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The addition of commodities to financial portfolios and resulting weight adjustments may create volatility linkages between commodity and financial markets, especially during financial crises. Also, biofuel mandates are suspected to integrate agricultural and energy markets. We calculate directional pairwise range-based volatility spillover indices (Diebold and Yilmaz, 2012) for corn, wheat, soybeans, crude oil, equity, real estate, treasury notes and U.S. dollar exchange rates between 06/1998 and 12/2013. During the recent financial crisis, volatility spillovers from equity and real estate to commodities rise to unprecedented levels. Yet, we find no indication of a parallel increase of volatility linkages between agricultural and crude oil markets.

Directional Volatility Spillovers Between Agricultural, Crude Oil, Real Estate, and Other Financial Markets