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Volatility spillovers in China’s crude oil, corn and fuel ethanol markets

Listed author(s):
  • Haixia, Wu
  • Shiping, Li
Registered author(s):

    Price volatility spillovers among China’s crude oil, corn and fuel ethanol markets are analyzed based on weekly price data from September 5, 2003 to August 31, 2012, employing the univariate EGARCH model and the BEKK-MVGARCH model, respectively. The empirical results indicate a higher interaction among crude oil, corn and fuel ethanol markets after September, 2008. In the overall sample period, the results simultaneously provide strong evidence that there exist unidirectional spillover effects from the crude oil market to the corn and fuel ethanol markets, and double-directional spillovers between the corn market and the fuel ethanol market. However, the spillover effects from the corn and fuel ethanol markets to the crude oil market are not significant.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0301421513006691
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    Article provided by Elsevier in its journal Energy Policy.

    Volume (Year): 62 (2013)
    Issue (Month): C ()
    Pages: 878-886

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    Handle: RePEc:eee:enepol:v:62:y:2013:i:c:p:878-886
    DOI: 10.1016/j.enpol.2013.07.026
    Contact details of provider: Web page: http://www.elsevier.com/locate/enpol

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