Wheat and Corn Prices and Energy Markets: Spillover Effects

dc.contributor.author Onour, Ibrahim Ahmed
dc.contributor.author Sergi,Bruno S.
dc.date.accessioned 2016-05-19T10:50:48Z
dc.date.available 2016-05-19T10:50:48Z
dc.date.issued 2016
dc.description.abstract This paper investigates volatility spillover across crude oil market and wheat and corn markets. The corn commodity is taken here to assess the impact of change in demand for biofuel on wheat market. Results of multivariate GARCH model show evidence of corn price volatility transmission to wheat market. Our results indicate that while shocks (unexpected news) in crude oil market have significant impact on volatility in wheat and corn markets, the effect of crude oil price changes on wheat and corn prices is insignificant. The impulse response analysis also indicates shocks in oil markets have permanent effect on wheat and corn price changes. This reveals the influence of future crude oil markets on global food price volatility. Also indicated that fertilisers markets influenced by own-shocks and shocks in oil markets. Thus, shocks in crude oil markets have direct and indirect effects (via fertilisers markets) on food commodity markets en_US
dc.identifier.uri http://khartoumspace.uofk.edu/123456789/21473
dc.publisher University of Khartoum en_US
dc.subject volatility; global food; impulse response en_US
dc.title Wheat and Corn Prices and Energy Markets: Spillover Effects en_US
dc.type Publication en_US
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