How far do shocks move across borders?: Examining volatility transmission in major agricultural futures markets

This paper examines the level of interdependence and volatility transmission across major exchanges of maize, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach to explore in detail and under different specifications the dynamics and cross-dynamics of volatility in agricultural futures markets. We account for the potential bias that may arise when considering exchanges with different closing times. The period of analysis is 2004–2009 for maize and soybeans and 2005–2009 for wheat. The results indicate that there is a strong correlation among international markets. In particular, we find both own- and cross-volatility spillovers and dependence between most of the exchanges. There is also higher interaction between the United States (Chicago) and both Europe and Asia than within the latter. The results further show the major role Chicago plays in terms of spillover effects over the other markets, particularly for maize and wheat. For soybeans, both China and Japan also exhibit important cross-volatility spillovers. Finally, the level of interdependence between exchanges has not necessarily increased in recent years for all commodities. From a policy perspective, these findings suggest that any potential regulatory scheme to address (excessive) price volatility in agricultural exchanges should be coordinated across markets; localized regulation will have limited effects given the high level of interrelation between markets.volatility transmission, agricultural commodities, futures markets, multivariate GARCH,

How Far Do Shocks Move Across Borders? Examining Volatility Transmission in Major Agricultural Futures Markets

This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States, Europe, and Asia. We account for the potential bias that may arise when considering exchanges with different closing times. The results indicate that agricultural markets are highly interrelated and there are both own- and cross- volatility spillovers and dependence among most of the exchanges. The results also show the major role Chicago plays in terms of spillover effects over the other markets, particularly for corn and wheat. Additionally, the level of interdependence between exchanges has only increased in recent years for some of the commodities.Volatility transmission, agricultural commodities, futures markets, Multivariate GARCH.

How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

This paper examines the dynamics of volatility across major global exchanges for corn, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach and account for the potential bias that may arise when considering exchanges with different closing times. The results indicate that agricultural markets are highly interrelated and there are both own- and cross-volatility spillovers and dependence among most of the exchanges. Chicago particularly plays a major role in terms of spillover effects over other markets. Additionally, the level of interdependence between exchanges has only increased in recent years for some commodities

How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

This paper examines the dynamics of volatility across major global exchanges for corn, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach and account for the potential bias that may arise when considering exchanges with different closing times. The results indicate that agricultural markets are highly interrelated and there are both own- and cross-volatility spillovers and dependence among most of the exchanges. Chicago particularly plays a major role in terms of spillover effects over other markets. Additionally, the level of interdependence between exchanges has only increased in recent years for some commodities

El multiplicador monetario en el ciclo económico de la Argentina

El carácter procíclico de los agregados monetarios es un hecho que ha sido explicado por la presencia del multiplicador monetario de carácter endógeno. Desde esta perspectiva,\n\nla parte de los agregados que corresponde a los depósitos bancarios es la que se correlaciona positivamente con el nivel de actividad. En este trabajo analizamos los hechos estilizados que hacen a la presencia de un multiplicador endógeno utilizando un modelo de equilibrio general dinámico y estocástico (DSGE) calibrado para la economía argentina. De acuerdo con los resultados, este multiplicador presenta características particulares en una economía con amplia volatilidad como la argentina