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Risks 2018, 6(4), 116; https://doi.org/10.3390/risks6040116

On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets

1
Department of Economics and Statistics, University of Salerno, Fisciano 84084, Italy
2
Dipartimento di Scienze Giuridiche, University of Salerno, Fisciano 84084, Italy
*
Author to whom correspondence should be addressed.
Received: 21 September 2018 / Revised: 3 October 2018 / Accepted: 4 October 2018 / Published: 10 October 2018
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Abstract

Addressing the volatility spillovers of agricultural commodities is important for at least two reasons. First, for the last several years, the volatility of agricultural commodity prices seems to have increased. Second, according to the Food and Agriculture Organization, there is a strong need for understanding the potential (negative) impacts on food security caused by food commodity volatilities. This paper aims at investigating the presence, the size, and the persistence of volatility spillovers among five agricultural commodities (corn, sugar, wheat, soybean, and bioethanol) and five Latin American (Argentina, Brazil, Chile, Colombia, Peru) stock market indexes. Overall, when a negative shock hits the commodity market, Latin American stock market volatility tends to increase. This happens, for instance, for the relationships from corn to Chile and Colombia and from wheat to Peru and Chile. View Full-Text
Keywords: agricultural commodity; volatility spillover; volatility impulse response function agricultural commodity; volatility spillover; volatility impulse response function
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Candila, V.; Farace, S. On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets. Risks 2018, 6, 116.

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