Market interdependence and volatility transmission among major crops
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 i...
| Autores principales: | , , |
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| Formato: | Artículo preliminar |
| Lenguaje: | Inglés |
| Publicado: |
International Food Policy Research Institute
2014
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| Materias: | |
| Acceso en línea: | https://hdl.handle.net/10568/149816 |
| _version_ | 1855525043785695232 |
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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 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. |
| format | Artículo preliminar |
| id | CGSpace149816 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | International Food Policy Research Institute |
| publisherStr | International Food Policy Research Institute |
| record_format | dspace |
| spelling | CGSpace1498162025-11-06T06:11:47Z Market interdependence and volatility transmission among major crops Gardebroek, Cornelis Hernandez, Manuel A. Robles, Miguel agricultural products commodities volatility markets prices 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. 2014 2024-08-01T02:50:00Z 2024-08-01T02:50:00Z Working Paper https://hdl.handle.net/10568/149816 en https://hdl.handle.net/10568/154499 https://hdl.handle.net/10568/154364 https://hdl.handle.net/10568/161965 https://hdl.handle.net/10568/161999 https://hdl.handle.net/10568/154596 https://doi.org/10.1111/agec.12184 https://hdl.handle.net/10568/152778 Open Access application/pdf International Food Policy Research Institute Gardebroek, Cornelis; Hernandez, Manuel A. and Robles, Miguel. 2014. Market interdependence and volatility transmission among major crops. IFPRI Discussion Paper 1344. Washington, DC: International Food Policy Research Institute (IFPRI). https://hdl.handle.net/10568/149816 |
| spellingShingle | agricultural products commodities volatility markets prices 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 | agricultural products commodities volatility markets prices |
| url | https://hdl.handle.net/10568/149816 |
| work_keys_str_mv | AT gardebroekcornelis marketinterdependenceandvolatilitytransmissionamongmajorcrops AT hernandezmanuela marketinterdependenceandvolatilitytransmissionamongmajorcrops AT roblesmiguel marketinterdependenceandvolatilitytransmissionamongmajorcrops |