Global food and energy markets: volatility transmission and impulse response effects

Ibrahim Onour and Bruno Sergi

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates volatility spillover across crude oil market and wheat and corn markets. The corn commodity is taken here to assess the impact of change in demand for biofuel on wheat market. Results of multivariate GARCH model show evidence of corn price volatility transmission to wheat market . Our results indicate that while shocks (unexpected news) in crude oil market have significant impact on volatility in wheat and corn markets, the effect of crude oil price changes on corn and wheat markets is insignificant. The impulse response analysis indicate shocks in oil markets have permanent effect on food commodity price changes. Also indicated that fertilizers markets influenced by own-shocks and shocks in oil markets.

Keywords: Volatility; global food; impulse response (search for similar items in EconPapers)
JEL-codes: C53 Q18 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-agr, nep-bec, nep-cis, nep-cwa and nep-ene
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:pra:mprapa:34079

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