How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets (2024)

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Volume 41 Issue 2 April 2014
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Manuel A. Hernandez *

IFPRI

,

Washington DC

,

USA

*Corresponding author: E-mail: m.a.hernandez@cgiar.org

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,

Raul Ibarra

Banco de Mexico

,

Mexico

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Danilo R. Trupkin

§

Universidad de Montevideo

,

Uruguay

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European Review of Agricultural Economics, Volume 41, Issue 2, April 2014, Pages 301–325, https://doi.org/10.1093/erae/jbt020

Published:

23 August 2013

Article history

Received:

01 December 2011

Accepted:

01 May 2013

Published:

23 August 2013

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    Manuel A. Hernandez, Raul Ibarra, Danilo R. Trupkin, How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets, European Review of Agricultural Economics, Volume 41, Issue 2, April 2014, Pages 301–325, https://doi.org/10.1093/erae/jbt020

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Abstract

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.

© Oxford University Press and Foundation for the European Review of Agricultural Economics 2013; all rights reserved. For permissions, please email journals.permissions@oup.com

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