Market interdependence and volatility transmission among major crops

Cornelis Gardebroek, Manuel Hernandez and Luis Robles

No 150119, 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. from Agricultural and Applied Economics Association

Abstract: This paper examines volatility transmission between corn, wheat and soybeans markets in the US. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these major crops on a daily, weekly and monthly basis. The period of analysis is 1998 through 2012. Preliminary results indicate lack of cross-market dependence between corn, wheat and soybeans price returns at the mean level. We find, however, important volatility spillovers across commodities, particularly on a weekly basis. Corn, and in lower extent wheat, seem to play a major role in terms of spillover effects. Additionally, we do not observe that agricultural markets have become more interdependent in recent years, despite the apparent higher financial market integration of agricultural commodities.

Keywords: Crop Production/Industries; Production Economics; Productivity Analysis (search for similar items in EconPapers)
Pages: 30
Date: 2013
New Economics Papers: this item is included in nep-agr
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Market interdependence and volatility transmission among major crops (2016)
Working Paper: Market interdependence and volatility transmission among major crops (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea13:150119

DOI: 10.22004/ag.econ.150119

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