University of Illinois Urbana-Champaign

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

Grimaldi Avileis, Felipe

Content Files
GRIMALDIAVILEIS-THESIS-2019.pdf

Permalink

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

Description

Title
The impact of Brazil on global grain dynamics: A study on cross-market volatility spillovers
Author(s)
Grimaldi Avileis, Felipe
Issue Date
2019-07-15
Director of Research (if dissertation) or Advisor (if thesis)
Mallory, Mindy L.
Committee Member(s)
  • Garcia, Philip
  • Serra Devesa, Maria Teresa
Department of Study
Agr & Consumer Economics
Discipline
Agricultural & Applied Econ
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
M.S.
Degree Level
Thesis
Date of Ingest
2019-11-26T20:35:07Z
Keyword(s)
  • grains
  • volatility
  • garch
  • Brazil
  • spillovers
  • corn
  • soybeans
  • commodity prices
  • safrinha
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.
Graduation Semester
2019-08
Type of Resource
text
Permalink
http://hdl.handle.net/2142/105685
Copyright and License Information
Copyright 2019 Felipe Grimaldi Avileis

Owning Collections

Graduate Dissertations and Theses at Illinois PRIMARY
Graduate Theses and Dissertations at Illinois
Theses - Agricultural and Consumer Economics