IDEAS home Printed from https://ideas.repec.org/p/ags/eaa113/58136.html
   My bibliography  Save this paper

Corn Price Behavior – Volatility transmission during the boom on futures Markets

Author

Listed:
  • Ledebur, Oliver von
  • Schmitz, Jochen

Abstract

Since 2000 a number of factors impacted agricultural markets drastically. Among these are structural changes in global demand and repeated supply constraints that supported the observed positive development of agricultural prices. Given the increasingly interdependent global markets, the question arises of in how far an isolated view of a single market, when analysing price volatility, is sufficient? The paper is a contribution to the debate on the recent commodity price bubble and the relationship among commodity futures markets for agricultural raw materials. More particularly, the transmission of price volatility between commodity future markets is analysed. The background question is whether and to what extent the volatility of agricultural commodity prices at different market places have been transferred during the drastic price changes of 2008. In this analysis the volatility of the maize future price at three different commodity futures exchange is modelled as a multivariate GARCH - process. By doing so, interactions between stock markets in different venues are incorporated. The results of the econometric analysis are discussed against the background of the developments in agricultural and biofuel policy.

Suggested Citation

  • Ledebur, Oliver von & Schmitz, Jochen, 2009. "Corn Price Behavior – Volatility transmission during the boom on futures Markets," 113th Seminar, September 3-6, 2009, Chania, Crete, Greece 58136, European Association of Agricultural Economists.
    • Handle: RePEc:ags:eaa113:58136
    DOI: 10.22004/ag.econ.58136
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/58136/files/VonLedebur.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.58136?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Manuel A. Hernandez & Raul Ibarra & Danilo R. Trupkin, 2014. "How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 41(2), pages 301-325.
    2. Lee , Hyun-Hoon & Park, Cyn-Young, 2013. "International Transmission of Food Prices and Volatilities: A Panel Analysis," ADB Economics Working Paper Series 373, Asian Development Bank.
    3. Francisco Ortiz Arango & Alma Nelly Montiel Guzmán, 2017. "Transmission of future prices of corn of the Chicago Board of Trade to the Mexican spot market," Contaduría y Administración, Accounting and Management, vol. 62(3), pages 941-957, Julio-Sep.
    4. Beckmann, Joscha & Czudaj, Robert, 2014. "Volatility transmission in agricultural futures markets," Economic Modelling, Elsevier, vol. 36(C), pages 541-546.

    More about this item

    Keywords

    Agricultural and Food Policy;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:eaa113:58136. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/eaaeeea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.