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Global food and energy markets: volatility transmission and impulse response effects

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  • Onour, Ibrahim
  • Sergi, Bruno
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    Abstract

    This paper investigates volatility spillover across crude oil market and wheat and corn markets. The corn commodity is taken here to assess the impact of change in demand for biofuel on wheat market. Results of multivariate GARCH model show evidence of corn price volatility transmission to wheat market . Our results indicate that while shocks (unexpected news) in crude oil market have significant impact on volatility in wheat and corn markets, the effect of crude oil price changes on corn and wheat markets is insignificant. The impulse response analysis indicate shocks in oil markets have permanent effect on food commodity price changes. Also indicated that fertilizers markets influenced by own-shocks and shocks in oil markets.

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    File URL: http://mpra.ub.uni-muenchen.de/34079/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 34079.

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    Date of creation: 2011
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    Handle: RePEc:pra:mprapa:34079

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    Keywords: Volatility; global food; impulse response;

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    1. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
    2. Ibrahim Onour, . "Forecasting Volatility in Global Food Commodity Prices," API-Working Paper Series 1101, Arab Planning Institute - Kuwait, Information Center.
    3. Xiaodong Du & Cindy L. Yu & Dermot J. Hayes, 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Center for Agricultural and Rural Development (CARD) Publications 09-wp491, Center for Agricultural and Rural Development (CARD) at Iowa State University.
    4. Ibrahim A. Onour, 2010. "Global food crisis and crude oil price changes: Do they share common cyclical features?," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 3(1), pages 61-70, January.
    5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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