Energy prices and agricultural commodity prices: Testing correlation using copulas method

Krishna H. Koirala, Ashok Mishra (), Jeremy M. D'Antoni and Joey E. Mehlhorn

Energy, 2015, vol. 81, issue C, 430-436

Abstract: The linear relationships between energy prices and prices for agricultural commodities such as corn and soybeans may have been affected, over the last several years, by policy legislations in the farm sector, the Energy Independence and Security Act of 2007, and the Renewable Fuel Standard Program for 2014. Using high-frequency data and newer methodology, this study investigates dependence between agricultural commodity futures prices and energy futures prices. Results reveal that agricultural commodity and energy future prices are highly correlated and exhibit positive and significant relationship. Findings from this study highlight that an increase in energy price increases the price of agricultural commodities.

Keywords: Energy prices; Agricultural commodity prices; Copula; Dependency; Clayton copula (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (67)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:81:y:2015:i:c:p:430-436

DOI: 10.1016/j.energy.2014.12.055

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