We examine empirically the predictability of conditions associated with a higher probability of a price spike in agricultural commodity markets. We find that the forward spread is the most significant indicator of probable price jumps in maize, wheat and soybeans futures markets, a result which is in line with the ‘Theory of Storage’. We additionally show that some option‐implied variables add significant predictive power when added to the more standard information variable set. Overall, the estimated probabilities of large price increases from our probit models exhibit significant correlations with historical sudden market upheavals in agricultural markets.

中文翻译：

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评估农产品市场价格上涨的脆弱性

我们从经验上检验了与农产品市场价格上涨可能性较高相关的条件的可预测性。我们发现，远期价差是玉米，小麦和大豆期货市场价格可能大幅上涨的最重要指标，这一结果与“存储理论”相符。我们还显示，某些选项隐含变量在添加到更标准的信息变量集时会增加重要的预测能力。总体而言，根据我们的概率模型估算的价格大幅上涨的可能性与农业市场历史上的突然市场动荡有着显着的相关性。