Dynamics between North American and European Agricultural Futures Prices During Turmoil and Financialization

20 Pages Posted: 10 Jan 2017

See all articles by Philipp Adämmer

Philipp Adämmer

Helmut Schmidt University Hamburg - Department of Mathematics and Statistics

Martin T. Bohl

University of Muenster

Ernst‐Oliver von Ledebur

Johann Heinrich von Thünen Institute (vTI)

Date Written: January 2017

Abstract

North American and European agricultural futures markets faced significant changes in recent years, i.e., the financialization which originated in the USA, the increase of futures trading in Europe and the recent price turmoils in international commodity markets. We analyse the long‐ and short‐run dynamics between North American and European agricultural futures prices during these institutional changes. The empirical results show that the US markets lead in terms of price transmissions and volatility spillovers. US markets, however, predominantly react to deviations from the long‐run equilibrium which indicates a rising impact of European agricultural markets on a global scale.

Keywords: price transmission, volatility spillovers, VECM, VAR, GARCH, dynamic conditional correlations

JEL Classification: G10, Q10, Q11

Suggested Citation

Adämmer, Philipp and Bohl, Martin T. and von Ledebur, Ernst‐Oliver, Dynamics between North American and European Agricultural Futures Prices During Turmoil and Financialization (January 2017). Bulletin of Economic Research, Vol. 69, Issue 1, pp. 57-76, 2017, Available at SSRN: https://ssrn.com/abstract=2896440 or http://dx.doi.org/10.1111/boer.12079

Philipp Adämmer (Contact Author)

Helmut Schmidt University Hamburg - Department of Mathematics and Statistics ( email )

Hostenhofweg 85
Hamburg, 22043
Germany

Martin T. Bohl

University of Muenster ( email )

Schlossplatz 2
D-48149 Muenster, D-48149
Germany

Ernst‐Oliver Von Ledebur

Johann Heinrich von Thünen Institute (vTI)

Bundesallee 50
Braunschweig 38116
Germany

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