Understanding Dynamic Conditional Correlations between Oil, Natural Gas and Non-Energy Commodity Futures Markets

Niaz Bashiri Behmiri, Matteo Manera, and Marcella Nicolini
Authors registered in the RePEc Author Service: Marcella Nicolini and Matteo Manera ()

The Energy Journal, 2019, vol. Volume 40, issue Number 2

Abstract: We look at the dynamic conditional correlations (DCCs) between oil, natural gas and other non-energy commodity futures markets, obtained from a DCC-GARCH model over the period 1998-2014. They are positive and display a sharp increase around year 2008 and a subsequent decrease. The DCCs between energy and metals are larger than the energy-agriculture ones. To understand how macroeconomic and financial factors, as well as speculative activity, influence them, we estimate an ARDL(1,1) model, adopting a pooled mean group (PMG) estimator. We observe that macroeconomic and financial variables are significantly correlated with the energy-agriculture and energy-metals DCCs. Speculative activity contributes to explain the

JEL-codes: F0 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://www.iaee.org/en/publications/ejarticle.aspx?id=3327 (text/html)
Access to full text is restricted to IAEE members and subscribers.

Related works:
Journal Article: Understanding Dynamic Conditional Correlations between Oil, Natural Gas and Non-Energy Commodity Futures Markets (2019)
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:aen:journl:ej40-2-manera

Ordering information: This journal article can be ordered from
http://www.iaee.org/en/publications/ejsearch.aspx

Access Statistics for this article

More articles in The Energy Journal from International Association for Energy Economics Contact information at EDIRC.
Bibliographic data for series maintained by David Williams ().