How far do shocks move across borders? examining volatility transmission in major agricultural futures markets

Hernández, Manuel A.; Ibarra, Raúl; Trupkin, Danilo

dc.rights.license	Attribution-NonCommercial-NoDerivatives 4.0 Internacional	*
dc.contributor.author	Hernández, Manuel A.
dc.contributor.author	Ibarra, Raúl
dc.contributor.author	Trupkin, Danilo
dc.date.accessioned	2022-03-21T19:31:13Z
dc.date.available	2022-03-21T19:31:13Z
dc.date.issued	2011	es
dc.identifier.uri	https://hdl.handle.net/20.500.12806/1319
dc.description.abstract	This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States, Europe, and Asia. We account for the potential bias that may arise when considering exchanges with different closing times. The period of analysis is 2004-2009 for corn and soybeans, and 2005-2009 for wheat. 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. There is higher interaction between the United States (Chicago) and both Europe and Asia than within the latter. The results further show the major role Chicago plays in terms of spillover effects over the other markets, particularly for corn and wheat. Additionally, the level of interdependence between exchanges has only increased in recent years for some of the commodities. Implications for potential regulatory policies of agricultural futures markets are also briefly discussed.	es
dc.format.extent	53 p.	es
dc.format.mimetype	application/pdf	es
dc.language	eng	es
dc.publisher	Universidad de Montevideo, Facultad de Ciencias Empresariales y Economía, Departamento de Economía	es
dc.relation.ispartof	Documentos de trabajo del Departamento de Economía; UM_CEE_2011_09	es
dc.rights	Abierto	es
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	*
dc.subject	Volatility transmission	es
dc.subject	Agricultural commodities	es
dc.subject	Futures markets	es
dc.subject	Multivariate	es
dc.title	How far do shocks move across borders? examining volatility transmission in major agricultural futures markets	es
dc.type	Documento de trabajo	es
dc.contributor.filiacion	Trupkin, Danilo. Universidad de Montevideo, Uruguay	es
dc.type.version	Publicada	es