Interrelationship and Volatility Transmission between Grain and Oil Prices

Minji Kong, Doo Bong Han and Rodolfo Nayga

No 124377, 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington from Agricultural and Applied Economics Association

Abstract: This study analyzes the interrelationship and volatility between grain and oil prices. Specifically, the objective of this study is to investigate the volatility transmission mechanism of grain prices with oil prices, under the assumption that an increase in crude oil prices not only affects corn and soybean prices but also other grain commodity prices such as wheat and rice. The results presented in this paper suggest several conclusions. First, there is a short-run relationship between the grain market and oil prices, which implies that recent co-movements of oil and grain prices are just a temporary phenomenon. Second, grain prices, except for rice, are affected by oil prices to some degree. Finally, the volatilities of oil prices influence the volatilities of corn and soybean prices, and vice versa.

Keywords: Resource/Energy; Economics; and; Policy (search for similar items in EconPapers)
Pages: 13
Date: 2012
New Economics Papers: this item is included in nep-cwa and nep-ene
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea12:124377

DOI: 10.22004/ag.econ.124377

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