Is there co-movement of agricultural commodities futures prices and crude oil?
AbstractEven 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 InfoArticle provided by Elsevier in its journal Energy Policy.
Volume (Year): 39 (2011)
Issue (Month): 9 (September)
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Web page: http://www.elsevier.com/locate/enpol
Commodities futures Co-movement Threshold cointegration;
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