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An empirical analysis of the correlation between large daily changes in grain and oil futures prices

Torun Fretheim

Journal of Commodity Markets, 2019, vol. 14, issue C, 66-75

Abstract: Adopting a framework known from event studies we document patterns in the high-frequency comovement of oil and grain price changes. Using daily front month futures prices we demonstrate a closer relationship between oil and grain price changes after 2006, which suggests a change in the dynamics between grain and energy markets.

Keywords: Futures markets; Energy; Agricultural commodities; Correlation; Comovement (search for similar items in EconPapers)
Date: 2019
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