This paper investigates the dynamics of volatility and conditional correlations between corn and soybean prices in the spot and futures markets. Faced with price and production risks, farmers must use all information available in their risk management process, both in their product's spot and futures markets, and in related products' markets, either domestic or foreign. Dynamic conditional correlation specifications with a bivariate GARCH model are employed, with data for Brazilian and U.S. markets in the period 2004–2017, during which several structural changes and extreme climate phenomena have occurred. We find the highest correlations between the corn and soybean spot markets, and evidence of spillovers in both products in the spot and futures markets. We also find that the financial crisis have significantly affected the relationship between the corn and soybean markets. We also find that in periods of increased conditional correlation between the soybean and corn markets, there is an increase in the optimal hedge ratio for risk management strategies involving corn futures contracts at B3 and Chicago Mercantile Exchange. [EconLit Citations: C32, G13, Q14].

中文翻译：

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大豆和玉米现货和期货市场之间的条件相关性和波动性

本文研究了现货和期货市场中玉米和大豆价格的波动动态和条件相关性。面对价格和生产风险，农民必须在其风险管理过程中使用其产品的现货和期货市场以及相关产品的国内外市场中的所有可用信息。使用具有双变量GARCH模型的动态条件相关性规范，以及2004-2017年期间巴西和美国市场的数据，在此期间发生了一些结构性变化和极端气候现象。我们发现玉米和大豆现货市场之间的相关性最高，并且现货和期货市场中两种产品都有溢出效应。我们还发现，金融危机严重影响了玉米和大豆市场之间的关系。我们还发现，在大豆和玉米市场之间的条件相关性增加的时期，涉及B3和芝加哥商业交易所的玉米期货合约的风险管理策略的最佳套期保值比率也会增加。[EconLit引文：C32，G13，Q14]。