Volatility spillovers between food and energy markets: A semiparametric approach

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Abstract

Previous literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches. This article examines these links by using a semiparametric GARCH model recently proposed by Long et al. (2011), which is essentially a nonparametric correction of the parametric conditional covariance function. The analysis focuses on price links between crude oil, ethanol and sugar prices in Brazil. Results suggest strong volatility links between the prices studied. Parametric approximations of the conditional covariance matrix may lead to misleading results that can be improved upon by using nonparametric techniques.

Original languageEnglish (US)
Pages (from-to)1155-1164
Number of pages10
JournalEnergy Economics
Volume33
Issue number6
DOIs
StatePublished - Nov 2011
Externally publishedYes

Keywords

  • Biofuels
  • Price volatility interactions
  • Semiparametric GARCH
  • Sugar

ASJC Scopus subject areas

  • Economics and Econometrics
  • Energy(all)

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