  Brazil rose as a global powerhouse producer of soybeans and corn over the
past 15 years has fundamentally changed global markets in these commodities.
This is arguably due to the development of varieties of soybean and corn
adapted to climates within Brazil, allowing farmers to double-crop corn after
soybeans in the same year. Corn and soybean market participants increasingly
look to Brazil for fundamental price information, and studies have shown that
the two markets have become cointegrated. However little is known about how
much volatility from each market spills over to the other. In this article we
measure volatility spillover ratios between U.S. and Brazilian first crop corn,
second crop corn, and soybeans. We find that linkages between the two countries
increased after double cropping corn after soybeans expanded, volatility
spillover magnitudes expanded, and the direction of volatility spillovers
flipped from U.S. volatility spilling over to Brazil before double cropping, to
Brazil spilling over to U.S. after double cropping.
