Price and Volatility Transmissions among Natural Gas, Fertilizer, and Corn Markets: A Revisit

Zhengliang Yang, Xiaoxue Du, Liang Lu and Hernan Tejeda
Additional contact information
Zhengliang Yang: Department of Agricultural Economics and Rural Sociology, University of Idaho, Moscow, ID 83843, USA
Xiaoxue Du: Department of Agricultural Economics and Rural Sociology, University of Idaho, Moscow, ID 83843, USA
Hernan Tejeda: Department of Agricultural Economics and Rural Sociology, University of Idaho, Moscow, ID 83843, USA

JRFM, 2022, vol. 15, issue 2, 1-14

Abstract: In this paper, we revisit price and volatility transmission among natural gas, fertilizer, and corn markets; an important issue was explored in previous work. An update of the results is urgently needed due to the recent enormous price volatility in the commodities, fertilizer, and energy markets. We followed the same methodology as previous work and used the vector error correction model and the multivariate generalized autoregressive heteroskedasticity model, but we adopted a new methodology to gather higher frequency data for fertilizer to estimate the interactions and examine the mechanisms between these market prices. Our results are consistent with previous research showing that natural gas price returns in the short-term are significantly affected by its lagged returns from itself and corn markets, and it will be affected by its lagged return sand fertilizer markets. However, we did not find a significant relationship among fertilizer, corn, and natural gas markets from May to November 2021. Moreover, the lagged conditional volatility of corn prices will affect the conditional volatility in the natural gas market but not vice versa.

Keywords: price volatility; transmission mechanism; natural gas; ertilizer; tcorn (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.mdpi.com/1911-8074/15/2/91/pdf (application/pdf)
https://www.mdpi.com/1911-8074/15/2/91/ (text/html)

Related works:
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:gam:jjrfmx:v:15:y:2022:i:2:p:91-:d:754149

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().