Volatility transmission in agricultural futures markets |
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| Institution: | 1. University of Duisburg-Essen, Department of Economics, Chair for Macroeconomics, D-45117 Essen, Germany;2. University of Duisburg-Essen, Department of Economics, Chair for Econometrics, D-45117 Essen, Germany;3. FOM Hochschule für Oekonomie & Management, University of Applied Sciences, Herkulesstr. 32, D-45127 Essen, Germany;1. Department of Finance and Accounting, University of Tunis El Manar, Tunis, Tunisia;2. Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman;3. Montpellier Business School, Montpellier, France;4. Faculty of Applied Economics, IBS Hyderabad, IFHE University Hyderabad, Hyderabad, India;5. USEK Business School, Holy Spirit University of Kaslik, PO BOX 446, Jounieh, Lebanon;1. Department of Finance and Accounting, El Manar University, B.P. 248, C.P. 2092 Tunis Cedex, Tunisia;2. Lebow College of Business, Drexel University, Philadelphia, PA 19104-2875, United States;3. IPAG Lab, IPAG Business School, 184 Boulevard Saint-Germain, 75006 Paris, France;4. Department of Economics, Pusan National University, Busan 609-735, Republic of Korea |
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| Abstract: | After the huge rise and fall of agricultural commodity spot and futures prices between 2007 and 2008, the potential reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the academic literature. However, owing to the increasing interdependence of global markets, an isolated examination of single futures markets does not seem to be appropriate. Therefore, the aim of this study is to investigate the volatility spillover between various agricultural futures markets from a new perspective. To do this, we use data for the prices of first nearby futures contracts for corn, cotton, and wheat and estimate GARCH-in-mean VAR models in the tradition of Elder (2003). Our results provide evidence in favor of an existing short-run volatility transmission process in agricultural futures markets. |
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