EconPapers    
Economics at your fingertips  
 

Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics

Annastiina Silvennoinen and Susan Thorp ()

Journal of Futures Markets, 2016, vol. 36, issue 6, 522-544

Abstract: Correlations between oil and agricultural commodities have varied over previous decades, impacted by renewable fuels policy and turbulent economic conditions. We estimate smooth transition conditional correlation models for 12 agricultural commodities and WTI crude oil. While a structural change in correlations occurred concurrently with the introduction of biofuel policy, oil and food price levels are also key influences. High correlation between biofuel feedstocks and oil is more likely to occur when food and oil price levels are high. Correlation with oil returns is strong for biofuel feedstocks, unlike with other agricultural futures, suggesting limited contagion from energy to food markets. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:522–544, 2016

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/

Related works:
Working Paper: Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics (2015) Downloads
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:wly:jfutmk:v:36:y:2016:i:6:p:522-544

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-09-25
Handle: RePEc:wly:jfutmk:v:36:y:2016:i:6:p:522-544