Arbeitspapier
How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets
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.
- Language
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Englisch
- Bibliographic citation
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Series: Working Papers ; No. 2011-15
- Classification
-
Wirtschaft
Commodity Markets
International Financial Markets
Agriculture: Aggregate Supply and Demand Analysis; Prices
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Subject
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volatility transmission
agricultural commodities
futures markets
Multivariate GARCH
- Event
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Geistige Schöpfung
- (who)
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Hernández, Manuel A.
Ibarra-Ramírez, Raúl
Trupkin, Danilo R.
- Event
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Veröffentlichung
- (who)
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Banco de México
- (where)
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Ciudad de México
- (when)
-
2011
- Handle
- Last update
-
10.03.2025, 11:46 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hernández, Manuel A.
- Ibarra-Ramírez, Raúl
- Trupkin, Danilo R.
- Banco de México
Time of origin
- 2011
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