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Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis

Yaxian Lu (), Longguang Yang () and Lihong Liu ()
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Yaxian Lu: International Business School, Yunnan University of Finance and Economics, 237 Longquan Road, Kunming 650221, China
Longguang Yang: School of Finance, Capital University of Economics and Business, 121 Zhangjialukou, Huaxiang, Fengtai District, Beijing 100081, China
Lihong Liu: Guiyang Central Sub-Branch, the People’s Bank of China, 2 Baoshan North Road, Guiyang 550001, China

Sustainability, 2019, vol. 11, issue 2, 1-12

Abstract: This study examines the nature and dynamics of volatility spillovers between crude oil and agricultural commodity markets since the 2008–09 financial crisis. We tested for volatility spillovers with a flexible bivariate heterogeneous autoregressive model to identify the short-, mid-, and long-term spillover effects. We observed bidirectional spillovers of short-term volatilities between crude oil and agricultural commodity markets in the crisis period, compared to mid-term and long-term volatilities of corn being transmitted to the crude oil volatility in the post-crisis period. These findings suggest that crude oil and agricultural commodity markets have become less integrated after the 2008–09 crisis.

Keywords: volatility spillovers; realized volatility; HAR model; agricultural commodity; crude oil (search for similar items in EconPapers)
JEL-codes: Q Q0 Q2 Q3 Q5 Q56 O13 (search for similar items in EconPapers)
Date: 2019
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