Not Available For Download

Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets

Saghaian, S., Nemati, M., Walters, C., & Chen, B. (2018). Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets. Journal of Agricultural and Resource Economics, 43 (1): 46-60.

Posted: 27 Jan 2017 Last revised: 8 Feb 2018

Sayed Saghaian

University of Kentucky - College of Agriculture - Department of Agricultural Economics

Mehdi Nemati

University of Kentucky - College of Agriculture - Department of Agricultural Economics

Cory Walters

University of Nebraska at Lincoln - College of Agricultural Sciences and Natural Resources - Department of Agricultural Economics

Bo Chen

University of Kentucky - Department of Agricultural Economics, Students

Date Written: January 30, 2018

Abstract

Linkages between agricultural commodity and energy prices have become more complex with increased ethanol production. The concern is whether the new corn–ethanol links lead to volatility spillover transmission between food and energy prices. We investigate asymmetric volatility spillovers between oil, corn, and ethanol prices using a BEKK-multivariate-GARCH approach. Additionally, we use daily, weekly, and monthly futures prices to examine whether the use of different-frequency data leads to inconsistent results. The results support the existence of asymmetric volatility transmission between corn and ethanol prices. Furthermore, the volatility spillover effects are different for the different-frequency prices, and positive and negative price changes generate inconsistent results.

Keywords: asymmetric BEKK-MGARCH modeling, biofuel, corn prices, crude oil prices, ethanol prices

Suggested Citation

Saghaian, Sayed and Nemati, Mehdi and Walters, Cory and Chen, Bo, Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets (January 30, 2018). Saghaian, S., Nemati, M., Walters, C., & Chen, B. (2018). Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets. Journal of Agricultural and Resource Economics, 43 (1): 46-60.. Available at SSRN: https://ssrn.com/abstract=2906336 or http://dx.doi.org/10.2139/ssrn.2906336

Sayed Saghaian (Contact Author)

University of Kentucky - College of Agriculture - Department of Agricultural Economics ( email )

Lexington, KY 40546
United States

Mehdi Nemati

University of Kentucky - College of Agriculture - Department of Agricultural Economics ( email )

Lexington, KY 40546
United States

Cory Walters

University of Nebraska at Lincoln - College of Agricultural Sciences and Natural Resources - Department of Agricultural Economics ( email )

Lincoln, NE 68583
United States

Bo Chen

University of Kentucky - Department of Agricultural Economics, Students ( email )

Lexington, KY
United States

Paper statistics

Abstract Views
286
PlumX