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The effect of Brazilian corn and soybean crop expansion on price and volatility transmission

Author

Listed:
  • José César Cruz Junior

    (Federal University of Sao Carlos)

  • Daniel H D Capitani

    (University of Campinas)

  • Rodrigo L F Silveira

    (University of Campinas)

Abstract

This study aims to examine if the most recent changes in the Brazilian corn and soybean production have caused significant changes in prices and volatility transmission between Brazilian and U.S. markets. In addition to using econometric time-series methods tests to analyze price transmission among grain and oilseeds markets, we investigated the volatility spillover across U.S. and Brazil markets using causality in variance tests. Since structural break tests indicated the presence of one breakpoint, the sample was split in two periods: 1996-2006 and 2007-2014. Results suggest that the level of market integration has increased during the second period (2007-2014) with higher sensibility to price changes compared to the first period (1996-2006).

Suggested Citation

  • José César Cruz Junior & Daniel H D Capitani & Rodrigo L F Silveira, 2018. "The effect of Brazilian corn and soybean crop expansion on price and volatility transmission," Economics Bulletin, AccessEcon, vol. 38(4), pages 2273-2283.
    • Handle: RePEc:ebl:ecbull:eb-17-00408
    as

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    References listed on IDEAS

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    Cited by:

    1. Felipe Avileis & Mindy Mallory, 2021. "The Impact of Brazil on Global Grain Dynamics: A Study on Cross-Market Volatility Spillovers," Papers 2104.12706, arXiv.org.
    2. Felipe G. Avileis & Mindy L. Mallory, 2022. "The impact of Brazil on global grain dynamics: A study on cross‐market volatility spillovers," Agricultural Economics, International Association of Agricultural Economists, vol. 53(2), pages 231-245, March.

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    More about this item

    Keywords

    Corn; soybeans; price; volatility;
    All these keywords.

    JEL classification:

    • Q1 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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