{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/105685"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/105685","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"The impact of Brazil on global grain dynamics: A study on cross-market volatility spillovers","abstract":"We will investigate the evolution of the relationship between Brazilian and Global grain markets. Through a three step approach, we will test the series for cointegration, proceed with the adequate modeling (VAR or VECM) and use the residuals of these models to estimate a BEKK GARCH and relative volatility spillovers across two time periods, before and after Brazil started double-cropping. Our results indicate no significant cointegration between corn and soybeans markets before Brazil started double-cropping and significant cointegration after, for both markets. Volatility spillovers dynamics also changes, from no spillovers to spillovers from and to Brazil on corn, and from the US spilling over Brazil to Brazil spilling over to the US on soybeans. Our results are important because they show that the importance of Brazil to global grain price formation is substantial and risk managers must be aware of it in order to perform well.","abstract_html":"We will investigate the evolution of the relationship between Brazilian and Global grain markets. Through a three step approach, we will test the series for cointegration, proceed with the adequate modeling (VAR or VECM) and use the residuals of these models to estimate a BEKK GARCH and relative volatility spillovers across two time periods, before and after Brazil started double-cropping. Our results indicate no significant cointegration between corn and soybeans markets before Brazil started double-cropping and significant cointegration after, for both markets. Volatility spillovers dynamics also changes, from no spillovers to spillovers from and to Brazil on corn, and from the US spilling over Brazil to Brazil spilling over to the US on soybeans. Our results are important because they show that the importance of Brazil to global grain price formation is substantial and risk managers must be aware of it in order to perform well.","abstract_has_math":false,"creators":["Grimaldi Avileis, Felipe"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"M.S.","degree_level":"Thesis","degree_discipline":"Agricultural & Applied Econ","degree_department":null,"school":null,"contributors":["Mallory, Mindy L.","Garcia, Philip","Serra Devesa, Maria Teresa"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2019,"date_issued":"2019-11-26T20:35:07Z","date_published":"2019-11-26T20:35:07Z","updated_at":"2026-07-22T22:24:44Z","subjects":["grains","volatility","garch","Brazil","spillovers","corn","soybeans","commodity prices","safrinha"],"languages":["eng"],"rights":["Copyright 2019 Felipe Grimaldi Avileis"],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/2142/105685","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Mallory, Mindy L.","Garcia, Philip","Serra Devesa, Maria Teresa"]},{"key":"dc:creator","label":"Author","values":["Grimaldi Avileis, Felipe"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2019-11-26T20:35:07Z","2019-07-15","2019-08"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Agricultural & Applied Econ"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Thesis"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M.S."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["grains","volatility","garch","Brazil","spillovers","corn","soybeans","commodity prices","safrinha"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["Copyright 2019 Felipe Grimaldi Avileis"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/105685"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["We will investigate the evolution of the relationship between Brazilian and Global grain markets. Through a three step approach, we will test the series for cointegration, proceed with the adequate modeling (VAR or VECM) and use the residuals of these models to estimate a BEKK GARCH and relative volatility spillovers across two time periods, before and after Brazil started double-cropping. Our results indicate no significant cointegration between corn and soybeans markets before Brazil started double-cropping and significant cointegration after, for both markets. Volatility spillovers dynamics also changes, from no spillovers to spillovers from and to Brazil on corn, and from the US spilling over Brazil to Brazil spilling over to the US on soybeans. Our results are important because they show that the importance of Brazil to global grain price formation is substantial and risk managers must be aware of it in order to perform well.","Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2019-11-26 without embargo terms","The student, Felipe Grimaldi Avileis, accepted the attached license on 2019-07-11 at 23:21.","The student, Felipe Grimaldi Avileis, submitted this Thesis for approval on 2019-07-11 at 23:26.","This Thesis was approved for publication on 2019-07-15 at 08:26.","DSpace SAF Submission Ingestion Package generated from Vireo submission #14290 on 2019-11-26 at 12:53:31","Made available in DSpace on 2019-11-26T20:35:07Z (GMT). No. of bitstreams: 2 GRIMALDIAVILEIS-THESIS-2019.pdf: 1393085 bytes, checksum: 052e631e9b574f16bef99a63374e92f1 (MD5) LICENSE.txt: 4220 bytes, checksum: 59cfd6049b16ca44226fbeca59f26f36 (MD5) Previous issue date: 2019-07-15"]},{"key":"dc:format","label":"Dc Format","values":["application/pdf"]},{"key":"dc:title","label":"Title","values":["The impact of Brazil on global grain dynamics: A study on cross-market volatility spillovers"]}]}],"canonical_facts":{"dc:contributor":["Mallory, Mindy L.","Garcia, Philip","Serra Devesa, Maria Teresa"],"dc:creator":["Grimaldi Avileis, Felipe"],"dc:date":["2019-11-26T20:35:07Z","2019-07-15","2019-08"],"dc:description":["We will investigate the evolution of the relationship between Brazilian and Global grain markets. Through a three step approach, we will test the series for cointegration, proceed with the adequate modeling (VAR or VECM) and use the residuals of these models to estimate a BEKK GARCH and relative volatility spillovers across two time periods, before and after Brazil started double-cropping. Our results indicate no significant cointegration between corn and soybeans markets before Brazil started double-cropping and significant cointegration after, for both markets. Volatility spillovers dynamics also changes, from no spillovers to spillovers from and to Brazil on corn, and from the US spilling over Brazil to Brazil spilling over to the US on soybeans. Our results are important because they show that the importance of Brazil to global grain price formation is substantial and risk managers must be aware of it in order to perform well.","Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2019-11-26 without embargo terms","The student, Felipe Grimaldi Avileis, accepted the attached license on 2019-07-11 at 23:21.","The student, Felipe Grimaldi Avileis, submitted this Thesis for approval on 2019-07-11 at 23:26.","This Thesis was approved for publication on 2019-07-15 at 08:26.","DSpace SAF Submission Ingestion Package generated from Vireo submission #14290 on 2019-11-26 at 12:53:31","Made available in DSpace on 2019-11-26T20:35:07Z (GMT). No. of bitstreams: 2 GRIMALDIAVILEIS-THESIS-2019.pdf: 1393085 bytes, checksum: 052e631e9b574f16bef99a63374e92f1 (MD5) LICENSE.txt: 4220 bytes, checksum: 59cfd6049b16ca44226fbeca59f26f36 (MD5) Previous issue date: 2019-07-15"],"dc:format":["application/pdf"],"dc:identifier":["http://hdl.handle.net/2142/105685"],"dc:language":["eng"],"dc:rights":["Copyright 2019 Felipe Grimaldi Avileis"],"dc:subject":["grains","volatility","garch","Brazil","spillovers","corn","soybeans","commodity prices","safrinha"],"dc:title":["The impact of Brazil on global grain dynamics: A study on cross-market volatility spillovers"],"dc:type":["text"],"thesis:degree_discipline":["Agricultural & Applied Econ"],"thesis:degree_level":["Thesis"],"thesis:degree_name":["M.S."],"thesis:institution_name":["University of Illinois at Urbana-Champaign"]},"updated_at":"2026-07-22T22:24:44Z"}