@article{Avileis:309628,
      recid = {309628},
      author = {Avileis, Felipe Grimaldi and Mallory, Mindy},
      title = {The Impact of Brazil on Global Grain Dynamics: A Study on  Cross-market Volatility Spillovers},
      address = {2019},
      number = {2213-2021-760},
      pages = {37},
      year = {2019},
      abstract = {We will investigate the evolution of the relationship  between Brazilian and Global grain markets. Through a three  step approach, we will test the series for cointegration,  proceed with the adequate modeling (VAR or VECM) and use  the residuals of these models to estimate a BEKK GARCH and  relative volatility spillovers across two time periods,  before and after Brazil started double-cropping. Our  results indicate no significant cointegration between corn  and soybeans markets before Brazil started double-cropping  and significant cointegration after, for both markets.  Volatility spillovers dynamics also changes, from no  spillovers to spillovers from and to Brazil on corn, and  from the US spilling over Brazil to Brazil spilling over to  the US on soybeans. Our results are important because they  show that the importance of Brazil to global grain price  formation is substantial and risk managers must be aware of  it in order to perform well.},
      url = {http://ageconsearch.umn.edu/record/309628},
      doi = {https://doi.org/10.22004/ag.econ.309628},
}