How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

This paper examines the dynamics of volatility across major global exchanges for corn, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach and 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. Chicago particularly plays a major role in terms of spillover effects over other markets. Additionally, the level of interdependence between exchanges has only increased in recent years for some commodities.

Issue Date:
Feb 23 2012
Publication Type:
Conference Paper/ Presentation
Record Identifier:
PURL Identifier:
Total Pages:
JEL Codes:
Q11; G15; C32

 Record created 2017-04-01, last modified 2018-01-22

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