@article{Rosa:122530,
      recid = {122530},
      author = {Rosa, Franco and Vasciaveo, Michela},
      title = {Volatility in US and Italian agricultural markets,  interactions and policy evaluation},
      address = {2012-02-23},
      number = {706-2016-48336},
      pages = {17},
      month = {Feb},
      year = {2012},
      abstract = {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.},
      url = {http://ageconsearch.umn.edu/record/122530},
      doi = {https://doi.org/10.22004/ag.econ.122530},
}