How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets
研究了美国、欧洲和亚洲的玉米、小麦、大豆期货市场之间的波动传导，发现市场高度关联，芝加哥市场对其他市场影响最大，且近年部分商品的市场关联性增强。
This paper examines the dynamics of volatility across major global exchanges for corn, wheat and soybeans in the USA, 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. In particular, Chicago 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.