Onour, Ibrahim and Sergi, Bruno (2011): Global food and energy markets: volatility transmission and impulse response effects.
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This paper investigates volatility spillover across crude oil market and wheat and corn markets. The corn commodity is taken here to assess the impact of change in demand for biofuel on wheat market. Results of multivariate GARCH model show evidence of corn price volatility transmission to wheat market . Our results indicate that while shocks (unexpected news) in crude oil market have significant impact on volatility in wheat and corn markets, the effect of crude oil price changes on corn and wheat markets is insignificant. The impulse response analysis indicate shocks in oil markets have permanent effect on food commodity price changes. Also indicated that fertilizers markets influenced by own-shocks and shocks in oil markets.
|Item Type:||MPRA Paper|
|Original Title:||Global food and energy markets: volatility transmission and impulse response effects|
|Keywords:||Volatility, global food, impulse response|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q1 - Agriculture > Q18 - Agricultural Policy; Food Policy
|Depositing User:||A Onour|
|Date Deposited:||13. Oct 2011 15:23|
|Last Modified:||13. Feb 2013 06:08|
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