How far do shocks move across borders?Examining volatility transmission in major agricultural futures markets
This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States, Europe, and Asia. We account for the potential bias that may arise when considering exchanges with dierent closing times. The period of analysis is 2004-2009 for corn and soybeans, and 2005-2009 for wheat. 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. There is higher interaction between the United States (Chicago) and both Europe and Asia than within the latter. The results further show the major role Chicago plays in terms of spillover eects over the other markets, particularly for corn and wheat. Additionally, the level of interdependence between exchanges has only increased in recent years for some of the commodities. Implications for potential regulatory policies of agricultural futures markets are also briey discussed.
|Date of creation:||2011|
|Contact details of provider:|| Postal: Prudencio de Pena 2440, Montevideo 11600|
Web page: http://www.um.edu.uy/cee/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Manuel A. Hernandez & Raul Ibarra & Danilo R. Trupkin, 2014.
"How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets,"
European Review of Agricultural Economics,
Foundation for the European Review of Agricultural Economics, vol. 41(2), pages 301-325.
- Hernandez, Manuel A. & Ibarra, Raul & Trupkin, Danilo R., "undated". "How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 124979, International Association of Agricultural Economists.
- Manuel A. Hernández & Raúl Ibarra-Ramírez & Danilo R. Trupkin, 2011. "How Far Do Shocks Move Across Borders? Examining Volatility Transmission in Major Agricultural Futures Markets," Working Papers 2011-15, Banco de México.
- Hernandez, Manuel A. & Ibarra, Raul & Trupkin, Danilo R., 2011. "How far do shocks move across borders?: Examining volatility transmission in major agricultural futures markets," IFPRI discussion papers 1109, International Food Policy Research Institute (IFPRI).
- Hernandez, Manuel A. & Ibarra, Raul & Trupkin, Danilo R., 2012. "How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122511, European Association of Agricultural Economists.
- Manuel Hernandez & Raul Ibarra & Danilo Trupkin, 2011. "How far do shocks move across borders?Examining volatility transmission in major agricultural futures markets," Documentos de Trabajo/Working Papers 1109, Facultad de Ciencias Empresariales y Economia. Universidad de Montevideo..
- Koutmos, Gregory & Booth, G Geoffrey, 1995. "Asymmetric volatility transmission in international stock markets," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 747-762, December.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003.
"Multivariate GARCH models: a survey,"
CORE Discussion Papers
2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Robert F. Engle & José Gonzalo Rangel, 2009. "High and Low Frequency Correlations in Global Equity Markets," Working Papers 2009-17, Banco de México.
- Elyasiani, Elyas & Perera, Priyal & Puri, Tribhuvan N., 1998. "Interdependence and dynamic linkages between stock markets of Sri Lanka and its trading partners," Journal of Multinational Financial Management, Elsevier, vol. 8(1), pages 89-101, January.
- Barry K. Goodwin & Ted C. Schroeder, 1991.
"Price Dynamics in International Wheat Markets,"
Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie,
Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 39(2), pages 237-254, 07.
- Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003. "Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 532-546, October.
- Geoffrey Booth, G. & Ciner, Cetin, 1997. "International transmission on information in corn futures markets," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 175-187, October.
- De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990.
"Noise Trader Risk in Financial Markets,"
3725552, Harvard University Department of Economics.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Roy van der Weide, 2002. "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 549-564.
- Guillermo Benavides & Carlos Capistrán, 2009. "A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments: Mexico 1998-2008," Working Papers 2009-10, Banco de México.
- Lee, Tae-Hwy & Long, Xiangdong, 2009. "Copula-based multivariate GARCH model with uncorrelated dependent errors," Journal of Econometrics, Elsevier, vol. 150(2), pages 207-218, June.
- Hernandez, Manuel & Torero, Maximo, 2010. "Examining the dynamic relationship between spot and future prices of agricultural commodities," IFPRI discussion papers 988, International Food Policy Research Institute (IFPRI).
- Garbade, Kenneth D & Silber, William L, 1983. "Price Movements and Price Discovery in Futures and Cash Markets," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 289-297, May.
- Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(01), pages 17-39, February.
- Andrew Worthington & Helen Higgs, 2004. "Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 71-80.
- I. D. Vrontos & P. Dellaportas & D. N. Politis, 2003. "A full-factor multivariate GARCH model," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 312-334, December.
- Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988.
"Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market,"
NBER Working Papers
2609, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
- Tse, Yiuman & Lee, Tae-Hwy & Booth, G. Geoffrey, 1996. "The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 447-465, June.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Aris Protopapadakis & Hans R. Stoll, "undated".
"Spot and Futures Prices and the Law of One Price,"
Rodney L. White Center for Financial Research Working Papers
17-82, Wharton School Rodney L. White Center for Financial Research.
- John Galbraith & Aman Ullah & Victoria Zinde-Walsh, 2002. "Estimation Of The Vector Moving Average Model By Vector Autoregression," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 205-219.
- Karolyi, G Andrew, 1995. "A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 11-25, January.
- Jian Yang & Jin Zhang & David J. Leatham, 2003. "Price and Volatility Transmission in International Wheat Futures," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 37-50, May.
- Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
- Christopher L. Gilbert, 2010. "How to Understand High Food Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(2), pages 398-425.
When requesting a correction, please mention this item's handle: RePEc:mnt:wpaper:1109. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mercedes Ponce de León)
If references are entirely missing, you can add them using this form.