Title
Market interdependence and volatility transmission among major crops
Date Issued
01 March 2016
Access level
open access
Resource Type
journal article
Author(s)
International Food Policy Research Institute
Publisher(s)
Blackwell Publishing Ltd
Abstract
This article provides a comprehensive analysis of the dynamics of volatility across major agricultural commodities in the United States. Volatility interactions across markets may lower the effectiveness of diversification strategies to mitigate price risks and should be taken into account when analyzing the pricing behavior of different agricultural commodities. We follow a multivariate GARCH approach to evaluate the time evolution of conditional correlations and volatility transmission across corn, wheat, and soybeans price returns on a daily, weekly, and monthly basis. The period of analysis is from 1998 to 2012. The estimation results indicate a lack of lead-lag relationships between corn, wheat, and soybeans price returns at the mean level. We find, however, important volatility spillovers across commodities, particularly at the weekly and monthly level. Wheat and corn seem to play a major role in terms of volatility transmission. Despite the supposed higher financial market integration of agricultural commodities, we do not observe that agricultural markets have become more interdependent in recent years.
Start page
141
End page
155
Volume
47
Issue
2
Language
English
OCDE Knowledge area
Agricultura
Economía
Subjects
Scopus EID
2-s2.0-84959908309
Source
Agricultural Economics (United Kingdom)
ISSN of the container
01695150
Sources of information:
Directorio de Producción Científica
Scopus