Market interdependence and volatility transmission among major crops

Cornelis Gardebroek, Manuel Hernandez and Luis Robles

No 1344, IFPRI discussion papers from International Food Policy Research Institute (IFPRI)

Abstract: This paper provides a comprehensive analysis of the dynamics of volatility between the corn, wheat, and soybean markets in the United States. Volatility interactions across markets, if they exist, may lower the effectiveness of diversification strategies to mitigate price risks and should be taken into account when analyzing the pricing behavior of different agricultural commodities. We follow a Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) approach to evaluate the level of interdependence and volatility transmission across these major crops on a daily, weekly, and monthly basis.

Keywords: Prices; volatility; agricultural products; Commodities; Markets; volatility transmission; agricultural commodities; Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-agr
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Citations: View citations in EconPapers (6)

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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 (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:fpr:ifprid:1344

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