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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

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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  • Natanelov, Valeri & Alam, Mohammad J. & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2011. "Is there co-movement of agricultural commodities futures prices and crude oil?," Energy Policy, Elsevier, vol. 39(9), pages 4971-4984, September.
    • Handle: RePEc:eee:enepol:v:39:y:2011:i:9:p:4971-4984
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