Major Agricultural Commodities Research Articles

A Volatility Analysis of Agricultural Commodity and Crude Oil Global Markets

The purpose of this study is to provide insights on volatility features of major agricultural commodity global markets. In order to achieve this, we estimate the volatility in the global markets of crude oil and four main agricultural commodities, namely rice, wheat, cotton and coffee over the period 1980:2014. We also investigate the nexus between the volatilities in these global markets. More precisely, we first model the volatility of agricultural commodity and crude oil markets based on the GARCH methodology. Second, we assess the risk in these global markets by the Value-at-Risk technique. Finally, we evaluate the co-movements between returns in agricultural commodity and crude oil markets by the copula methodology. Our empirical findings reveal that, unlike in the financial market, upside shocks in the agricultural market tend to increase volatility more than downside shocks do. In addition to that, risk in global agricultural commodity markets turned out to be high and little evidence in favor of interdependence between these markets is found. Moreover, the co-movement between agricultural commodity market risk and oil prices is detected for recent years only and little evidence is found for the whole sample period.

Enhancing Pulses Production in Bihar: Constraints and Strategies for Sustainable Growth

Food grains are the major agricultural commodity, produced on about 93 percent of cropped area, of which pulses share merely 7.06 per cent and the productivity of pulses ranges between 819 kg/ha in 2000-01 to 897 kg/ha in 2013-14. Bihar ranks 9th in terms of pulses production with a contribution of 0.52 million tons to the national pulse pool. Traditionally pulses have been considered important elements of cropping systems in the Bihar, but with the introduction of irrigation and high profitability of alternative sources of soil nutrients in the form of inorganic fertilizers in 1960s, pulses were replaced or relegated to marginal lands and were substituted by high- yielding varieties of rice and wheat. There has been an incessant decline in pulses area, production and productivity during last three and half decades accounting for about 437.24 thousand hectares, 428.93 thousand tons and 981 kg ha-1 respectively in 2014 - 15 against the corresponding figures of 717.2 thousand hectares, 620.7 thousand tons and 865 kg ha-1 in 2000-01 registering a compound annual decline of -2.5 percent in area and -0.41 percent in production but productivity increased by 2.15 percent per annum. Lentil is only crop which has performed well in Bihar whereas area and production of most of the major pulses have gone down. In Bihar 2.2 million ha rice fallow land is there which are most suitable for pulses cultivation where medium and long duration paddy is cultivated and after field vacating due to lack of irrigation facility and delay normally the field remains vacant. Post rainy season crop becomes difficult but in some areas relay cropping of small seeded lentil and lathyrus is done by broadcasting the seeds in the standing crop of rice 7-10 days before harvest when there is adequate moisture for germination and converting these mono-cropped areas into double cropped ones by pulses like moong, urd, and lathyrus can increase pulse production and sustain productivity of the rice-based system. There is need to popularize this system by developing varieties suitable for relay cropping and standardization of this agro-technology. Pulse production in Bihar is adversely affected by a number of biotic and abiotic stresses which can be overcome by assembling the available components of integrated pest management like host plant resistance, cultural practices to disrupt the life cycles of pests, and need-based use of pesticides and to validate them in farmers' participatory on-farm trial and demonstration in farmers field, to deliver management components effectively to stabilize and increase the productivity of pulses. There is also need to strengthen extension efforts to disseminate available pulse technologies through on-farm demonstrations and farmers' participatory research.

The Farmer’s Perception On Weaverbird Pest On Agricultural Crop Damage In Ekona Farming Area, Southwest Region, Cameroon

Birds scaring in traditional African agriculture are an important part of a family’s farming activity. Presently, farmers are protecting their crops from birds with the same traditional techniques used since crop cultivation began, including trying to frighten birds by shouting; using noise making devices such as cans, drums, or cracking whips, and throwing mudstones. The Southwest Region of Cameroon is known for its potentials in the production of major agricultural commodities, but farmers’ yields are low and dwindling over time due to some major constraints like the weaverbird pest. Hence, the objective of this study was to assess the crop damage caused by the weaverbird population in Ekona farming area. The data collection method was done by the used of questionnaire. A total of 504 questionnaires were administered to farmers. The research data was analyzed by the use of chi-square and correlation. The results obtained showed that there is a significant relationship between challenges faced by farmers and weaverbird attack (R2=0.581,P<0.05). Moreso, 65% of farmers rated weaverbird as regular pest while 37.5% refused. Also, about 35.3% of the respondents used their voices and clapping to repel the weaverbirds, 11.8% used tools like scare-crows and noisy vessels, and 17.3% used stones as methods to control weaverbirds, about 97.2% of the respondents reported that they felt discouraged at times due to weaverbird menace on their crops and 2.8% did not feel same way. Evaluating crop attacked by weaverbirds, respondents acknowledged that maize; plantains and oil palm were the crops mostly attacked by weaver birds with 99.2%, 99.2% and 100% respectively, 59.5% for fruit trees and 1.98% for tubers. This survey has revealed a severe conflict between the farmers and the weaverbirds and the farmers yield increase depends on the proper protective mechanism of agricultural crops against the weaverbird population.

