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
Date Written: January 30, 2018
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
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