| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets
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| Autores: |
Hernandez, Manuel A.
Ibarra, Raul
Trupkin, Danilo R.
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| Data: |
2012-02-23
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| Ano: |
2012
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| Palavras-chave: |
Volatility transmission
Agricultural commodities
Futures markets
Multivariate GARCH
Risk and Uncertainty
Q11
G15
C32
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| Resumo: |
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.
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| Tipo: |
Presentation
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| Idioma: |
Inglês
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| Identificador: |
http://purl.umn.edu/122511
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| Relação: |
European Association of Agricultural Economists>123rd Seminar, February 23-24, 2012, Dublin Ireland
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| Formato: |
27
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