Volatility spillover and time-varying conditional correlation between DDGS, corn, and soybean meal markets

Xiaoli L. Etienne*, Andrés Trujillo-Barrera, Linwood A. Hoffman

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

4 Citations (Scopus)

Abstract

We find distiller's dried grains with solubles (DDGS) prices to be positively correlated with both corn and soybean meal prices in the long run. However, neither corn nor soybean meal prices respond to deviations from this long-run relationship. We also identify strong time-varying dynamic conditional correlations between the markets, with the correlation between DDGS and corn strengthened after the expansion of ethanol production. There also appear to exist significant volatility spillovers from both the corn and soybean meal markets to the DDGS market, with the impact from corn shocks much larger compared to soybean meal shocks.

Original languageEnglish
Pages (from-to)529-554
Number of pages26
JournalAgricultural and Resource Economics Review
Volume46
Issue number3
DOIs
Publication statusPublished - 11 Jul 2017

Keywords

  • Corn
  • Distiller's dried grains with solubles (DDGS)
  • Dynamic correlations
  • Price
  • Soybean meal
  • Spillover
  • Volatility

Fingerprint Dive into the research topics of 'Volatility spillover and time-varying conditional correlation between DDGS, corn, and soybean meal markets'. Together they form a unique fingerprint.

Cite this