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Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets

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  • Trujillo-Barrera, Andres
  • Mallory, Mindy L.
  • Garcia, Philip

Abstract

This article analyzes recent volatility spillovers in the United States from crude oil using futures prices. Crude oil spillovers to both corn and ethanol markets are somewhat similar in timing and magnitude, but moderately stronger to the ethanol market. The shares of corn and ethanol price variability directly attributed to volatility in the crude oil market are generally between 10%- 20%, but reached nearly 45% during the financial crisis, when world demand for oil changed dramatically. Volatility transmission is also found from the corn to the ethanol market, but not the opposite. The findings provide insights into the extent of volatility linkages among energy and agricultural markets in a period characterized by strong price variability and significant production of corn-based ethanol.

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Bibliographic Info

Article provided by Western Agricultural Economics Association in its journal Journal of Agricultural and Resource Economics.

Volume (Year): 37 (2012)
Issue (Month): 2 (August)
Pages:

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Handle: RePEc:ags:jlaare:134275

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Web page: http://waeaonline.org/
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Related research

Keywords: biofuels; corn; crude oil; energy-agricultural co-movements; ethanol; multivariate GARCH; volatility spillovers; Crop Production/Industries;

References

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  3. Mindy L. Mallory & Dermot J. Hayes & Scott H. Irwin, 2010. "How Market Efficiency and the Theory of Storage Link Corn and Ethanol Markets," Center for Agricultural and Rural Development (CARD) Publications 10-wp517, Center for Agricultural and Rural Development (CARD) at Iowa State University.
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Citations

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Cited by:
  1. Papież, Monika, 2014. "A dynamic analysis of causality between prices of corn, crude oil and ethanol," MPRA Paper 56540, University Library of Munich, Germany.
  2. Natanelov, Valeri & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2013. "Crude oil–corn–ethanol – nexus: A contextual approach," Energy Policy, Elsevier, vol. 63(C), pages 504-513.
  3. Serra, Teresa & Zilberman, David, 2013. "Biofuel-related price transmission literature: A review," Energy Economics, Elsevier, vol. 37(C), pages 141-151.
  4. Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip, 2013. "Dissecting Corn Price Movements with Directed Acyclic Graphs," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 151279, Agricultural and Applied Economics Association.
  5. Karel Janda & Ladislav Kristoufek & David Zilberman, 2011. "Modeling the Environmental and Socio-Economic Impacts of Biofuels," Working Papers IES 2011/33, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2011.

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