Volatility transmission in agricultural futures markets
AbstractAfter the huge rise and fall of agricultural commodity spot and futures prices between 2007 and 2008, the potential reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the academic literature. However, owing to the increasing interdependence of global markets, an isolated examination of single futures markets does not seem to be appropriate. Therefore, the aim of this study is to investigate the volatility spillover between various agricultural futures markets from a new perspective. To do this, we use data for the prices of first nearby futures contracts for corn, cotton, and wheat and estimate GARCH-in-mean VAR models in the tradition of Elder (2003). Our results provide evidence in favor of an existing short-run volatility transmission process in agricultural futures markets.
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Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 36 (2014)
Issue (Month): C ()
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Web page: http://www.elsevier.com/locate/inca/30411
Agriculture; Commodities; Futures markets; GARCH-in-mean VAR; Volatility;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
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