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 volatility-spillover 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 volatility-spillover effects are different for the different-frequency prices, and positive and negative price changes generate inconsistent results.
This work is supported by the National Institute of Food and Agriculture, U.S. Department of Agriculture, Hatch project under KY004052 1012994.
This is publication No. 17-04-106 of the Kentucky Agricultural Experiment Station and is published with the approval of the director.
Saghaian, Sayed; Nemati, Mehdi; Walters, Cory; and Chen, Bo, "Asymmetric Price Volatility Transmission Between U.S. Biofuel, Corn, and Oil Markets" (2018). Agricultural Economics Faculty Publications. 11.