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Market interdependence and volatility transmission among major crops:

Author

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  • Gardebroek, Cornelis
  • Hernandez, Manuel A.
  • Robles, Miguel

Abstract

This paper provides a comprehensive analysis of the dynamics of volatility between the corn, wheat, and soybean markets in the United States. Volatility interactions across markets, if they exist, 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 Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) approach to evaluate the level of interdependence and volatility transmission across these major crops on a daily, weekly, and monthly basis.

Suggested Citation

  • Gardebroek, Cornelis & Hernandez, Manuel A. & Robles, Miguel, 2014. "Market interdependence and volatility transmission among major crops:," IFPRI discussion papers 1344, International Food Policy Research Institute (IFPRI).
    • Handle: RePEc:fpr:ifprid:1344
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    References listed on IDEAS

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    More about this item

    Keywords

    Prices; volatility; agricultural products; Commodities; Markets; volatility transmission; agricultural commodities; Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH);
    All these keywords.

    JEL classification:

    • 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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