Market interdependence and volatility transmission among major crops

This paper examines volatility transmission between corn, wheat and soybeans markets in the US. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these major crops on a daily, weekly and monthly basis. The period of analysis is 1998 through 2012. Preliminary results indicate lack of cross-market dependence between corn, wheat and soybeans price returns at the mean level. We find, however, important volatility spillovers across commodities, particularly on a weekly basis. Corn, and in lower extent wheat, seem to play a major role in terms of spillover effects. Additionally, we do not observe that agricultural markets have become more interdependent in recent years, despite the apparent higher financial market integration of agricultural commodities