A Multivariate Quantile Analysis of Price Transmission in the Soybean Complex

Yao Yang and Berna Karali

No 316400, 2021 Conference from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Asymmetric price transmission has been an important question for understanding the price relationship among input and output markets in a supply chain. This study investigates asymmetric price transmission in the U.S. soybean complex by using a vector autoregressive quantile model. We use daily returns of the soybean, soybean meal, and soybean oil futures contracts traded at the Chicago Board of Trade (CBOT). To better illustrate dynamics of the own- and cross-market effects, we consider both lower and upper tails and the median of price distributions. Our results indicate existence of asymmetric price transmission varying by the quantile. In addition, quantile impulse response analysis shows that soybean returns at a low level are more severely affected by the shocks from the soybean meal market, while those at a high level are more affected by shocks generating from the soybean oil market.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nccc21:316400

DOI: 10.22004/ag.econ.316400

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