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The effect of global oil price shocks on China's agricultural commodities

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  • Zhang, Chuanguo
  • Qu, Xuqin

Abstract

This paper studied the effect of global oil price shocks on agricultural commodities in China, including strong wheat, corn, soybean, bean pulp, cotton and natural rubber. We regarded oil price volatility process as a combination of continuous process and jump process. We not only separated oil price shocks into positive and negative categories to identify different effects on agricultural commodities in continuous process, but also investigated how jump behavior influenced these agricultural commodities. We found that the oil price was characterized by volatility clustering and jump behavior. At the same time, oil price shocks had different effects on agricultural commodities. In addition, the shocks on most agricultural commodities were asymmetric. Only natural rubber was under influence of the jump intensity of the oil price, in contrast to strong wheat, corn, soybean, bean pulp and cotton.

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  • Zhang, Chuanguo & Qu, Xuqin, 2015. "The effect of global oil price shocks on China's agricultural commodities," Energy Economics, Elsevier, vol. 51(C), pages 354-364.
    • Handle: RePEc:eee:eneeco:v:51:y:2015:i:c:p:354-364
    DOI: 10.1016/j.eneco.2015.07.012
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    More about this item

    Keywords

    Oil price shocks; Agricultural commodities; Effect;
    All these keywords.

    JEL classification:

    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • R58 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Regional Government Analysis - - - Regional Development Planning and Policy
    • Q01 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Sustainable Development
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness

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