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Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets

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  • Grosche, Stephanie
  • Heckelei, Thomas

Abstract

The addition of commodities to financial portfolios and resulting weight adjustments may create volatility linkages between commodity and financial markets, especially during financial crises. Also, biofuel mandates are suspected to integrate agricultural and energy markets. We calculate directional pairwise range-based volatility spillover indices (Diebold and Yilmaz, 2012) for corn, wheat, soybeans, crude oil, equity, real estate, treasury notes and U.S. dollar exchange rates between 06/1998 and 12/2013. During the recent financial crisis, volatility spillovers from equity and real estate to commodities rise to unprecedented levels. Yet, we find no indication of a parallel increase of volatility linkages between agricultural and crude oil markets.

Suggested Citation

  • Grosche, Stephanie & Heckelei, Thomas, 2014. "Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets," Discussion Papers 166079, University of Bonn, Institute for Food and Resource Economics.
    • Handle: RePEc:ags:ubfred:166079
    DOI: 10.22004/ag.econ.166079
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    Cited by:

    1. Grosche, Stephanie & Heckelei, Thomas, 2014. "Price dynamics and financialization effects in corn futures markets with heterogeneous traders," Discussion Papers 172077, University of Bonn, Institute for Food and Resource Economics.
    2. Algieri, Bernardina & Kalkuhl, Matthias & Koch, Nicolas, 2017. "A tale of two tails: Explaining extreme events in financialized agricultural markets," Food Policy, Elsevier, vol. 69(C), pages 256-269.
    3. Paflioti, Persa & Vitsounis, Thomas K. & Teye, Collins & Bell, Michael G.H. & Tsamourgelis, Ioannis, 2017. "Box dynamics: A sectoral approach to analyse containerized port throughput interdependencies," Transportation Research Part A: Policy and Practice, Elsevier, vol. 106(C), pages 396-413.
    4. Zelazny Jan, 2016. "Financialization and Commodity Market Stability," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 12(4), pages 33-42, December.

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    Keywords

    Agricultural and Food Policy; Agricultural Finance; Financial Economics; Research Methods/ Statistical Methods;
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