Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83689
Authors: 
Hernández, Manuel A.
Ibarra-Ramírez, Raúl
Trupkin, Danilo R.
Year of Publication: 
2011
Series/Report no.: 
Working Papers, Banco de México 2011-15
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 results indicate that agricultural markets are highly interrelated and there are both own- and cross-volatility spillovers and dependence among most of the exchanges. The results also 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.
Subjects: 
volatility transmission
agricultural commodities
futures markets
Multivariate GARCH
JEL: 
Q02
G15
Q11
C32
Document Type: 
Working Paper
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