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Volatility in Oilseeds and Vegetable Oils Markets: Drivers and Spillovers

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  • Bernhard Brümmer
  • Olaf Korn
  • Kristina Schlüßler
  • Tinoush Jamali Jaghdani

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  • Bernhard Brümmer & Olaf Korn & Kristina Schlüßler & Tinoush Jamali Jaghdani, 2016. "Volatility in Oilseeds and Vegetable Oils Markets: Drivers and Spillovers," Journal of Agricultural Economics, Wiley Blackwell, vol. 67(3), pages 685-705, September.
  • Handle: RePEc:bla:jageco:v:67:y:2016:i:3:p:685-705
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    File URL: http://hdl.handle.net/10.1111/1477-9552.12141
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    11. Irwin, Scott H. & Sanders, Dwight R., 2012. "Testing the Masters Hypothesis in commodity futures markets," Energy Economics, Elsevier, vol. 34(1), pages 256-269.
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    18. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
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    20. Algieri, Bernardina, 2012. "Price Volatility, Speculation and Excessive Speculation in Commodity Markets: sheep or shepherd behaviour?," Discussion Papers 124390, University of Bonn, Center for Development Research (ZEF).
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    23. David Ubilava & Matt Holt, 2013. "El Niño southern oscillation and its effects on world vegetable oil prices: assessing asymmetries using smooth transition models," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 57(2), pages 273-297, April.
    24. Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, June.
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    Cited by:

    1. Berger, Jurij & Dalheimer, Bernhard & Brümmer, Bernhard, 2021. "Effects of variable EU import levies on corn price volatility," Food Policy, Elsevier, vol. 102(C).
    2. Vasylieva, Natalia, 2020. "Application of Markowitz Portfolio Theory to Producing the World Major Field Crops," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 10(3), December.
    3. Brümmer, Bernhard, 2021. "Preisvolatilität auf Agrarmärkten," IAMO Discussion Papers 196, Leibniz Institute of Agricultural Development in Transition Economies (IAMO).
    4. Hosein Sheibani & Hosein Alizadeh & Mojtaba Shourian, 2019. "Optimum Design and Operation of a Reservoir and Irrigation Network Considering Uncertainty of Hydrologic, Agronomic and Economic Factors," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 33(2), pages 863-879, January.
    5. Ogunmola, Omotoso Oluseye & Verter, Nahanga & Obayelu, Abiodun Elijah, 2023. "Factors Influencing the Prices of Rice, Maize and Wheat Prices in Nigeria," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 15(1), January.
    6. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    7. Santeramo, Fabio Gaetano, 2017. "Market Fundamentals And International Grain Price Volatility," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 260908, European Association of Agricultural Economists.
    8. Fabio Gaetano Santeramo & Emilia Lamonaca, 2019. "On the drivers of global grain price volatility: an empirical investigation," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(1), pages 31-42.
    9. repec:zbw:iamodp:310089 is not listed on IDEAS
    10. Just, Małgorzata & Echaust, Krzysztof, 2022. "Dynamic spillover transmission in agricultural commodity markets: What has changed after the COVID-19 threat?," Economics Letters, Elsevier, vol. 217(C).
    11. Declerck, Francis & Hikouatcha, Prince & Tchoffo, Guillaume & Tédongap, Roméo, 2023. "Biofuel policies and their ripple effects: An analysis of vegetable oil price dynamics and global consumer responses," Energy Economics, Elsevier, vol. 128(C).

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