Riesgo de precio en commodities: ¿profundización en la sensibilidad de precios agrícolas ante shocks de tasa de interés?

• Gonzalo Rondinone ^[1] ; Esteban Otto Thomasz ^[1]
  1. [1] Universidad de Buenos Aires

     Universidad de Buenos Aires

     Argentina

     
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 61, Nº. 4, 2016, págs. 746-761
• Idioma: español
• DOI: 10.1016/j.cya.2016.02.002
• Títulos paralelos:
  • Price risk in commodities: Sensitivity of agricultural commodities to interest rate shocks?
• Enlaces
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• Dialnet Métricas: 2 Citas
• Resumen
  • español

    El objetivo de este trabajo es someter a prueba el nivel de sensibilidad del precio de commodities agrícolas frente a shocks en la tasa de interés. El estudio se centrará específicamente en el caso del poroto de soja y del maíz, y mediante un sistema de vectores autorregresivos se evaluará la reacción de los precios ante alteraciones en la tasa de interés. En función de los resultados alcanzados, se esbozan algunas implicaciones que puede tener el proceso, sobre todo en relación con el impacto en países dependientes de la exportación de materias primas.

  • English

    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.

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