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An empirical analysis of the correlation between large daily changes in grain and oil futures prices

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  • Fretheim, Torun

Abstract

Adopting a framework known from event studies we document patterns in the high-frequency comovement of oil and grain price changes. Using daily front month futures prices we demonstrate a closer relationship between oil and grain price changes after 2006, which suggests a change in the dynamics between grain and energy markets.

Suggested Citation

  • Fretheim, Torun, 2019. "An empirical analysis of the correlation between large daily changes in grain and oil futures prices," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 66-75.
    • Handle: RePEc:eee:jocoma:v:14:y:2019:i:c:p:66-75
    DOI: 10.1016/j.jcomm.2018.07.002
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    References listed on IDEAS

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    1. Kwas, Marek & Paccagnini, Alessia & Rubaszek, Michał, 2022. "Common factors and the dynamics of cereal prices. A forecasting perspective," Journal of Commodity Markets, Elsevier, vol. 28(C).

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