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, Manuel A. Hernandez * † IFPRI , Washington DC , USA *Corresponding author: E-mail: [email protected] Search for other works by this author on: Oxford Academic Raul Ibarra ‡ Banco de Mexico , Mexico Search for other works by this author on: Oxford Academic Danilo R. Trupkin § Universidad de Montevideo , Uruguay Search for other works by this author on: Oxford Academic
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 [email protected]
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