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.
|Number of pages||15|
|Journal||Journal of Agricultural and Resource Economics|
|State||Published - Jan 2018|
Bibliographical noteFunding Information:
Sayed Saghaian is a professor and Mehdi Nemati is a PhD candidate in the Department of Agricultural Economics at the University of Kentucky. Cory Walters is an assistant professor in the Department of Agricultural Economics at the University of Nebraska-Lincoln. Bo Chen is an associate professor at the Huazhong Agricultural University College of Economics & Management, Wuhan, China. This is publication No. 17-04-106 of the Kentucky Agricultural Experiment Station and is published with the approval of the director. This work is supported by the National Institute of Food and Agriculture, U.S. Department of Agriculture, Hatch project under KY004052 1012994. We appreciate the anonymous reviewers’ comments. Any remaining errors are the sole responsibility of the authors. Review coordinated by Tian Xia.
© 2018 Western Agricultural Economics Association.
- Asymmetric BEKK-MGARCH modeling
- Corn prices
- Crude oil prices
- Ethanol prices
ASJC Scopus subject areas
- Animal Science and Zoology
- Agronomy and Crop Science
- Economics and Econometrics