This paper examines volatility transmission between corn, wheat and soybeans markets in the US. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these major crops on a daily, weekly and monthly basis. The period of analysis is 1998 through 2012. Preliminary results indicate lack of cross-market dependence between corn, wheat and soybeans price returns at the mean level. We find, however, important volatility spillovers across commodities, particularly on a weekly basis. Corn, and in lower extent wheat, seem to play a major role in terms of spillover effects. Additionally, we do not observe that agricultural markets have become more interdependent in recent years, despite the apparent higher financial market integration of agricultural commodities.

Understanding the sources of domestic food price volatility in developing countries and the extent to which it is transmitted from international to domestic markets is critical to help design better global, regional, and domestic policies to cope with excessive food price volatility and to protect the most vulnerable groups. This paper examines price and volatility transmission from major grain commodities to 41 domestic food products across 27 countries in Africa, Latin America, and South Asia. We follow a multivariate GARCH approach to model the dynamics of monthly price volatility in international and domestic markets. The period of analysis is 2000 through 2013. In terms of price transmission in levels, we only observe lead-lag relationships from international to domestic markets in few cases. To calculate volatility spillovers, we simulate a shock equivalent to a 1% increase in the conditional volatility of prices in the international market and evaluate its effect on the conditional volatility of prices in the domestic market. The transmission of price volatility is statistically significant in just one-quarter of the maize markets tested, almost half of rice markets tested, and all wheat markets tested. Volatility transmission seems to be more common when trade (imports or exports) are large relatively to domestic requirements.

No abstract

Limited empirical evidence exists for how economic conditions affect micronutrient nutrition. We hypothesized that increasing poverty and rising food prices would reduce consumption of high-quality "luxury" foods, leading to an increased probability of inadequacy for several nutrients. The 2006 Guatemala National Living Conditions Survey was analyzed. First, energy and nutrient intakes and adequacy levels were calculated. Second, the income-nutrient relationships were investigated by assessing disparities in intakes, determining income-nutrient elasticities, and modeling nutrient intakes by reductions in income. Third, the food price-nutrient relationships were explored through determination of price-nutrient elasticities and modeling 2 price scenarios: an increase in food prices similar in magnitude to the food price crisis of 2007-2008 and a standardized 10% increase across all food groups. Disparities in nutrient intakes were greatest for vitamin B-12 (0.38 concentration index) and vitamin A (0.30 concentration index); these nutrients were highly and positively correlated with income (r = 0.22-0.54; P < 0.05). Although the baseline probability of inadequacy was highest for vitamin B-12 (83%), zinc showed the greatest increase in probability of inadequacy as income was reduced, followed by folate and vitamin A. With rising food prices, zinc intake was most acutely affected under both scenarios (P < 0.05) and folate intake in the poorest quintile (+7 percentage points) under the 10% scenario. Price-nutrient elasticities were highest for vitamin B-12 and the meat, poultry, and fish group (-0.503) and for folate and the legumes group (-0.343). The economic factors of food prices and income differentially influenced micronutrient intakes in Guatemala, notably zinc and folate intakes.

No abstract