Market interdependence and volatility transmission among major crops
Cornelis Gardebroek,
Manuel Hernandez and
Luis Robles
No 150119, 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. from Agricultural and Applied Economics Association
Abstract:
This paper examines volatility transmission between corn, wheat and soybeans markets in the US. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these major crops on a daily, weekly and monthly basis. The period of analysis is 1998 through 2012. Preliminary results indicate lack of cross-market dependence between corn, wheat and soybeans price returns at the mean level. We find, however, important volatility spillovers across commodities, particularly on a weekly basis. Corn, and in lower extent wheat, seem to play a major role in terms of spillover effects. Additionally, we do not observe that agricultural markets have become more interdependent in recent years, despite the apparent higher financial market integration of agricultural commodities.
Keywords: Crop Production/Industries; Production Economics; Productivity Analysis (search for similar items in EconPapers)
Pages: 30
Date: 2013
New Economics Papers: this item is included in nep-agr
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)
Downloads: (external link)
https://ageconsearch.umn.edu/record/150119/files/d ... rops_june_1_2013.pdf (application/pdf)
Related works:
Journal Article: Market interdependence and volatility transmission among major crops (2016) 
Working Paper: Market interdependence and volatility transmission among major crops (2014) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea13:150119
DOI: 10.22004/ag.econ.150119
Access Statistics for this paper
More papers in 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().