Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets
By: Saghaian, Sayed; Nemati, Mehdi; Walters, Cory; Chen, Bo
Saghaian, Sayed; Nemati, Mehdi; Walters, Cory; Chen, Bo, Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets, Journal of Agricultural and Resource Economics, Volume 43, Issue 1, January 2018, Pages 46-60
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.