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Analysis of the risk premium in the forward market for salmon

Benth, Fred Espen; Eikeset, Anne Maria; Levin, Simon A.; Ren, Wanjuan
Journal article; SubmittedVersion
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salmon_futures_submit-JCOMM.pdf (326.3Kb)
Year
2021
Permanent link
http://urn.nb.no/URN:NBN:no-87701

CRIStin
1886122

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Appears in the following Collection
  • Matematisk institutt [2702]
  • Institutt for biovitenskap [1596]
  • CRIStin høstingsarkiv [22491]
Original version
Journal of Commodity Markets. 2021, 21:100122, DOI: https://doi.org/10.1016/j.jcomm.2019.100122
Abstract
We analyse forward prices observed at the Fishpool market, and propose a two-factor continuous-time stochastic process for modelling the time dynamics. The data analysis reveals that the two factors can be assumed to be a non-stationary compound Poisson process and a stationary continuous-time autoregressive dynamics, describing the bumps observed in the forward curves. We use the model to analyse the risk premium in the forward markets, and find a negative premium in the long end of the market which is in line with the theory of normal backwardation. However, contracts with short time to maturity have a risk premium with randomly changing sign, pointing towards a hedging pressure also induced by the demand-side of the market.
 
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