Volatility Spillover and Time-Varying Conditional Correlation Between DDGS, Corn, and Soybean Meal Markets-Reference-Cited by-同舟云学术

Volatility Spillover and Time-Varying Conditional Correlation Between DDGS, Corn, and Soybean Meal Markets

Published:2017-07-11 Issue:3 Volume:46 Page:529-554
ISSN:1068-2805
Container-title:Agricultural and Resource Economics Review
language:en
Short-container-title:Agric. Resour. Econom. Rev.

Author:

Etienne Xiaoli L.,Trujillo-Barrera Andrés,Hoffman Linwood A.

Abstract

We find distiller's dried grains with solubles (DDGS) prices to be positively correlated with both corn and soybean meal prices in the long run. However, neither corn nor soybean meal prices respond to deviations from this long-run relationship. We also identify strong time-varying dynamic conditional correlations between the markets, with the correlation between DDGS and corn strengthened after the expansion of ethanol production. There also appear to exist significant volatility spillovers from both the corn and soybean meal markets to the DDGS market, with the impact from corn shocks much larger compared to soybean meal shocks.

Publisher

Cambridge University Press (CUP)

Subject

Economics and Econometrics,Agronomy and Crop Science

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