Global food and energy markets: volatility transmission and impulse response effects
AbstractThis 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 34079.
Date of creation: 2011
Date of revision:
Volatility; global food; impulse response;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy
This paper has been announced in the following NEP Reports:
- NEP-AGR-2011-10-22 (Agricultural Economics)
- NEP-ALL-2011-10-22 (All new papers)
- NEP-BEC-2011-10-22 (Business Economics)
- NEP-CIS-2011-10-22 (Confederation of Independent States)
- NEP-CWA-2011-10-22 (Central & Western Asia)
- NEP-ENE-2011-10-22 (Energy Economics)
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