Analisis Faktor Konfirmatori Bauran Pemasaran Untuk Penciptaan Brand Image Pisang Mas Kirana (Musa Acuminate) Kabupaten Lumajang

Economic developments in Lumajang still based on agriculture sector. One of the major agricultural commodities in Lumajang with patented flagship product is the “Pisang Mas Kirana”. Characteristics of “Pisang Mas Kirana” is no different than other agricultural commodities, which is easily broken and consumed in a fresh state, so it needs special treatment in post-harvest handling and the right strategy for the marketing of “Pisang Mas Kirana” to be effective and efficient. One marketing strategy that is widely used is to analyze the marketing mix “Pisang Mas Kirana”. The purpose of this study was to determine the relationship of each indicator with the marketing mix variables that influence and contribute to the creation of the brand image of “Pisang Mas Kirana”, with the maximum likelihood estimation (MLE) method to estimate the model parameters. The analysis technique used in this study is a confirmatory factor analysis. The results showed that the perception of respondents study to the marketing mix and brand image “Pisang Mas Kirana” were good. Most powerful indicator as a measuring product variable was the color, while the weakest was the packaging. Most powerful indicator as a measure of price variables were price variations, while the weakest was the price of “Pisang Mas Kirana”. Most powerful indicator variable as a measure of the distribution channel was location, while the weakest was transportation. Most powerful indicator as a measure of promotion variable was the media of the promotion, while the weakest was clear information. Most powerful indicator variable as a measure of brand image was the image of the consumer, while the weakest were the image makers.

Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment

Using monthly data between 1970 and 2013, we provide a comprehensive analysis of the extent of co-movement (measured by correlation coefficients) among the nominal price returns of 11 major energy, agricultural, and food commodities. We study the degree and the time evolution of unconditional and conditional correlations using a uniform-spacings estimation and testing approach, multivariate dynamic conditional correlation models, and a rolling regression procedure. We find that (1) the price returns of energy and agricultural commodities are highly correlated; (2) the overall level of co-movement among commodities increased in recent years, especially between energy and agricultural commodities, and in particular in the cases of maize and soybean oil, which are important inputs in the production of biofuels; and (3) the stock market volatility is positively associated with the co-movement of price returns across markets, especially after 2007.

Spekulation am Terminmarkt und die Preisentwicklung von Agrarrohstoffen am Kassamarkt: Eine Zeitreihenanalyse der CFTC Berichte für Weizen, Mais und Sojabohnen / Speculation in Futures Markets and the Impact on Agricultural Commodity Prices: A Time Series Analysis of the CFTC Reports for Wheat, Corn and Soybeans

Summary Over the last few years, rising prices and increasing price volatility of major agricultural food commodities were observed. This caused a debate among various organizations about who is responsible for this development. While many Non-Governmental Organizations proclaim that speculations in future markets cause the rise in food prices, academic research provides ambiguous results on this topic. This controversy is the motivation for this study. In order to offer additional insights, the relationship between the price changes of corn, wheat, and soybeans and the corresponding changes in open interests are analyzed. Commitments of Traders as well as Disaggregated Commitments of Traders reports are investigated to determine whether the activities of speculators adversely affect food prices. First, Johansen cointegration tests are employed to analyze the relationship between price and position data. Second, VAR and VECM are used to analyze short- and long-term dynamics. The results of the empirical analysis demonstrate that in the short-run price changes precede changes in open interest. Additionally, soybeans show a long-run equilibrium relationship between both series, indicating that speculators influenced past prices to some extent. However, the percentage price change is rather low. Therefore, sharp rises in soybean prices cannot be explained by it.

