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Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US

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  • Ching-Chun Wei

    (200 Chung Chi Rd., Shalu, Taichung 43301, Taiwan,)

  • Shu-Min Chen

    (Shu-Min Chen, 200 Chung Chi Rd., Shalu, Taichung 43301, Taiwan)

Abstract

The purpose of this paper is to investigate the relationships between crude oil futures and agricultural grain commodities futures for soybeans, wheat and corn. Daily data for soybeans, wheat and corn are collected from Chicago Board of Trade and crude oil from New York Mercantile Exchange. The time period covered in this study extends from January 3, 2006 to February 22, 2012. In order to detect the relationships between crude oil and agriculture grain commodities futures, we apply the vector autoregression (VAR) model. From the VAR model, the change in each of agriculture grain commodities is significantly influenced by the change in the crude oil and other agriculture grain commodities

Suggested Citation

  • Ching-Chun Wei & Shu-Min Chen, 2016. "Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US," International Journal of Energy Economics and Policy, Econjournals, vol. 6(1), pages 58-64.
    • Handle: RePEc:eco:journ2:2016-01-09
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    Cited by:

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    3. Vellachami, Sanggetha & Hasanov, Akram Shavkatovich & Brooks, Robert, 2023. "Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
    4. Hanif, Waqas & Areola Hernandez, Jose & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2021. "Tail dependence risk and spillovers between oil and food prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 195-209.
    5. Jebabli, Ikram & Roubaud, David, 2018. "Time-varying efficiency in food and energy markets: Evidence and implications," Economic Modelling, Elsevier, vol. 70(C), pages 97-114.
    6. Cheng, Natalie Fang Ling & Hasanov, Akram Shavkatovich & Poon, Wai Ching & Bouri, Elie, 2023. "The US-China trade war and the volatility linkages between energy and agricultural commodities," Energy Economics, Elsevier, vol. 120(C).
    7. Ida Farida & Faurani Santi Singagerda, 2021. "Volatilitiy of World Food Commodity Prices and Renewable Fuel Standard Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 516-527.
    8. Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2020. "How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics," Energy Economics, Elsevier, vol. 90(C).

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    More about this item

    Keywords

    Crude Oil Futures; Agricultural Grain Commodities Futures; Granger Causality; Vector Autoregression;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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