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How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

  • Hernandez, Manuel A.
  • Ibarra, Raul
  • Trupkin, Danilo R.

This paper examines the dynamics of volatility across major global exchanges for corn, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach and account for the potential bias that may arise when considering exchanges with different closing times. The results indicate that agricultural markets are highly interrelated and there are both own- and cross-volatility spillovers and dependence among most of the exchanges. Chicago particularly plays a major role in terms of spillover effects over other markets. Additionally, the level of interdependence between exchanges has only increased in recent years for some commodities.

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File URL: http://purl.umn.edu/122511
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Paper provided by European Association of Agricultural Economists in its series 123rd Seminar, February 23-24, 2012, Dublin, Ireland with number 122511.

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Date of creation: 23 Feb 2012
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Handle: RePEc:ags:eaa123:122511
Contact details of provider: Web page: http://www.eaae.org
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