Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets
Cornelis Gardebroek and
Manuel Hernandez
Energy Economics, 2013, vol. 40, issue C, 119-129
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. The estimation results indicate a higher interaction between ethanol and corn markets in recent years, particularly after 2006 when ethanol became the sole alternative oxygenate for gasoline. 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 the US corn market.
Keywords: Volatility transmission; Biofuels; Corn; Multivariate GARCH (search for similar items in EconPapers)
JEL-codes: C32 Q11 Q42 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (135)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988313001266
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets (2012) 
Working Paper: Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets (2012) 
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:eee:eneeco:v:40:y:2013:i:c:p:119-129
DOI: 10.1016/j.eneco.2013.06.013
Access Statistics for this article
Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant
More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().