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How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

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  • Hernandez, Manuel A.
  • Ibarra, Raul
  • Trupkin, Danilo R.

Abstract

This paper examines the dynamics of volatility across major global exchanges for corn, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach and account for the potential bias that may arise when considering exchanges with different closing times. 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. Chicago particularly plays a major role in terms of spillover effects over other markets. Additionally, the level of interdependence between exchanges has only increased in recent years for some commodities.

Suggested Citation

  • 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.
    • Handle: RePEc:ags:iaae12:124979
    DOI: 10.22004/ag.econ.124979
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    More about this item

    Keywords

    Demand and Price Analysis; Financial Economics;

    JEL classification:

    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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