Testing Efficiency in Agricultural Commodity Futures Market in India Using Cointegration and Causality Tests

Purpose: As far as the utility of market based instruments is concerned, there is always a dilemma regarding the stability and role of futures contracts in the development of underlying agricultural commodity markets. The objective of the current study was to test whether the agricultural commodity market in India was efficient or not. This objective was achieved by measuring the relationship between futures and spot market prices of seven major agricultural commodities traded at the National Commodity&Derivative Exchange in India. Research Design: In the current study, the efficiency of the futures market for seven agricultural commodities was explored by using Johansen's cointegration analysis and Granger causality test. Unit root test such as Augmented Dickey-Fuller and non-parametric Phillips-Perron test were initially applied to test stationarity of spot and futures prices. Findings: The results showed that their existed cointegration in futures and spot prices for all the selected agricultural commodities. This confirms a long-term relationship between futures and spot prices for all the agricultural commodities like wheat, castor seed, chilly, jeera, pepper, mustard, and soybean. The causality test further distinguished and categorized the commodities based on direction of relationship between futures and spot prices. Granger causality results showed unidirectional causality, where futures market prices lead to spot prices for wheat, castor seed, and jeera as compared to chilly, pepper, mustard, and soybean, where bi-directional relationships existed in the short run. Practical Implications: The findings of this study have some important implications for market participants and policy makers. The direction of relationship between futures and spot prices showed that in general, the direction of causality was stronger for futures prices to spot prices in case of three commodities namely wheat, castor seed, and jeera, suggesting that futures prices tend to affect spot prices in the short run. In case of wheat, castor seed, and jeera, futures price discovery can play an important role in market decision making for stakeholders in these commodities.

Farmers knowledge and perception on maize stem borers and their indigenous control methods in south western region of Cameroon.

BackgroundAgriculture is a major contributor to the Gross Domestic Product (GDP) of Cameroon, The South West region of Cameroon is known for its potential in the production of major agricultural commodities, but farmers’ yields from various speculations are low, dwindling over time due to some major constraints. Maize production is hampered by adverse socio-economic factors, several pests and diseases as well as high rainfall with low solar radiation. Lepidopterous maize stem borers are a major threat to increase maize production. Therefore we hypothesized that the farmers of the South West region: (1) also perceived stem borers as an important pest of maize; (2) they have their own indigenous methods of control; (3) they use chemical pesticides because they have no alternative, but would prefer plant materials if these were standardized.MethodsA semi-structured questionnaire survey was administered in four villages: Maumu, Lower Bokova, Ekona and Bonduma. A total of 151 (male and female) farmers were randomly interviewed to document farmers’ perception on stem borers, and their use of indigenous knowledge to manage key pests of maize.ResultsStem borers were present throughout the maize growing areas in the Fako division and ranked as one of the most important pests of the crop. Most farmers (82.1 %) perceived that stem borers caused significant damage on maize and were responsible for yield reductions in the crop. The increased impact of these pests was due to improper/untimely use of expensive conventional insecticides given the lack of a cheaper alternative method of control. About 50 % of respondent admitted not having any indigenous knowledge of stem borer control, while only 20 % had tried plant products. The most relevant indigenous stem borer control was the use of wood ash. Most (90 %) of the respondent would prefer plant-based insecticides in future because they are safer, cheaper and readily available.ConclusionsFarmers’ knowledge would contribute in understanding the activities of stem borers and use of plant insecticides. Research is therefore needed to standardize the methods of using plant-based products and also identify the active ingredients of these plants to ensure their effectiveness against maize stem borers and other pests.

Market interdependence and volatility transmission among major crops

AbstractThis article provides a comprehensive analysis of the dynamics of volatility across major agricultural commodities in the United States. Volatility interactions across markets may lower the effectiveness of diversification strategies to mitigate price risks and should be taken into account when analyzing the pricing behavior of different agricultural commodities. We follow a multivariate GARCH approach to evaluate the time evolution of conditional correlations and volatility transmission across corn, wheat, and soybeans price returns on a daily, weekly, and monthly basis. The period of analysis is from 1998 to 2012. The estimation results indicate a lack of lead‐lag relationships between corn, wheat, and soybeans price returns at the mean level. We find, however, important volatility spillovers across commodities, particularly at the weekly and monthly level. Wheat and corn seem to play a major role in terms of volatility transmission. Despite the supposed higher financial market integration of agricultural commodities, we do not observe that agricultural markets have become more interdependent in recent years.

