Measuring the effect of oil prices on wheat futures prices

Phillip A. Cartwright and Natalija Riabko

Research in International Business and Finance, 2015, vol. 33, issue C, 355-369

Abstract: This research lends insight into the empirical validity of reverse regressions hypothesizing that spot prices today help to predict forward rates in the future. This paper analyzes the possible relationship between wheat futures prices and spot oil prices considering the importance of the effects of temporal aggregation and alternative model specification for the understanding of the empirical relationships between the two markets.

Keywords: Wheat prices; Crude oil prices; Temporal aggregation; Causal structure; Forecasting (search for similar items in EconPapers)
JEL-codes: C1 D4 G1 Q1 Q4 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531914000221
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:33:y:2015:i:c:p:355-369

DOI: 10.1016/j.ribaf.2014.04.002

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().