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英文文献：Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets-能源价格会刺激食品价格波动吗?考察美国石油、乙醇和玉米市场之间的波动性传递
英文文献作者：Hernandez, Manuel A.,Gardebroek, Cornelis
英文文献摘要：
This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. The estimation results indicate a higher interaction between ethanol and corn markets in recent years, particularly after 2006 when ethanol became the sole alternative oxygenate for gasoline. We only observe, however, significant volatility spillovers from corn to ethanol prices but not the converse. We also do not find major cross-volatility effects from oil to corn markets. The results do not provide evidence of volatility in energy markets stimulating price volatility in grain markets.
本文考察了1997年至2011年间美国石油、乙醇和玉米价格的波动传递。我们采用多元GARCH方法来评估这些市场的相互依赖程度和动态波动。估计结果显示，近年来乙醇和玉米市场的相互作用越来越大，特别是在2006年乙醇成为汽油唯一的供氧剂之后。然而，我们只观察到从玉米到乙醇价格的显著波动溢出，而不是相反。我们也没有发现石油和玉米市场的交叉波动效应。结果没有提供能源市场波动刺激粮食市场价格波动的证据。
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