Impact of Derivatives on Spot Market Volatility : A Case of Indian Agriculture Commodity

In this research study, an attempt has been made to validate the market perceptions of different bodies on the usefulness and suitability of futures contract in developing the underlying agricultural commodity market in agricultural based Indian economy. The daily price information in spot and futures markets, for a period of 10 years (2004 - 2014), for 7 major agricultural commodities is extracted from NCDEX data base and incorporated into various econometric models, such as ADF Test, GARCH model, Dunkin Watson Statistic etc., to test the concerned objective. The effect of commodity futures trading in stabilizing the underlying agricultural commodity market for 7 major commodities, taken from different categories (Spices, Pulses, Oil and Oil Seeds) of Agri-products, are examined to throw some light on the rising inflation in Indian agricultural sector. Like other studies undertaken in world on Indian commodity market, the present study has also exhibited that even though the inflationary pressure on commodity, especially agricultural commodity, prices have gone up sharply after the introduction of commodity futures contracts, the destabilizing effect of the futures contract is casual in nature and tends to vary over a long period of time. The empirical findings significantly shows that comparative advantage of futures market in disseminating information, leading to a significant price discovery and risk management, can help to successfully develop the underlying commodity market in India.

Reconciling oil palm expansion and climate change mitigation in Kalimantan, Indonesia.

Our society faces the pressing challenge of increasing agricultural production while minimizing negative consequences on ecosystems and the global climate. Indonesia, which has pledged to reduce greenhouse gas (GHG) emissions from deforestation while doubling production of several major agricultural commodities, exemplifies this challenge. Here we focus on palm oil, the world’s most abundant vegetable oil and a commodity that has contributed significantly to Indonesia’s economy. Most oil palm expansion in the country has occurred at the expense of forests, resulting in significant GHG emissions. We examine the extent to which land management policies can resolve the apparently conflicting goals of oil palm expansion and GHG mitigation in Kalimantan, a major oil palm growing region of Indonesia. Using a logistic regression model to predict the locations of new oil palm between 2010 and 2020 we evaluate the impacts of six alternative policy scenarios on future emissions. We estimate net emissions of 128.4–211.4 MtCO2 yr-1 under business as usual expansion of oil palm plantations. The impact of diverting new plantations to low carbon stock land depends on the design of the policy. We estimate that emissions can be reduced by 9-10% by extending the current moratorium on new concessions in primary forests and peat lands, 35% by limiting expansion on all peat and forestlands, 46% by limiting expansion to areas with moderate carbon stocks, and 55–60% by limiting expansion to areas with low carbon stocks. Our results suggest that these policies would reduce oil palm profits only moderately but would vary greatly in terms of cost-effectiveness of emissions reductions. We conclude that a carefully designed and implemented oil palm expansion plan can contribute significantly towards Indonesia’s national emissions mitigation goal, while allowing oil palm area to double.

Respons Pertumbuhan Bibit Kelapa Sawit (Elaeis Guineensis Jacq.) Di Pre Nursery Terhadap Pemberian Limbah Cair Pabrik Kelapa Sawit Dan Pupuk NPKMg (15:15:6:4)

Palm oil is one of the major and prime agricultural commodities in Indonesia. Better palm oil seedling growth depend on nutrient and organic matter availability that can be fullfilled by using palm oil mill effluent (POME) and NPKMg (15:15:6:4) fertilizer. The objectives of the research were to study growth response of palm oil pre nursery seedling to aplication of POME and NPKMg (15:15:6:4) fertilizer. The research was held at screen house of Agricultural Faculty USU (± 25 m asl) in April to July 2014 using a factorial randomized block design with two factors and three replications. The first factor were POME (0; 1.5; 3.0; 4.5 l/seedling) and the second factor were NPKMg (15: 15: 6: 4) fertilizer (0; 2.5; 5.0; 7.5 g/seedling). Data were analyzed with ANOVA and continued with Duncan multiple range test. The Parameters observed were plant height, stem diameter, leaves number, total leaf area, leaves greenness, fresh and dry root and upper part weight. The results obtain were the effect of POME until dose L (3.0 l/seedling) were increase for all parameters except leaves greenness, fresh and dry root. The effect of NPKMg (15:15:6:4) fertilizer until dose P 2 2 (5.0 g/seedling) increase for all parameters except stem diameter. The interaction of these two factors until L 3 P were increase leaves number, leaves greenness, fresh root weight, fresh and dry upper part weight. Keywords: palm oil mill effluent, NPKMg (15:15:6:4) fertilizer, palm oil seedling 3

