The impact of Brazil on global grain dynamics: A study on cross-market volatility spillovers

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.

Name thesis:degree_name

M.S.

Level thesis:degree_level

Thesis

Discipline thesis:degree_discipline

Agricultural & Applied Econ

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2019

Author dc:creator

• Grimaldi Avileis, Felipe

Contributors dc:contributor

• Mallory, Mindy L.
• Garcia, Philip
• Serra Devesa, Maria Teresa

• grains
• volatility
• garch
• Brazil
• spillovers
• corn
• soybeans
• commodity prices
• safrinha

Statement dc:rights

• Copyright 2019 Felipe Grimaldi Avileis

Language dc:language

eng

Handle dc:identifier

http://hdl.handle.net/2142/105685

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/105685