural
commodity
futures
markets,
by
constructing
a
new
category
daily
exogenous
predictors
related
to
air
pollution,
weather,
climate
change,
and
investor
attention.
The
empirical
results
from
out‐of‐sample
analyses
suggest
that
heterogeneous
autoregressive
(HAR)
model
incorporating
all
these
is
more
likely
outperform
other
HAR‐type
models.
Additionally,
economic
evaluations
demonstrate
superior
performance
models
investors'
attention
change
or
extreme
weather
as
predictors.
While
not
are
equally
important
for
volatility
forecasts,
adopting
appropriate
variable
selection
methods
handle
different
sets
can
lead
better
than
HAR
benchmark.
With
inclusion
pollution
model,
portfolio
with
an
annualized
average
excess
return
16.2068%
Sharpe
ratio
10.0431
be
achieved
wheat
futures,
respectively.
American Journal of Agricultural Economics,
Год журнала:
2023,
Номер
106(3), С. 989 - 1019
Опубликована: Июль 10, 2023
Abstract
A
large
literature
has
assessed
the
impacts
of
climate
change
on
agricultural
production
by
estimating
reduced‐form
models
crop
yields
conditionally
weather
and
individual
fixed
effects.
The
estimates
obtained
are
usually
interpreted
as
once
farmers
have
adapted
.
Yet,
few
attempts
documented
that
do
adapt
to
weather,
none
verified
these
adjustments
actually
impact
yields.
Our
objective
here
is
unpack
how
affects
developing
a
structural
model
explicitly
accounts
for
both
plants'
biophysical
farmers'
behavioral
responses
weather.
Considering
adaptation
during
growing
season
through
fertilizer
pesticide
applications,
our
approach
allows
us
distinguish
“direct”
effects
(i.e.,
agronomic
changes
plant
growth
per
se)
from
“indirect”
via
input
choices
impacts).
We
estimate
underlying
using
farm‐level
data
Meuse
French
department,
which
provides
details
uses
crop.
show
indicate
similar
yields,
range
sensitivity
analyses.
sizable
reduce
projected
damage
change.
In
illustrative
case,
offsets
between
one‐quarter
two‐thirds
negative
future
warming
analyses
exhibit
commonly
used
inherently
capture
within‐season
