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

José Cruz Junior (), Daniel Capitani () and Rodrigo Silveira ()
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José Cruz Junior: Federal University of Sao Carlos
Daniel Capitani: University of Campinas
Rodrigo Silveira: University of Campinas

Economics Bulletin, 2018, vol. 38, issue 4, 2273-2283

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: Corn; soybeans; price; volatility (search for similar items in EconPapers)
JEL-codes: Q1 C5 (search for similar items in EconPapers)
Date: 2018-12-02
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