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Abstract
This dissertation consists of three essays on the price behaviors of agricultural commodity markets. It investigates price and volatility dynamics in commodity markets from three aspects: volatility spillover, asymmetric price transmission, and extreme price comovements. The first essay studies volatility transmission between U.S. soybeans and Chinese soybean end products. A bidirectional volatility spillover is found across the two countries, but its effect has decreased since 2009. In addition, the bilateral trade dispute has had a smaller impact on price volatility in futures markets for the soybean complex across countries compared to the 2008 global financial crisis. The second essay applies a multivariate quantile framework to investigate asymmetric price responses in a joint production process. It examines whether output price responses vary with the price levels of other jointly produced goods and under which market conditions asymmetric price transmission might occur. The results show prices of end products respond more to input price increases rather than decreases when their market is bullish and the other product’s market is bearish. The third essay studies the relationship between information releases and extreme price movements in related agricultural commodities, including soybean, corn, and wheat. The study examines whether the release of USDA reports has explanatory power for these coexceedances (i.e., more than one market simultaneously suffers from extreme events). After controlling for exposure to other risk factors, most reports increase the probability of return and volatility coexceedances, especially in crop markets.