Analyzing the impacts of foreign exchange and oil price on biofuel commodity futures

Shu-Mei Chiang, Chun-Da Chen and Chien-Ming Huang

Journal of International Money and Finance, 2019, vol. 96, issue C, 37-48

Abstract: This paper employs an ARJI-trend model that combines the autoregressive jump intensity (ARJI) and component models to analyze the effects of the U.S. dollar index and oil prices on the dynamic properties of biofuel-related commodity futures. The results show that the ARJI-trend model not only provides a better fit for the data on the volatility dynamics of corn, soybean, and wheat futures, but also performs better in terms of out-of-sample forecasting. The U.S. dollar index and oil prices both generate significant impacts on the returns of the futures. Since the coexistence of permanent component, transitory component, and time-varying jumps are observed in those futures, the ARJI-trend model is beneficial for acquiring a better understanding of the differential attributes among corn, soybean, and wheat futures.

Keywords: Commodity futures; U.S. dollar index; Oil price; ARJI-trend model (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:96:y:2019:i:c:p:37-48

DOI: 10.1016/j.jimonfin.2019.04.007

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