3.01 Tesis magíster

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Risk premium structure of agricultural commodities
(2023) Pérez Zañartu, José Antonio; Cortázar S., Gonzalo; Pontificia Universidad Católica de Chile. Escuela de Ingeniería
In this thesis, a dynamic pricing model is developed, which uses both futures prices and expert price expectations to model the risk premium for corn, soybeans, and wheat. The price structures of agricultural commodities are determined by their harvest cycles, having similarities and differences between marketing crop years. This is considered, giving each crop year partial independence with respect to its response singularities of supply and demand shocks, in such a way as to capture the time-varying seasonal patterns, characteristic of agricultural commodities. The version of the model with five stochastic state variables is implemented, where two of them are activated depending on the number of crop years to expiration. Risk premium estimations are obtained, which depend on the horizon and number of crop years to expiration. The model shows different results for corn, soybeans and soft red winter wheat.