Financial determinants of corn market

Nikolaos Sariannidis

International Journal of Economics and Business Research, 2013, vol. 5, issue 2, 204-213

Abstract: This paper studies the effects of the TNX ten-year treasury note, the crude oil light sweet, the denatured fuel ethanol, the S%P 500 Stock Index and the US dollar/yen exchange rate on the conditional mean and variance return of corn futures. It employs daily data from January 1, 2002 to August 31, 2009. Using the GJR-GARCH(1, 1) model, we provide empirical evidence of positive influence of bond, energy and capital market on corn market. There is also evidence that the volatility shocks of the US dollar/yen exchange rate have a positive impact on the conditional volatility of corn futures returns. Finally, the structural analysis of volatility with the GJR-GARCH model has shown that current volatility is more influenced by past volatility rather than by the previous day shocks.

Keywords: GJR-GARCH model; general autoregressive conditional heteroskedastic; Lawrence Glosten; Ravi Jagannathan; David Runkle; corn futures; bonds; ethanol; exchange rates; financial determinants; corn markets; TNX; ten-year treasury note; United States; USA; denatured fuels; light sweet crude oil; S&P 500; capitalisation-weighted indices; Standard & Poor's; public companies; stock exchanges; US dollar; Japanese yen; Japan; conditional mean; variance return; daily data; bond markets; energy markets; capital markets; volatility shocks; conditional volatility; structural analysis; current volatility; past volatility; previous day shocks; economics; business research. (search for similar items in EconPapers)
Date: 2013
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