An empirical analysis of the correlation between large daily changes in grain and oil futures prices
Journal of Commodity Markets, 2019, vol. 14, issue C, 66-75
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:14:y:2019:i:c:p:66-75
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