{"title":"美国生物燃料、玉米和石油市场之间的不对称价格波动传导","authors":"S. Saghaian, M. Nemati, C. Walters, Bo Chen","doi":"10.2139/SSRN.2906336","DOIUrl":null,"url":null,"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.","PeriodicalId":54890,"journal":{"name":"Journal of Agricultural and Resource Economics","volume":"43 1","pages":"46-60"},"PeriodicalIF":1.2000,"publicationDate":"2018-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets\",\"authors\":\"S. Saghaian, M. Nemati, C. Walters, Bo Chen\",\"doi\":\"10.2139/SSRN.2906336\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":54890,\"journal\":{\"name\":\"Journal of Agricultural and Resource Economics\",\"volume\":\"43 1\",\"pages\":\"46-60\"},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2018-01-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Agricultural and Resource Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.2139/SSRN.2906336\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"AGRICULTURAL ECONOMICS & POLICY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Agricultural and Resource Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.2139/SSRN.2906336","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"AGRICULTURAL ECONOMICS & POLICY","Score":null,"Total":0}
Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets
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.
期刊介绍：
The mission of the Journal of Agricultural and Resource Economics is to publish creative and scholarly economic studies in agriculture, natural resources, and related areas. Manuscripts dealing with the economics of food and agriculture, natural resources and the environment, human resources, and rural development issues are especially encouraged. The Journal provides a forum for topics of interest to those performing economic research as well as to those involved with economic policy and education. Submission of comments on articles previously published in the Journal is welcomed.
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