DYNAMIC VOLATILITY SPILLOVERS BETWEEN AGRICULTURAL AND ENERGY COMMODITIES

被引：11
|
作者：
Xiarchos, Irene M. [1 ]
Burnett, J. Wesley [2 ]
机构：
[1] USDA, Off Energy Policy & New Uses, Off Chief Economist, Washington, DC 20250 USA
[2] Coll Charleston, Dept Econ, Charleston, SC 29401 USA
来源：
JOURNAL OF AGRICULTURAL AND APPLIED ECONOMICS | 2018年 / 50卷 / 03期
关键词：
Agricultural and energy commodities; commodity price volatility; volatility spillovers;
D O I：
10.1017/aae.2017.34
中图分类号：
F3 [农业经济];
学科分类号：
0202 ; 020205 ; 1203 ;
摘要：
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.
引用
收藏
页码：291 / 318
页数：28
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