期刊
JOURNAL OF AGRICULTURAL AND APPLIED ECONOMICS
卷 50, 期 3, 页码 291-318出版社
CAMBRIDGE UNIV PRESS
DOI: 10.1017/aae.2017.34
关键词
Agricultural and energy commodities; commodity price volatility; volatility spillovers
资金
- Office of the Chief Economist, U.S. Department of Agriculture (USDA) [58-0111-11-004]
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.
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