How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

Manuel Hernandez, Raul Ibarra and Danilo Trupkin

No 124979, 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil from International Association of Agricultural Economists

Abstract: This paper examines the dynamics of volatility across major global exchanges for corn, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach and account for the potential bias that may arise when considering exchanges with different closing times. The results indicate that agricultural markets are highly interrelated and there are both own- and cross-volatility spillovers and dependence among most of the exchanges. Chicago particularly plays a major role in terms of spillover effects over other markets. Additionally, the level of interdependence between exchanges has only increased in recent years for some commodities.

Keywords: Demand and Price Analysis; Financial Economics (search for similar items in EconPapers)
Pages: 32
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Citations: View citations in EconPapers (24)

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Related works:
Journal Article: How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets (2014)
Working Paper: How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets (2012)
Working Paper: How Far Do Shocks Move Across Borders? Examining Volatility Transmission in Major Agricultural Futures Markets (2011)
Working Paper: How far do shocks move across borders?: Examining volatility transmission in major agricultural futures markets (2011)
Working Paper: How far do shocks move across borders?Examining volatility transmission in major agricultural futures markets (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:iaae12:124979

DOI: 10.22004/ag.econ.124979

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