Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

Cornelis Gardebroek and Manuel Hernandez

No 122476, 123rd Seminar, February 23-24, 2012, Dublin, Ireland from European Association of Agricultural Economists

Abstract: This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher interaction between ethanol and corn markets in recent years, particularly after 2006. We only observe, however, significant volatility spillovers from corn to ethanol prices but not the converse. We also do not find major cross-volatility effects from oil to corn markets. The results do not provide evidence of volatility in energy markets stimulating price volatility in grain markets.

Keywords: Risk; and; Uncertainty (search for similar items in EconPapers)
Pages: 17
Date: 2012-02-23
New Economics Papers: this item is included in nep-agr and nep-ene
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Citations: View citations in EconPapers (7)

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Journal Article: Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets (2013)
Working Paper: Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:eaa123:122476

DOI: 10.22004/ag.econ.122476

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