IDEAS home Printed from https://ideas.repec.org/p/sek/iefpro/6910166.html
   My bibliography  Save this paper

The Dynamics of Dependencies between the World Grain and Oilseed Markets

Author

Listed:
  • Ma?gorzata Just

    (Pozna? University of Life Sciences, Faculty of Economics and Social Sciences)

Abstract

The paper analyses relations between world grain and oilseed markets in the period from the beginning of 2000 to the middle of 2018. The study covered the period of drastic hikes and drops of cereal grain and oilseed prices during the economic and financial crisis. The study assessed the strength and dynamics of dependencies between rates of return from grain and oilseed sub-Indexes of the International Grains Council. For this purpose copula-based multivariate GARCH models were used, and dynamic Kendall's tau coefficients and dynamic tail dependence coefficients were calculated. Among the analysed markets the strongest (weak or moderate) relationships were found between the maize and soybean markets, and between the wheat and maize markets, with the linkages changing in time. The greatest probabilities of extreme events transfer were recorded for the maize and soybean markets.

Suggested Citation

  • Ma?gorzata Just, 2018. "The Dynamics of Dependencies between the World Grain and Oilseed Markets," Proceedings of Economics and Finance Conferences 6910166, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iefpro:6910166
    as

    Download full text from publisher

    File URL: https://iises.net/proceedings/10th-economics-finance-conference-rome/table-of-content/detail?cid=69&iid=012&rid=10166
    File Function: First version, 2018
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    agricultural raw materials; copula-GARCH model; dynamic dependencies; Kendall's tau coefficient; tail dependence;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sek:iefpro:6910166. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Klara Cermakova (email available below). General contact details of provider: https://iises.net/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.