Price and Volatility Transmissions among Natural Gas, Fertilizer, and Corn Markets: A Revisit
<p>Exchange traded funds (ETF) of fertilizer (2 January, 2020 to 30 November, 2021). Source: Yahoo Fiance.</p> "> Figure 2
<p>Fertilizer index. Source: International Monetary Fund commodity database.</p> "> Figure 3
<p>Plots of natural gas, fertilizer, and corn prices (2011–2021). Source: Energy Information Administration (natural gas) and Yahoo Finance (Fertilizer and Corn).</p> "> Figure 4
<p>Coefficient of variation for natural gas, ammonia, and corn prices (2011–2021).</p> "> Figure 5
<p>Plot of impulse response function. Note: this figure presents the volatility impulse response functions to a shock originated in another market that increases its conditional volatility by 1%.</p> ">
Abstract
:1. Introduction
2. Literature Review
3. Methodology
3.1. The VECM-MGARCH Model
3.2. The BEKK Model
4. Data
5. Estimation Results
6. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Acknowledgments
Conflicts of Interest
Note
1 | All prices are transformed in the logarithmic format, so the estimated parameters in the long-run are the elasticity of prices. |
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Natural Gas Return | Fertilizers Return | Corn Return | |
---|---|---|---|
Panel (a) summary statistics | |||
Observations | 2218 | 2218 | 2218 |
Mean | 0.00 | −0.03 | −0.01 |
Std. Dev. | 3.27 | 6.67 | 1.86 |
Minimum | −18.05 | −35.66 | −25.2 |
Maximum | 19.8 | 40.55 | 8.9 |
Skewness | 0.03 *** | 0.28 *** | −0.98 *** |
Excess kurtosis | 6.40 *** | 5.99 *** | 17.1 *** |
Jarque–Bera | 1071.21 *** | 856.50 *** | 19,000 *** |
Panel (b) return correlation coefficients | |||
AC(1) | −0.0558 *** | −0.249 *** | 0.0277 |
AC(2) | 0.00305 | −0.286 *** | −0.0387 ** |
Ljung–Box(6) | 11.03 ** | 155.62 *** | 13.38 *** |
Ljung–Box(12) | 21.85 *** | 169.10 *** | 19.76 ** |
Panel (c) squared return correlation | |||
AC(1) | 0.141 *** | 0.146 *** | 0.00963 |
AC(2) | 0.0710 *** | 0.00525 | 0.0311 ** |
Ljung–Box(6) | 185.28 *** | 66.74 *** | 12.5 ** |
Ljung–Box(12) | 272.93 *** | 106.79 *** | 17.87 |
Panel (d) unit root test results | |||
ADF | −49.73 *** | −60.69 *** | −45.76 *** |
PP | −49.79 ** | −65.06 *** | −45.75 *** |
Maximum Rank (K) | Log-Likelihood | Eigenvalue | Trace Statistic | 5% Critical Value | 1% Critical Value |
---|---|---|---|---|---|
0 | 13,058.74 | 35.41 | 29.68 | 35.65 | |
1 | 13,069.28 | 0.01 | 14.33 | 15.41 | 20.04 |
2 | 13,073.91 | 0.004 | 5.09 | 3.76 | 6.65 |
3 | 13,076.45 | 0.002 |
Panel (a) Error Correction Term | |||
---|---|---|---|
*** *** | |||
Panel (b) Vector Error Correction Model | |||
Natural Gas () | Fertilizer () | Corn () | |
−0.709 *** | −0.0599 * | 0.00275 | |
(0.0201) | (0.0339) | (0.0115) | |
−0.338 *** | −0.0310 | −0.0141 | |
(0.0200) | (0.0338) | (0.0115) | |
−0.0178 | 0.239 *** | 0.00171 | |
(0.0205) | (0.0345) | (0.0117) | |
−0.0202 | 0.0712 *** | 0.00882 | |
(0.0126) | (0.0213) | (0.00722) | |
0.0848 ** | -0.0113 | −0.619 *** | |
(0.0351) | (0.0592) | (0.0201) | |
0.0494 | 0.0141 | −0.330 *** | |
(0.0351) | (0.0592) | (0.0201) | |
0.0113 | −0.0017 *** | −0.00274 | |
(0.0267) | (0.0451) | (0.0153) | |
Panel (c) Vector Error Correction Model | |||
0.47 *** | |||
(0.088) | |||
0.975 | 2.41 *** | ||
(0.634) | (0.368) | ||
0.142 *** | −0.063 | 0.247 *** | |
(0.072) | (0.070) | (0.057) | |
0.228 *** | −0.034 | 0.001 | |
(0.022) | (0.062) | (0.009) | |
0.011 | 0.480 *** | −0.012 ** | |
(0.014) | (0.040) | (0.007) | |
0.058 | 0.015 | 0.202 *** | |
(0.036) | (0.115) | (0.021) | |
0.968 *** | 0.007 | 0.001 | |
(0.006) | (0.024) | (0.003) | |
−0.018 | 0.808 *** | 0.005 | |
(0.011) | (0.035) | (0.004) | |
−0.029 *** | 0.013 | 0.966 *** | |
(0.013) | (0.059) | (0.006) |
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Yang, Z.; Du, X.; Lu, L.; Tejeda, H. Price and Volatility Transmissions among Natural Gas, Fertilizer, and Corn Markets: A Revisit. J. Risk Financial Manag. 2022, 15, 91. https://doi.org/10.3390/jrfm15020091
Yang Z, Du X, Lu L, Tejeda H. Price and Volatility Transmissions among Natural Gas, Fertilizer, and Corn Markets: A Revisit. Journal of Risk and Financial Management. 2022; 15(2):91. https://doi.org/10.3390/jrfm15020091
Chicago/Turabian StyleYang, Zhengliang, Xiaoxue Du, Liang Lu, and Hernan Tejeda. 2022. "Price and Volatility Transmissions among Natural Gas, Fertilizer, and Corn Markets: A Revisit" Journal of Risk and Financial Management 15, no. 2: 91. https://doi.org/10.3390/jrfm15020091
APA StyleYang, Z., Du, X., Lu, L., & Tejeda, H. (2022). Price and Volatility Transmissions among Natural Gas, Fertilizer, and Corn Markets: A Revisit. Journal of Risk and Financial Management, 15(2), 91. https://doi.org/10.3390/jrfm15020091