Financial determinants of corn market
by Nikolaos Sariannidis
International Journal of Economics and Business Research (IJEBR), Vol. 5, No. 2, 2013

Abstract: This paper studies the effects of the TNX ten-year treasury note, the crude oil light sweet, the denatured fuel ethanol, the S&P 500 Stock Index and the US dollar/yen exchange rate on the conditional mean and variance return of corn futures. It employs daily data from January 1, 2002 to August 31, 2009. Using the GJR-GARCH(1, 1) model, we provide empirical evidence of positive influence of bond, energy and capital market on corn market. There is also evidence that the volatility shocks of the US dollar/yen exchange rate have a positive impact on the conditional volatility of corn futures returns. Finally, the structural analysis of volatility with the GJR-GARCH model has shown that current volatility is more influenced by past volatility rather than by the previous day shocks.

Online publication date: Mon, 30-Dec-2013

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