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Interrelationship and Volatility Transmission between Grain and Oil Prices

Kong, Minji; Han, Doo Bong; Nayga Jr., Rodolfo M. - Agricultural and Applied Economics Association - AAEA - 2012

This study analyzes the interrelationship and volatility between grain and oil prices. Specifically, the objective of this study is to investigate the volatility transmission mechanism of grain prices with oil prices, under the assumption that an increase in crude oil prices not only affects...

Persistent link: https://www.econbiz.de/10010881165

Market interdependence and volatility transmission among major crops

Gardebroek, Cornelis; Hernandez, Manuel A.; Robles, Miguel - Agricultural and Applied Economics Association - AAEA - 2013

This paper examines volatility transmission between corn, wheat and soybeans markets in the US. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these major crops on a daily, weekly and monthly basis. The period of analysis is...

Persistent link: https://www.econbiz.de/10010916275

Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

Hernandez, Manuel A.; Gardebroek, Cornelis - Agricultural and Applied Economics Association - AAEA - 2012

This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. The estimation results indicate a higher...

Persistent link: https://www.econbiz.de/10010916379

Spatial Analysis of Market Linkages in North Carolina Using Threshold Autoregression Models with Variable Transaction Costs

Bekkerman, Anton; Goodwin, Barry K.; Piggott, Nicholas E. - Agricultural and Applied Economics Association - AAEA - 2009

In North Carolina, where soybeans and corn are the two primary crops, the recent increase in the demand for U.S. corn has triggered a shift of farm acreage from soybeans to corn, leading to a rapid rise in prices of both commodities. However, the rate of the price changes, as well as the price...

Persistent link: https://www.econbiz.de/10005000499

THE TRANSMISSION OF PRICE VOLATILITY IN THE BEEF MARKETS

Natcher, William C.; Weaver, Robert D. - Agricultural and Applied Economics Association - AAEA - 1999

This paper reconsiders the implications of efficient markets for transmission of price volatility across markets. Tests of volatility transmission are based on conditional variances. Results are reported for key grain and beef markets. Transmission across cash, futures, and options is considered.

Persistent link: https://www.econbiz.de/10005806420

Singerman, Ariel; Lence, Sergio H. - Agricultural and Applied Economics Association - AAEA - 2010

Persistent link: https://www.econbiz.de/10009020258

Interdependencies in the Energy-Bioenergy-Food Price Systems: A Cointegration Analysis

Ciaian, Pavel; Kancs, d'Artis - Agricultural and Applied Economics Association - AAEA - 2010

commodities. However, the co-integration is weaker than theoretically predicted. The price effect of bioenergy might be mitigated …

Persistent link: https://www.econbiz.de/10009020331

The Pattern of Integration between Fossil Fuel and Vegetable Oil Markets: The Case of Biodiesel in Germany

Busse, Stefan; Brummer, Bernhard; Ihle, Rico - Agricultural and Applied Economics Association - AAEA - 2010

With this paper, we provide the first quantitative investigation of vertical price transmission in the biodiesel supply chain in Germany with the focus on the developments during the food crisis and the impact of subsidized US biodiesel exports. With the strong promotion of the production and...

Persistent link: https://www.econbiz.de/10009020406

Semiparametric Evidence on the Nature of Price Transmission in Tanzanian Maize Markets

Ihle, Rico; von Cramon-Taubadel, Stephan - Agricultural and Applied Economics Association - AAEA - 2010

Maize is a major staple food in Sub-Saharan Africa. Monthly maize prices in Tanzania are analyzed since the country is an important maize producer and exporter in East Africa. We analyze price transmission between the five most important urban regions of Tanzania between 2000 and 2008 which...

Persistent link: https://www.econbiz.de/10009020487

Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing?

Mallory, Mindy L.; Lence, Sergio H. - Agricultural and Applied Economics Association - AAEA - 2010

This study highlights some problems with using the Johansen cointegration statistics on data containing a negative … the asymptotic distribution of the Johansen cointegration statistics is sensitive to the NMA parameters and that using the … performance of the Johansen cointegration statistics; however our study demonstrates that problems associated with a NMA in the …

Persistent link: https://www.econbiz.de/10009020679