VOLATILITY TRANSMISSION IN AGRICULTURAL MARKETS: EVIDENCE FROM THE RUSSIA-UKRAINE CONFLICT

Abstract

This study investigates the impacts of the Russia-Ukraine conflict on agricultural commodities price volatilities. The analysis is conducted considering the movements in crude oil prices and their consequences in the global and Brazilian agricultural commodities markets. We employ a bivariate DCC-GARCH model to examine the volatility spillover and volatility contagion among the crude oil, wheat, corn, and soybean markets. Our results indicate an increase in volatility transmission after a military conflict. The increase in price cross-correlation in this period confirms the existence of contagious in crude oil and agricultural markets. The impacts seem to be greater at the international level, especially in the wheat and corn markets, highlighting the importance of Russia and Ukraine in grain production. Despite the participation of Brazil in global market, volatility transmission was similar to the pre-conflict period in local markets, indicating that emerging countries had also experienced other effects, as the exchange rate fluctuation.

Keywords

• agricultural prices
• commodity markets
• volatility transmission
• russia-ukraine conflict
• brazil