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Volatility Spillovers in the U.S. Crude Oil, Corn, and Ethanol Markets

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  • Trujillo-Barrera, Andres Trujillo-
  • Mallory, Mindy

Abstract

This paper analyzes volatility spillovers from energy to agricultural markets in the U.S. which have increased due to strong crude oil price volatility and the large growth in ethanol production in the period 2006-2011. Results suggest that spillovers from crude oil to corn and ethanol markets are similar in magnitude over time, and are particularly significant during periods of high turbulence in the crude oil market. Volatility spillovers between corn and ethanol also exist, but primarily from the corn to ethanol market. The findings provide clear evidence of the stronger linkages between corn and ethanol that have been created during the biofuel era.

Suggested Citation

  • Trujillo-Barrera, Andres Trujillo- & Mallory, Mindy, 2011. "Volatility Spillovers in the U.S. Crude Oil, Corn, and Ethanol Markets," 2011 Conference, April 18-19, 2011, St. Louis, Missouri 285350, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:nccc11:285350
    DOI: 10.22004/ag.econ.285350
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