Asymmetric price volatility transmission between U.S. Biofuel, Corn, and Oil Markets

Sayed Saghaian, Mehdi Nemati, Cory Walters, Bo Chen

Research output: Contribution to journalArticlepeer-review

41 Scopus citations

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 volatilityspillover 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 volatilityspillover effects are different for the different-frequency prices, and positive and negative price changes generate inconsistent results.

Original languageEnglish
Pages (from-to)46-60
Number of pages15
JournalJournal of Agricultural and Resource Economics
Volume43
Issue number1
StatePublished - Jan 2018

Bibliographical note

Publisher Copyright:
© 2018 Western Agricultural Economics Association.

Keywords

  • Asymmetric BEKK-MGARCH modeling
  • Biofuel
  • Corn prices
  • Crude oil prices
  • Ethanol prices

ASJC Scopus subject areas

  • Animal Science and Zoology
  • Agronomy and Crop Science
  • Economics and Econometrics

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