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How Far Do Shocks Move Across Borders? Examining Volatility Transmission in Major Agricultural Futures Markets

Manuel Hernandez, Raul Ibarra and Danilo Trupkin ()

No 2011-15, Working Papers from Banco de México

Abstract: This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States, Europe, and Asia. We 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. The results also show the major role Chicago plays in terms of spillover effects over the other markets, particularly for corn and wheat. Additionally, the level of interdependence between exchanges has only increased in recent years for some of the commodities.

Keywords: Volatility transmission; agricultural commodities; futures markets; Multivariate GARCH. (search for similar items in EconPapers)
JEL-codes: Q02 G15 Q11 C32 (search for similar items in EconPapers)
Date: 2011-12
New Economics Papers: this item is included in nep-agr
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Related works:
Journal Article: How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets (2014) Downloads
Working Paper: How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets (2012) Downloads
Working Paper: How far do shocks move across borders?: Examining volatility transmission in major agricultural futures markets (2011) Downloads
Working Paper: How far do shocks move across borders?Examining volatility transmission in major agricultural futures markets (2011) Downloads
Working Paper: How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets Downloads
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