Market interdependence and volatility transmission among major crops
This article provides a comprehensive analysis of the dynamics of volatility across major agricultural commodities in the United States. Volatility interactions across markets may lower the effectiveness of diversification strategies to mitigate price risks and should be taken into account when anal...
| Main Authors: | , , |
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| Format: | Journal Article |
| Language: | Inglés |
| Published: |
Wiley
2016
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10568/147996 |
| _version_ | 1855527943812415488 |
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| author | Gardebroek, Cornelis Hernandez, Manuel A. Robles, Miguel |
| author_browse | Gardebroek, Cornelis Hernandez, Manuel A. Robles, Miguel |
| author_facet | Gardebroek, Cornelis Hernandez, Manuel A. Robles, Miguel |
| author_sort | Gardebroek, Cornelis |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| description | This article provides a comprehensive analysis of the dynamics of volatility across major agricultural commodities in the United States. Volatility interactions across markets 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 GARCH approach to evaluate the time evolution of conditional correlations and volatility transmission across corn, wheat, and soybeans price returns on a daily, weekly, and monthly basis. The period of analysis is from 1998 to 2012. The estimation results indicate a lack of lead‐lag relationships between corn, wheat, and soybeans price returns at the mean level. We find, however, important volatility spillovers across commodities, particularly at the weekly and monthly level. Wheat and corn seem to play a major role in terms of volatility transmission. Despite the supposed higher financial market integration of agricultural commodities, we do not observe that agricultural markets have become more interdependent in recent years. |
| format | Journal Article |
| id | CGSpace147996 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Wiley |
| publisherStr | Wiley |
| record_format | dspace |
| spelling | CGSpace1479962025-02-24T06:48:15Z Market interdependence and volatility transmission among major crops Gardebroek, Cornelis Hernandez, Manuel A. Robles, Miguel models agricultural products volatility This article provides a comprehensive analysis of the dynamics of volatility across major agricultural commodities in the United States. Volatility interactions across markets 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 GARCH approach to evaluate the time evolution of conditional correlations and volatility transmission across corn, wheat, and soybeans price returns on a daily, weekly, and monthly basis. The period of analysis is from 1998 to 2012. The estimation results indicate a lack of lead‐lag relationships between corn, wheat, and soybeans price returns at the mean level. We find, however, important volatility spillovers across commodities, particularly at the weekly and monthly level. Wheat and corn seem to play a major role in terms of volatility transmission. Despite the supposed higher financial market integration of agricultural commodities, we do not observe that agricultural markets have become more interdependent in recent years. 2016-01-01 2024-06-21T09:23:38Z 2024-06-21T09:23:38Z Journal Article https://hdl.handle.net/10568/147996 en https://hdl.handle.net/10568/149816 https://hdl.handle.net/10568/152778 Wiley Gardebroek, Cornelis; Hernandez, Manuel A.; and Robles, Miguel. 2016. Market interdependence and volatility transmission among major crops. Agricultural Economics 47(2): 141 - 155 https://doi.org/10.1111/agec.12184 |
| spellingShingle | models agricultural products volatility Gardebroek, Cornelis Hernandez, Manuel A. Robles, Miguel Market interdependence and volatility transmission among major crops |
| title | Market interdependence and volatility transmission among major crops |
| title_full | Market interdependence and volatility transmission among major crops |
| title_fullStr | Market interdependence and volatility transmission among major crops |
| title_full_unstemmed | Market interdependence and volatility transmission among major crops |
| title_short | Market interdependence and volatility transmission among major crops |
| title_sort | market interdependence and volatility transmission among major crops |
| topic | models agricultural products volatility |
| url | https://hdl.handle.net/10568/147996 |
| work_keys_str_mv | AT gardebroekcornelis marketinterdependenceandvolatilitytransmissionamongmajorcrops AT hernandezmanuela marketinterdependenceandvolatilitytransmissionamongmajorcrops AT roblesmiguel marketinterdependenceandvolatilitytransmissionamongmajorcrops |