Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range-based estimator

G. Gozgor, C. Memis
2016 Agricultural Economics (AGRICECON)  
Th e paper examines the price volatility spillovers among the crude oil, soybeans, corn, wheat, and sugar futures markets over the period 1/1/2006-11/29/2013. We separately investigate the periods of the pre-crisis, the crisis, and the post-crisis in fi nancial markets. We use the Yang-Zhang estimators for the historical volatility and fi nd that there is a volatility sprawl from the crude oil to corn markets. Th ere is also bi-directional causality between the corn and soybeans markets. In
more » ... ans markets. In addition, we observe signifi cant volatility spillovers from both the soybeans and the corn markets to the wheat markets. Th e results are also valid in a diff erent sub-period analysis.
doi:10.17221/162/2014-agricecon fatcat:kbpwkavnz5gfzajaj5vcwhp6jq