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Price Transmissions During Financialization and Turmoil: New Evidence from North American and European Agricultural Futures

Philipp Adämmer, Martin T. Bohl and Ernst-Oliver Ledebur

No 3815, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: Empirical studies on price transmissions between North American and European agricultural futures neglect the period of financialization in the US commodity market, the increase of futures trading in Europe and the recent price turmoils. We fill this gap by analyzing the price dynamics of canola, wheat and corn futures between 2000 and 2013. Our empirical results show that US and European prices have become strongly intertwined in recent years and that the US market leads in terms of price transmissions. The latter results are especially apparent between 2007 and 2013, the period where prices and financialization in the US reached their peak.

Keywords: Price Transmission; Volatility Spillovers; VECM; VAR; GARCH; Dynamic Conditional Correlations (search for similar items in EconPapers)
JEL-codes: G10 Q11 G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-agr
Date: 2015-01
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