The effect of Brazilian corn and soybean crop expansion on price and volatility transmission

Jose Cesar Cruz, Rodrigo Silveira, Daniel H. D. Capitani, Fabiana S. P. Urso and Joao G. Filho Martines

No 236127, 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts from Agricultural and Applied Economics Association

Abstract: This study aims to examine if the most recent changes in the Brazilian corn and soybean production have caused significant changes in prices and volatility transmission between Brazilian and U.S. markets. In addition to using econometric time-series methods tests to analyze price transmission among grain and oilseeds markets, we investigated the volatility spillover across U.S. and Brazil markets using causality in variance tests. Since structural break tests indicated the presence of one breakpoint, the sample was split in two periods: 1996-2006 and 2007-2014. Results suggest that the level of market integration has increased during the second period (2007-2014) with higher sensibility to price changes compared to the first period (1996-2006).

Keywords: Agribusiness; Agricultural Finance; Demand and Price Analysis; Financial Economics (search for similar items in EconPapers)
Pages: 20
Date: 2016-05-25
New Economics Papers: this item is included in nep-agr
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Related works:
Journal Article: The effect of Brazilian corn and soybean crop expansion on price and volatility transmission (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea16:236127

DOI: 10.22004/ag.econ.236127

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