On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets

Vincenzo Candila and Salvatore Farace
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Vincenzo Candila: Department of Economics and Statistics, University of Salerno, Fisciano 84084, Italy
Salvatore Farace: Dipartimento di Scienze Giuridiche, University of Salerno, Fisciano 84084, Italy

Risks, 2018, vol. 6, issue 4, 1-16

Abstract: Addressing the volatility spillovers of agricultural commodities is important for at least two reasons. First, for the last several years, the volatility of agricultural commodity prices seems to have increased. Second, according to the Food and Agriculture Organization, there is a strong need for understanding the potential (negative) impacts on food security caused by food commodity volatilities. This paper aims at investigating the presence, the size, and the persistence of volatility spillovers among five agricultural commodities (corn, sugar, wheat, soybean, and bioethanol) and five Latin American (Argentina, Brazil, Chile, Colombia, Peru) stock market indexes. Overall, when a negative shock hits the commodity market, Latin American stock market volatility tends to increase. This happens, for instance, for the relationships from corn to Chile and Colombia and from wheat to Peru and Chile.

Keywords: agricultural commodity; volatility spillover; volatility impulse response function (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:6:y:2018:i:4:p:116-:d:174522

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