DNA pyrosequencing evidence for large diversity differences between natural and managed coffee mycorrhizal fungal communities

Arabica coffee is a major agricultural commodity worldwide, representing 60 % of the world’s coffee production. Arabica coffee is cultivated in more than 36 countries and is a key cash crop for many developing countries. Despite the coffee’s huge economic importance, there is very limited knowledge on the association of arbuscular mycorrhizal fungi with coffee roots. Therefore, we assessed the mycorrhizal diversity and community composition in Arabica coffee (Coffea arabica L.), using 454 pyrosequencing, in its Ethiopian center of origin. We studied the five most common coffee management systems in Ethiopia. Using pyrosequencing, we retrieved 10,061 mycorrhizae sequences across 30 samples, generating 36 operational taxonomic units from the four mycorrhizae orders: Glomerales, Diversisporales, Archaeosporales, and Paraglomerales; and eight families. Our results show that mycorrhizal diversity strongly differed between natural forest coffee systems and the other management systems. Furthermore, 13 operational taxonomic units were uniquely found in natural forest coffee. Finally, the mycorrhizal community composition in shade coffee plantations was different from the community composition in the other managed systems and the natural forest coffee systems. This is the first in depth study of mycorrhizal communities in wild coffee in its Ethiopian region of origin. Furthermore, we show for the first time the major differences in mycorrhizal communities in coffee between natural coffee forest and more intensively managed coffee systems. We, therefore, provide evidence of the conservation value of natural coffee forest systems as they harbor a unique mycorrhizal diversity, with possible future applications in low input coffee agriculture.

Co-Movement of Major Commodity Price Returns: A Time-Series Assessment

This paper provides a comprehensive analysis of the degree of co-movement among the nominal price returns of 11 major energy, agricultural and food commodities based on monthly data between 1970 and 2013. A uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure are used to study the extent and the time-evolution of unconditional and conditional correlations. The results indicate that (i) the price returns of energy and agricultural commodities are highly correlated; (ii) the overall level of co-movement among commodities increased in recent years, especially between energy and agricultural commodities and in particular in the cases of maize and soybean oil, which are important inputs in the production of biofuels; and (iii) particularly after 2007, stock market volatility is positively associated with the co-movement of price returns across markets.

Recent Weather Extremes and Impacts on Agricultural Production and Vector-Borne Disease Outbreak Patterns

We document significant worldwide weather anomalies that affected agriculture and vector-borne disease outbreaks during the 2010–2012 period. We utilized 2000–2012 vegetation index and land surface temperature data from NASA's satellite-based Moderate Resolution Imaging Spectroradiometer (MODIS) to map the magnitude and extent of these anomalies for diverse regions including the continental United States, Russia, East Africa, Southern Africa, and Australia. We demonstrate that shifts in temperature and/or precipitation have significant impacts on vegetation patterns with attendant consequences for agriculture and public health. Weather extremes resulted in excessive rainfall and flooding as well as severe drought, which caused ∼10 to 80% variation in major agricultural commodity production (including wheat, corn, cotton, sorghum) and created exceptional conditions for extensive mosquito-borne disease outbreaks of dengue, Rift Valley fever, Murray Valley encephalitis, and West Nile virus disease. Analysis of MODIS data provided a standardized method for quantifying the extreme weather anomalies observed during this period. Assessments of land surface conditions from satellite-based systems such as MODIS can be a valuable tool in national, regional, and global weather impact determinations.

The Impact of Financial Sector Reforms on the Nigerian Agricultural Export Performance

The performance of the export subsector is one of the vital indices in measuring the impact and successes of several financial reform programmes carried out in Nigeria. Accordingly, the study estimated the effect of financial sector reforms on major agricultural exports in Nigeria from 1970-2009. Secondary data used for the study were analyzed using cointegration and error correction model (ECM). The empirical results disclosed that financial sector reforms significantly affect major agricultural export commodities such as cocoa, palm kernel and palm oil in Nigeria both in the long and short-run. Chow test result showed significant difference between agricultural exports (cocoa and palm oil except palm kernel) function in the pre-financial sector reforms and during the financial sector reforms period. The study advocated for the provision of appropriate promotion incentive and production such as abolishing of export prohibition, establishment of export development funds and researches into producing disease resistance, early maturing and high yielding varieties that will enhance the production of high agricultural yielding crops meant for export. Also, institutional framework that will boost disbursement of funds to cash crops sub-sector in the country needs to be strengthened. Lastly, policies that would reduce interest rate should be formulated.

