Volatility transmissions between commodity futures contracts in short, medium and long term

Mathias Tessmann, Regis Ely and Mario Duarte Canever

International Journal of Financial Markets and Derivatives, 2021, vol. 8, issue 1, 79-99

Abstract: This article investigates the relationship between agricultural and energy commodity markets by measuring the volatility transmissions between future contracts through a spillover index that can be partitioned into different frequency bands. We use data from Chicago Mercantile Exchange and the Intercontinental Exchange of New York from March 3, 2000 to May 4, 2017, including ten different commodities. We show that volatility transmissions increased after the 2006-2008 food crisis, but has fallen after 2013. Around 74.4% of the volatility in those markets is transmitted from one to four days since the shock has occurred. Corn, wheat and soybeans are the main transmitters and receivers of volatility, while oil is significantly more important than natural gas in terms of price volatility transmissions.

Keywords: volatility transmission; commodities; futures markets; energy assets; agricultural assets; corn; rice; coffee; oil; wheat; soybeans; natural gas; sugar; oats. (search for similar items in EconPapers)
Date: 2021
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