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Is there co-movement of agricultural commodities futures prices and crude oil?

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  • Natanelov, Valeri
  • Alam, Mohammad J.
  • McKenzie, Andrew M.
  • Van Huylenbroeck, Guido
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    Abstract

    Even though significant attempts have appeared in literature, the current perception of co-movement of commodity prices appear inadequate and static. In particular we focus on price movements between crude oil futures and a series of agricultural commodities and gold futures. A comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed. Our results indicate that co-movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Furthermore we show that biofuel policy buffers the co-movement of crude oil and corn futures until the crude oil prices surpass a certain threshold.

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    Bibliographic Info

    Article provided by Elsevier in its journal Energy Policy.

    Volume (Year): 39 (2011)
    Issue (Month): 9 (September)
    Pages: 4971-4984

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    Handle: RePEc:eee:enepol:v:39:y:2011:i:9:p:4971-4984

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    Web page: http://www.elsevier.com/locate/enpol

    Related research

    Keywords: Commodities futures Co-movement Threshold cointegration;

    References

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    Cited by:
    1. Zhang, Chuanguo & Chen, Xiaoqing, 2014. "The impact of global oil price shocks on China’s bulk commodity markets and fundamental industries," Energy Policy, Elsevier, vol. 66(C), pages 32-41.
    2. Gbadebo Oladosu & Siwa Msangi, 2013. "Biofuel-Food Market Interactions: A Review of Modeling Approaches and Findings," Agriculture, MDPI, Open Access Journal, vol. 3(1), pages 53-71, February.
    3. Chrz, Stepan & Hruby, Zdenek & Janda, Karel & Kristoufek, Ladislav, 2013. "Provazanost trhu potravin, biopaliv a fosilnich paliv
      [Interconnections within food, biofuel, and fossil fuel markets]
      ," MPRA Paper 43958, University Library of Munich, Germany.
    4. Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012. "Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach," Working Papers 2012.23, Fondazione Eni Enrico Mattei.
    5. Śmiech, Sławomir, 2014. "Co-movement of commodity prices – results from dynamic time warping classification," MPRA Paper 56546, University Library of Munich, Germany.
    6. Serra, Teresa & Zilberman, David, 2013. "Biofuel-related price transmission literature: A review," Energy Economics, Elsevier, vol. 37(C), pages 141-151.
    7. Natanelov, Valeri & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2013. "Crude oil–corn–ethanol – nexus: A contextual approach," Energy Policy, Elsevier, vol. 63(C), pages 504-513.
    8. Papież, Monika, 2014. "A dynamic analysis of causality between prices of corn, crude oil and ethanol," MPRA Paper 56540, University Library of Munich, Germany.

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