EXTREME PRICE RISK ON THE MARKET OF RAPESEEDS AND PROCESSED RAPESEED PRODUCTS IN POLAND

We can observe increasing volatility in rapeseed prices caused by the progressing process of globalisation in the turnover and processing of this raw material. It increases the exposure of rapeseed-producing entities and rapeseed-processing enterprises to price risk. The aim of this study is to assess the extreme price risk on the market of rapeseeds and processed rapeseed products in Poland. The study was based on average weekly rapeseed purchase prices and sales prices of refined rapeseed oil, rapeseed meal and rapeseed oilcake from 3 January 2005 and 19 April 2015. Extreme risk was measured with two measures: value at risk and expected shortfall. Extreme value theory was also applied. The research findings point to differences in the level of risk on the market of rapeseeds and processed rapeseed products.


Variant title:
EKSTREMALNE RYZYKO CENOWE NA RYNKU RZEPAKU I PRODUKTÓW PRZEROBU RZEPAKU W POLSCE
Issue Date:
2015-10
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/233387
Published in:
Roczniki (Annals), 2015
Number 5
Roczniki (Annals)
2015
Page range:
91-98




 Record created 2017-04-01, last modified 2017-08-29

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