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Market interdependence and volatility transmission among major crops

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  • Gardebroek, Cornelis
  • Hernandez, Manuel A.
  • Robles, Miguel

Abstract

This paper examines volatility transmission between corn, wheat and soybeans markets in the US. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these major crops on a daily, weekly and monthly basis. The period of analysis is 1998 through 2012. Preliminary results indicate lack of cross-market dependence between corn, wheat and soybeans price returns at the mean level. We find, however, important volatility spillovers across commodities, particularly on a weekly basis. Corn, and in lower extent wheat, seem to play a major role in terms of spillover effects. Additionally, we do not observe that agricultural markets have become more interdependent in recent years, despite the apparent higher financial market integration of agricultural commodities.

Suggested Citation

  • 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.
  • Handle: RePEc:ags:aaea13:150119
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. de Nicola, Francesca & De Pace, Pierangelo & Hernandez, Manuel A., 2014. "Co-movement of major commodity price returns: A time-series assessment:," IFPRI discussion papers 1354, International Food Policy Research Institute (IFPRI).
    2. Matthias Kalkuhl & Lukas Kornher & Marta Kozicka & Pierre Boulanger & Maximo Torero, 2013. "Conceptual framework on price volatility and its impact on food and nutrition security in the short term," FOODSECURE Working papers 15, LEI Wageningen UR.
    3. repec:eee:riibaf:v:41:y:2017:i:c:p:148-157 is not listed on IDEAS
    4. Ceballos, Francisco & Hernandez, Manuel A. & Minot, Nicholas & Robles, Miguel, 2017. "Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries," World Development, Elsevier, vol. 94(C), pages 305-320.
    5. Ceballos, Francisco & Hernandez, Manuel A. & Minot, Nicholas & Robles, Miguel, 2017. "Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries," World Development, Elsevier, vol. 94(C), pages 305-320.
    6. Dohnal, Mirko & Doubravsky, Karel, 2016. "Equationless and equation-based trend models of prohibitively complex technological and related forecasts," Technological Forecasting and Social Change, Elsevier, vol. 111(C), pages 297-304.
    7. Christian Gross, 2017. "Examining the Common Dynamics of Commodity Futures Prices," CQE Working Papers 6317, Center for Quantitative Economics (CQE), University of Muenster.

    More about this item

    Keywords

    Volatility transmission; agricultural commodities; MGARCH; Crop Production/Industries; Production Economics; Productivity Analysis; Q11; C32;

    JEL classification:

    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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