Volatility in US and Italian agricultural markets, interactions and policy evaluation

The aim of this paper is to analyse the volatility and interactions among prices of agricultural commodities in Italy and US using the time series analysis. The cross market interactions are examined to test the hypothesis that the increased volatility of agricultural prices has been caused by crude oil price, then the cointegration and causality among different markets is also tested. For this analysis the spot prices of wheat, corn, soybeans in US and Italy and crude oil prices spanning from 2002 to 2010 are used. The results suggest the following considerations: i) the existence of causality in US markets with exogeneity of the oil on the US agricultural commodities, ii) evidence of cointegration between US and Italian commodities, suggesting a condition of market efficiency, iii) no evidence of cointegration between oil and Italian agri-commodities. The conclusion is that the oil volatility is transmitted to the US Ag- markets while US Ag- markets have influenced the volatility of the Italian agricultural markets.


Issue Date:
Feb 23 2012
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/122530
Total Pages:
17
JEL Codes:
C14; C19; Q13




 Record created 2017-04-01, last modified 2017-08-26

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