EconPapers    
Economics at your fingertips  
 

Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis

Xiaodong Du (), Cindy L. Yu and Dermot Hayes

Energy Economics, 2011, vol. 33, issue 3, 497-503

Abstract: This paper assesses factors that potentially influence the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn, and wheat futures prices from November 1998 to January 2009. Model parameters are estimated using Bayesian Markov Chain Monte Carlo methods. Speculation, scalping, and petroleum inventories are found to be important in explaining the volatility of crude oil prices. Several properties of crude oil price dynamics are established, including mean-reversion, an asymmetry between returns and volatility, volatility clustering, and infrequent compound jumps. We find evidence of volatility spillover among crude oil, corn, and wheat markets after the fall of 2006. This can be largely explained by tightened interdependence between crude oil and these commodity markets induced by ethanol production.

Keywords: Ethanol; Gibbs; sampler; Petroleum; inventory; Stochastic; volatility (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (297)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140-9883(11)00017-X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011) Downloads
Working Paper: Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis (2009) Downloads
Working Paper: Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis (2009) Downloads
Working Paper: Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis (2009) Downloads
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:eneeco:v:33:y:2011:i:3:p:497-503

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-23
Handle: RePEc:eee:eneeco:v:33:y:2011:i:3:p:497-503