文章基本信息

标题：Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets
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作者：Trujillo-Barrera, Andres ; Mallory, Mindy L. ; Garcia, Philip 等
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2012
页码：247-262
出版社：Food Distribution Research Society
摘要：This article analyzes recent volatility spillovers in the United States from crude oil using futures prices. Crude oil spillovers to both corn and ethanol markets are somewhat similar in timing and magnitude, but moderately stronger to the ethanol market. The shares of corn and ethanol price variability directly attributed to volatility in the crude oil market are generally between 10%- 20%, but reached nearly 45% during the financial crisis, when world demand for oil changed dramatically. Volatility transmission is also found from the corn to the ethanol market, but not the opposite. The findings provide insights into the extent of volatility linkages among energy and agricultural markets in a period characterized by strong price variability and significant production of corn-based ethanol.
关键词：biofuels;corn;crude oil;energy-agricultural co-movements;ethanol;multivariate GARCH;volatility spillovers