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Price Volatility, Nonlinearity, and Asymmetric Adjustments in Corn, Soybean, and Cattle Markets: Implications of Ethanol-Driven (Market) Shocks AgEcon
Tejeda, Hernan A.; Goodwin, Barry K..
Grain prices have risen sharply since 2005 and 2006 affecting livestock markets by increasing feed prices and leading to significant volatility shocks. The high price levels and magnitude of sustained high volatilities has raised concerns for many sectors of the economy, in particular those with direct relation to these markets. Policy makers are analyzing the interrelationships among these markets, and the effects of energy market shocks on agricultural markets. This study considers a threshold structure in a multivariate time-series model that evaluates these market linkages, capturing asymmetric correlations between grain and livestock prices, including volatility spillovers. We empirically study the impact of corn usage for ethanol production in the...
Tipo: Conference Paper or Presentation Palavras-chave: Price volatility; Market linkages; Thresholds; Ethanol-driven shocks; Asymmetric correlations; Spillovers; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Demand and Price Analysis; Farm Management; Financial Economics; Public Economics; Research Methods/ Statistical Methods.
Ano: 2009 URL:
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