Empirical analysis of the cross‐interdependence between crude oil and agricultural commodity markets
Khaled Mokni (kmokni@gmail.com) and
Manel Youssef
Review of Financial Economics, 2020, vol. 38, issue 4, 635-654
Abstract:
This paper aims to investigate the cross‐interdependence between crude oil and agricultural commodity prices. We apply a test of persistence in order to verify whether crude oil prices' effect on the agricultural commodity markets is immediate or delayed. Using the daily data covering the period 2003–2017, results show that the delayed effect of crude oil prices on the agricultural commodity prices is lower than the immediate effect. Furthermore, the dependence is strongly persistent and more affected by the food crisis than the oil crisis. Additionally, a contagion effect is detected during the food crisis for almost agricultural commodity markets, while during the oil crisis, it is verified only for the soybean and wheat markets. The study is designed to determine a reliable framework for returns and volatility forecasting in commodity markets based on the oil market changes.
Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (5)
Downloads: (external link)
https://doi.org/10.1002/rfe.1096
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:wly:revfec:v:38:y:2020:i:4:p:635-654
Access Statistics for this article
More articles in Review of Financial Economics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery (contentdelivery@wiley.com).