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Contaduría y administración

Print version ISSN 0186-1042


RONDINONE, Gonzalo  and  THOMASZ, Esteban Otto. Price risk in commodities: Sensitivity of agricultural commodities to interest rate shocks. Contad. Adm [online]. 2016, vol.61, n.4, pp.746-761. ISSN 0186-1042.

The aim of this study is to test the sensitivity of the price of agricultural commodities against shocks in the interest rate. The study will focus specifically on the case of soybeans and corn, analyzing if in recent years there have been changes in price sensitivity of prices to changes in interest rates. Using a vector autoregression model we will test the reaction of prices to changes in interest rates. Depending on the results, we resume some implications of the process, especially in relation to the impact on countries dependent on the export of agricultural commoditites.

Keywords : Price Risk; Agricultural commodities; Financialization; Autorregressive vector system.

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