期刊名称：Journal of Agricultural and Resource Economics
印刷版ISSN：1068-5502
出版年度：2018
卷号：43
期号：1
页码：46-60
出版社：WAEA
摘要：Linkages between agricultural commodity and energy prices have become more complex withincreased ethanol production. The concern is whether the new corn–ethanol links lead to volatilityspillovertransmission between food and energy prices. We investigate asymmetric volatilityspillovers 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 useof different-frequency data leads to inconsistent results. The results support the existence ofasymmetric volatility transmission between corn and ethanol prices. Furthermore, the volatilityspillovereffects are different for the different-frequency prices, and positive and negative pricechanges generate inconsistent results.
