Staff Publications

Staff Publications

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    'Staff publications' is the digital repository of Wageningen University & Research

    'Staff publications' contains references to publications authored by Wageningen University staff from 1976 onward.

    Publications authored by the staff of the Research Institutes are available from 1995 onwards.

    Full text documents are added when available. The database is updated daily and currently holds about 240,000 items, of which 72,000 in open access.

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Record number 538432
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.
DOI https://doi.org/10.1017/age.2016.44
Department(s) Marketing and Consumer Behaviour
WASS
Publication type Refereed Article in a scientific journal
Publication year 2017
Keyword(s) Corn - Distiller's dried grains with solubles (DDGS) - Dynamic correlations - Price - Soybean meal - Spillover - Volatility
Abstract

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.

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