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Dynamic Volatility Spillovers Between Agricultural and Energy Commodities

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  • Xiarchos, Irene M.
  • Burnett, J. Wesley

Abstract

This study contributes to the literature by using a spillover index method to examine the changing interrelations in volatility among corn and energy future prices. This methodology allows us to account for endogenously determined economic fundamentals and market speculation. After controlling for market trends and seasonality, we find relative large increases in volatility spillovers between corn, crude oil, and ethanol futures prices. Our results suggest that the cross-commodity spillovers provide useful incremental information in determining future price volatility; however, a commodity's own dynamics explain the largest portion of volatility spillovers.

Suggested Citation

  • Xiarchos, Irene M. & Burnett, J. Wesley, 2018. "Dynamic Volatility Spillovers Between Agricultural and Energy Commodities," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 50(3), April.
    • Handle: RePEc:ags:joaaec:355613
    DOI: 10.22004/ag.econ.355613
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    References listed on IDEAS

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    1. Vladimir Asriyan & William Fuchs & Brett Green, 2017. "Information Spillovers in Asset Markets with Correlated Values," American Economic Review, American Economic Association, vol. 107(7), pages 2007-2040, July.
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    Resource/Energy Economics and Policy;

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