Addressing the volatility spillovers of agricultural commodities is important for at least two reasons. First, for the last several years, the volatility of agricultural commodity prices seems to have increased. Second, according to the Food and Agriculture Organization, there is a strong need for understanding the potential (negative) impacts on food security caused by food commodity volatilities. This paper aims at investigating the presence, the size, and the persistence of volatility spillovers among five agricultural commodities (corn, sugar, wheat, soybean and bioethanol) and five Latin American (Argentina, Brazil, Chile, Colombia, Peru) stock market indexes. It is possible to identify a spillover index (and hence the direction), the main sources, and the recipients of the spillovers. It was shown that there exist some (more precisely, seven) volatility spillovers, robust to different lagged periods, that is: corn Chile, corn Colombia, and corn Peru; sugar Colombia and sugar Peru; and, finally, wheat Chile and wheat Peru. Overall, when a negative shock hits the commodity market, Latin American stock market volatility tends to increase. This happens, for instance, for the relationships from corn to Chile and Colombia and from wheat to Peru and Chile.
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