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News surprises and volatility spillover among agricultural commodities: The case of corn, wheat, soybean and soybean oil

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  • Hamadi, Hassan
  • Bassil, Charbel
  • Nehme, Tamara

Abstract

This paper focuses on commodity financialization and examines the level of interdependence across major agricultural commodities. Specifically, we test the level of interdependence across corn, wheat, soybeans and soybean oil in terms of return volatility spillover. We further investigate the impact of macroeconomic announcements and news on the measurement of integration among these commodities. We apply a combination of econometric tools – the ICSS, GARCH(1,1) and 3SLS models and incorporate structural breaks – to measure the instantaneous and delayed volatility spillovers among these agricultural commodities. We find significant evidence of bidirectional volatility spillovers; particularly, there is more spillover from soybeans and soybean oil markets to corn and wheat markets, than the inverse. In addition, a news surprise originating in the economy has strong impact on the variance of agricultural commodities.

Suggested Citation

  • Hamadi, Hassan & Bassil, Charbel & Nehme, Tamara, 2017. "News surprises and volatility spillover among agricultural commodities: The case of corn, wheat, soybean and soybean oil," Research in International Business and Finance, Elsevier, vol. 41(C), pages 148-157.
  • Handle: RePEc:eee:riibaf:v:41:y:2017:i:c:p:148-157
    DOI: 10.1016/j.ribaf.2017.04.006
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    References listed on IDEAS

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    1. repec:zbw:ifweej:201914 is not listed on IDEAS
    2. Śmiech, Sławomir & Papież, Monika & Fijorek, Kamil & Dąbrowski, Marek A., 2019. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 13, pages 1-32.
    3. repec:gam:jrisks:v:6:y:2018:i:4:p:116-:d:174522 is not listed on IDEAS

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