|Title||Volatility spillover and time-varying conditional correlation between DDGS, corn, and soybean meal markets|
|Author(s)||Etienne, Xiaoli L.; Trujillo-Barrera, Andrés; Hoffman, Linwood A.|
|Source||Agricultural and Resource Economics Review 46 (2017)3. - ISSN 1068-2805 - p. 529 - 554.|
Marketing and Consumer Behaviour
|Publication type||Refereed Article in a scientific journal|
|Keyword(s)||Corn - Distiller's dried grains with solubles (DDGS) - Dynamic correlations - Price - Soybean meal - Spillover - Volatility|
We find distiller's dried grains with solubles (DDGS) prices to be positively correlated with both corn and soybean meal prices in the long run. However, neither corn nor soybean meal prices respond to deviations from this long-run relationship. We also identify strong time-varying dynamic conditional correlations between the markets, with the correlation between DDGS and corn strengthened after the expansion of ethanol production. There also appear to exist significant volatility spillovers from both the corn and soybean meal markets to the DDGS market, with the impact from corn shocks much larger compared to soybean meal shocks.