Hernandez M.A., Ibarra R., Trupkin D.R. (2014). How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets. European review of agricultural economics [Papier], 01/04/2014, vol. 41, n. 2, p. 301-325.
https://doi.org/10.1093/erae/jbt020
https://doi.org/10.1093/erae/jbt020
Titre : | How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets (2014) |
Auteurs : | M.A. Hernandez ; R. Ibarra ; D.R. Trupkin |
Type de document : | Article |
Dans : | European review of agricultural economics [Papier] (vol. 41, n. 2, April 2014) |
Article en page(s) : | p. 301-325 |
Langues : | Anglais |
Langues du résumé : | Anglais |
Catégories : |
Thésaurus IAMM MATIERE PREMIERE ; PRODUIT AGRICOLE ; COMMERCE AGRICOLE ; VOLATILITE DES PRIX ; MAIS ; SOJA ; BLE ; MARCHE MONDIALCatégories principales 11 - COMMERCE ; 11.3 - Commerce Extérieur et International |
Résumé : | This paper examines the dynamics of volatility across major global exchanges for corn, wheat and soybeans in the USA, 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. In particular, Chicago 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. |
Cote : | Demander à l'accueil |
URL / DOI : | https://doi.org/10.1093/erae/jbt020 |