DYNAMIC VOLATILITY SPILLOVERS BETWEEN AGRICULTURAL AND ENERGY COMMODITIES

This study contributes to the literature by using a spillover index method to examine the changing interrelations in volatility among corn and energy future prices. This methodology allows us to account for endogenously determined economic fundamentals and market speculation. After controlling for m...

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Bibliographic Details
Published in:Journal of agricultural and applied economics 2018-08, Vol.50 (3), p.291-318
Main Authors: XIARCHOS, IRENE M., BURNETT, J. WESLEY
Format: Article
Language:English
Subjects:
Agricultural commodities
Agricultural economics
Agricultural production
Commodities
Commodity prices
Corn
Crude oil
Crude oil prices
Economic models
Energy industry
Ethanol
Foreign exchange rates
Influence
Interest rates
Inventory
Macroeconomics
Market prices
Markets
Pricing
Raw materials
Seasonal variations
Volatility
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Summary:This study contributes to the literature by using a spillover index method to examine the changing interrelations in volatility among corn and energy future prices. This methodology allows us to account for endogenously determined economic fundamentals and market speculation. After controlling for market trends and seasonality, we find relative large increases in volatility spillovers between corn, crude oil, and ethanol futures prices. Our results suggest that the cross-commodity spillovers provide useful incremental information in determining future price volatility; however, a commodity's own dynamics explain the largest portion of volatility spillovers.
ISSN:1074-0708
2056-7405
DOI:10.1017/aae.2017.34