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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 2011-15
- Klassifikation
-
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
- Thema
-
volatility transmission
agricultural commodities
futures markets
Multivariate GARCH
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hernández, Manuel A.
Ibarra-Ramírez, Raúl
Trupkin, Danilo R.
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hernández, Manuel A.
- Ibarra-Ramírez, Raúl
- Trupkin, Danilo R.
- Banco de México
Entstanden
- 2011
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