Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US

Ching-Chun Wei and Shu-Min Chen
Additional contact information
Ching-Chun Wei: 200 Chung Chi Rd., Shalu, Taichung 43301, Taiwan,
Shu-Min Chen: Shu-Min Chen, 200 Chung Chi Rd., Shalu, Taichung 43301, Taiwan

International Journal of Energy Economics and Policy, 2016, vol. 6, issue 1, 58-64

Abstract: The purpose of this paper is to investigate the relationships between crude oil futures and agricultural grain commodities futures for soybeans, wheat and corn. Daily data for soybeans, wheat and corn are collected from Chicago Board of Trade and crude oil from New York Mercantile Exchange. The time period covered in this study extends from January 3, 2006 to February 22, 2012. In order to detect the relationships between crude oil and agriculture grain commodities futures, we apply the vector autoregression (VAR) model. From the VAR model, the change in each of agriculture grain commodities is significantly influenced by the change in the crude oil and other agriculture grain commodities

Keywords: Crude Oil Futures; Agricultural Grain Commodities Futures; Granger Causality; Vector Autoregression (search for similar items in EconPapers)
JEL-codes: C58 G13 Q43 Q56 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.econjournals.com/index.php/ijeep/article/download/1555/998 (application/pdf)
http://www.econjournals.com/index.php/ijeep/article/view/1555/998 (text/html)

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:eco:journ2:2016-01-09

Access Statistics for this article

International Journal of Energy Economics and Policy is currently edited by Ilhan Ozturk

More articles in International Journal of Energy Economics and Policy from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().