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How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

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  • Hernandez, Manuel A.
  • Ibarra, Raul
  • Trupkin, Danilo R.

Abstract

This paper examines the dynamics of volatility across major global exchanges for corn, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach and account for the potential bias that may arise when considering exchanges with different closing times. The results indicate that agricultural markets are highly interrelated and there are both own- and cross-volatility spillovers and dependence among most of the exchanges. Chicago particularly plays a major role in terms of spillover effects over other markets. Additionally, the level of interdependence between exchanges has only increased in recent years for some commodities.

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Bibliographic Info

Paper provided by European Association of Agricultural Economists in its series 123rd Seminar, February 23-24, 2012, Dublin, Ireland with number 122511.

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Date of creation: 23 Feb 2012
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Handle: RePEc:ags:eaa123:122511

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Keywords: Volatility transmission; agricultural commodities; futures markets; Multivariate GARCH; Risk and Uncertainty; Q11; G15; C32;

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Citations

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Cited by:
  1. Hernandez, Manuel A. & Ibarra, Raul & Trupkin, Danilo R., 2011. "How far do shocks move across borders?: Examining volatility transmission in major agricultural futures markets," IFPRI discussion papers 1109, International Food Policy Research Institute (IFPRI).
  2. Gardebroek, Cornelis & Hernandez, Manuel A., 2012. "Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122476, European Association of Agricultural Economists.
  3. Prasad, Sanjay K. & Pullabhotla, Hemant & Ganesh-Kumar, A., 2011. "Supply and demand for cereals in Nepal, 2010–2030:," IFPRI discussion papers 1120, International Food Policy Research Institute (IFPRI).
  4. Laborde, David & Martin, Will & van der Mensbrugghe, Dominique, 2011. "Measuring the impacts of global trade reform with optimal aggregators of distortions," Policy Research Working Paper Series 5665, The World Bank.
  5. Yu, Bingxin & Nin-Pratt, Alejandro & Funes, José & Gemessa, Sinafikeh Asrat, 2011. "Cereal production and technology adoption in Ethiopia:," IFPRI discussion papers 1131, International Food Policy Research Institute (IFPRI).
  6. Glendenning, Claire J. & Asenso-Okyere, Kwadwo & Babu, Suresh C., 2011. "Evaluation of value-added agricultural advisory services: Case study of agriclinics in Southern India," IFPRI discussion papers 1125, International Food Policy Research Institute (IFPRI).
  7. Cai, Ximing & Yang, Yi-Chen E. & Zhao, Jianshi & Ringler, Claudia, 2011. "Can water allocation in the Yellow River basin be improved?: Insights from a multi-agent system model," IFPRI discussion papers 1117, International Food Policy Research Institute (IFPRI).
  8. de Brauw, Alan & Gilligan, Daniel, 2011. "Using the regression discontinuity design with implicit partitions: The impacts of comunidades solidarias rurales on schooling in El Salvador," IFPRI discussion papers 1116, International Food Policy Research Institute (IFPRI).
  9. Gardebroek, Cornelis & Hernandez, Manuel A. & Robles, Miguel, 2013. "Market interdependence and volatility transmission among major crops," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150119, Agricultural and Applied Economics Association.
  10. Morley, Samuel & Piñeiro, Valeria & Robinson, Sherman, 2011. "A dynamic computable general equilibrium model with working capital for Honduras:," IFPRI discussion papers 1130, International Food Policy Research Institute (IFPRI).
  11. Kalkuhl, Matthias, 2014. "How Strong Do Global Commodity Prices Influence Domestic Food Prices in Developing Countries? A Global Price Transmission and Vulnerability Mapping Analysis," Discussion Papers 168591, University of Bonn, Center for Development Research (ZEF).
  12. Zambrano, Patricia & Maldonado, Jorge H. & Mendoza, Sandra L. & Ruiz, Lorena & Fonseca, Luz Amparo & Cardona, Iván, 2011. "Women cotton farmers: Their perceptions and experiences with transgenic varieties: A case study for Colombia," IFPRI discussion papers 1118, International Food Policy Research Institute (IFPRI).
  13. Listorti, Giulia & Esposti, Roberto, 2012. "Horizontal Price Transmission in Agricultural Markets: Fundamental Concepts and Open Empirical Issues," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), issue 1, April.
  14. repec:fpr:export:1344 is not listed on IDEAS
  15. Yamauchi, Futoshi & Liu, Yanyan, 2011. "Impacts of an early education intervention on students' learning achievement: Evidence from the Philippines," IFPRI discussion papers 1121, International Food Policy Research Institute (IFPRI).

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