Comparative Advantage in Export of Major Agricultural Commodities in India: A Post-reforms Analysis

With the withering away of protectionist policies, the trade pattern of India is likely to march in the direction of its comparative advantage. The paper attempts to assess India's revealed Symmetric comparative advantage (RSCA) in export of major agricultural commodities. This study evaluates the structure of comparative advantage in India and the change in the scenario over a period of 21 years from 1991 to 2011. The present study has ascertained the changes in comparative advantage status of India's major agricultural exports vis-a-vis global players during the post-reforms period. It has been observed in the study that in exports of certain commodities like rice, tea, tobacco, spices, groundnuts and castor oil, India has been able to maintain its comparative advantage, but several other commodities like coffee, fresh fruits, fresh vegetables, cotton and sugar, etc. have been negatively affected. India has been found losing out its comparative advantage in export of some of the agricultural commodities to other global competitors during the period of post economic reforms.

Efficiency of local Indonesia honey bees (Apis cerana L.) and stingless bee (Trigona iridipennis) on tomato (Lycopersicon esculentum Mill.) pollination.

Tomato (Lycopersicon esculentum Mill.) is considered as one of major agricultural commodity of Indonesia farming. However, monthly production is unstable due to lack of pollination services. Common pollinator agent of tomatoes is bumblebees which is unsuitable for tropical climate of Indonesia and the possibility of alteration of local wild plant interaction with their pollinator. Indonesia is rich with wild bees and some of the species already domesticated for years with prospect as pollinating agent for tomatoes. This research aimed to assess the efficiency of local honey bee (Apis cerana L.) and stingless bee (Trigona iridipennis), as pollinator of tomato. During this research, total visitation rate and total numbers of pollinated flowers by honey bee and stingless bee were compared between them with bagged flowers as control. Total fruit production, average weight and size also measured in order to correlated pollination efficiency with quantity and quality of fruit produced. Result of this research showed that A. cerana has slightly higher rate of visitation (p>0.05) and significantly shorter handling time (p < 0.05) than T. iridipennis due to their larger colony demand and low reward provide by tomato flowers. However, honey bee pollinated tomato flowers more efficient pollinator than stingless bee (80.3 and 70.2% efficiency, respectively; p < 0.05) even though the average weight and size of tomatoes were similar (p>0.05). Based on the results, it is concluded that the use of Apis cerana and Trigona spp., for pollinating tomatoes in tropical climates could be an alternative to the use of non-native Apis mellifera and bumblebees (Bombus spp.). However, more researches are needed to evaluate the cost/benefit on large-scale farming and greenhouse pollination using both bees against other bee species and pollination methods.

Land Use Change and Global Adaptations to Climate Change

This paper uses the World Trade Model with Climate Sensitive Land (WTMCL) to evaluate possible future land-use changes associated with adaptations to climate change in a globalized world. In this approach, changes in regional agricultural production, which are based on comparative advantage, define patterns of land use change in agriculture in all regions of the world. We evaluate four scenarios that combine assumptions about future increases in food demand and future changes in land endowments of different productivities associated with climatic conditions: each scenario generates distinct patterns of regional specialization in the production of agricultural commodities and associated land-use change. The analysis also projects future food availability under the simulated conditions and the direction of likely changes in prices of the major agricultural commodity groups.

Understanding Return And Volatility Spillovers Among Major Agricultural Commodities

&lt;p&gt;We provide comprehensive evidence of return and volatility spillovers for the four major agricultural commodities including sugar, wheat, corn and cotton over the recent period 2003-2010. Our results from the recent VAR-GARCH model of Ling and McAleer (2003) that allows for simultaneous shock transmissions of conditional volatilities of returns across commodities show the existence of substantial volatility spillover linkages between agricultural commodity returns and volatilities. Our findings are also particularly insightful for optimal portfolio designs and risk management through the computation of optimal weights and hedge ratios.&lt;/p&gt;