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Price Transmissions During Financialization and Turmoil: New Evidence from North American and European Agricultural Futures

Author

Listed:
  • Philipp Adämmer
  • Martin T. Bohl
  • Ernst-Oliver Ledebur

Abstract

Empirical studies on price transmissions between North American and European agricultural futures neglect the period of financialization in the US commodity market, the increase of futures trading in Europe and the recent price turmoils. We fill this gap by analyzing the price dynamics of canola, wheat and corn futures between 2000 and 2013. Our empirical results show that US and European prices have become strongly intertwined in recent years and that the US market leads in terms of price transmissions. The latter results are especially apparent between 2007 and 2013, the period where prices and financialization in the US reached their peak.

Suggested Citation

  • Philipp Adämmer & Martin T. Bohl & Ernst-Oliver Ledebur, 2015. "Price Transmissions During Financialization and Turmoil: New Evidence from North American and European Agricultural Futures," CQE Working Papers 3815, Center for Quantitative Economics (CQE), University of Muenster.
    • Handle: RePEc:cqe:wpaper:3815
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    References listed on IDEAS

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    More about this item

    Keywords

    Price Transmission; Volatility Spillovers; VECM; VAR; GARCH; Dynamic Conditional Correlations;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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