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DYNAMICS BETWEEN NORTH AMERICAN AND EUROPEAN AGRICULTURAL FUTURES PRICES DURING TURMOIL AND FINANCIALIZATION
Author(s) -
Adämmer Philipp,
Bohl Martin T.,
Ledebur ErnstOliver
Publication year - 2017
Publication title -
bulletin of economic research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.227
H-Index - 29
eISSN - 1467-8586
pISSN - 0307-3378
DOI - 10.1111/boer.12079
Subject(s) - financialization , futures contract , economics , volatility (finance) , agriculture , commodity , empirical evidence , financial economics , monetary economics , market economy , geography , philosophy , archaeology , epistemology
North American and European agricultural futures markets faced significant changes in recent years, i.e., the financialization which originated in the USA, the increase of futures trading in Europe and the recent price turmoils in international commodity markets. We analyse the long‐ and short‐run dynamics between North American and European agricultural futures prices during these institutional changes. The empirical results show that the US markets lead in terms of price transmissions and volatility spillovers. US markets, however, predominantly react to deviations from the long‐run equilibrium which indicates a rising impact of European agricultural markets on a global scale.