Abstract
This article investigates the relationship between agricultural and energy commodity markets by measuring the volatility transmissions between future contracts through a spillover index that can be partitioned into different frequency bands. We use data from Chicago Mercantile Exchange and the Intercontinental Exchange of New York from March 3, 2000 to May 4, 2017, including ten different commodities. We show that volatility transmissions increased after the 2006-2008 food crisis, but has fallen after 2013. Around 74.4% of the volatility in those markets is transmitted from one to four days since the shock has occurred. Corn, wheat and soybeans are the main transmitters and receivers of volatility, while oil is significantly more important than natural gas in terms of price volatility transmissions.
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