Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

C. Gardebroek, M.A. Hernandez

Research output: Contribution to conferenceConference paperAcademicpeer-review

Abstract

This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher interaction between ethanol and corn markets in recent years, particularly after 2006. We only observe, however, significant volatility spillovers from corn to ethanol prices but not the converse. We also do not find major cross-volatility effects from oil to corn markets. The results do not provide evidence of volatility in energy markets stimulating price volatility in grain markets.
Original languageEnglish
Publication statusPublished - 2012
Event123rd EAAE Seminar, Dublin -
Duration: 23 Feb 201224 Feb 2012

Seminar

Seminar123rd EAAE Seminar, Dublin
Period23/02/1224/02/12

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