Volatility Transmission Among Oil Price, Exchange Rate and Agricultural Commodities Prices

Sima Siami-Namini

Applied Economics and Finance, 2019, vol. 6, issue 4, 41-61

Abstract: The aim of this article is to examine the interdependence relationship among the volatilities of crude oil price, U.S. dollar exchange rate, and a set of agricultural commodities prices. An autoregressive (AR) with an exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model or AR-EGARCH process and vector error correction model (VECM) approach was used on monthly data spanning from Jan 1986 to Dec 2005 as the pre-crisis period and from Jan 2006 to Nov 2015 as the post-crisis period. The results show that volatility in the agricultural commodity returns for most cases are affected by the volatility of the crude oil returns in the post-crisis period. Also, the volatility of the U.S. dollar exchange rate highly affects the agricultural commodities returns in the pre-crisis than the post-crisis periods. Furthermore, crude oil returns volatility does affect the U.S. dollar exchange rate volatility in the post-crisis period, which in turn affects the volatility of the agricultural commodities returns through changes in prices. The results of impulse response function (IRFs) are significant for most agricultural commodities volatility in the post-crisis period than the pre-crisis period.

Keywords: Volatility transmission; Agricultural commodities returns; EGARCH model. VECM approach (search for similar items in EconPapers)
JEL-codes: C32 C58 O13 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://redfame.com/journal/index.php/aef/article/view/4322/4515 (application/pdf)
http://redfame.com/journal/index.php/aef/article/view/4322 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rfa:aefjnl:v:6:y:2019:i:4:p:41-61

Access Statistics for this article

More articles in Applied Economics and Finance from Redfame publishing Contact information at EDIRC.
Bibliographic data for series maintained by Redfame publishing ().