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Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis

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  • Yaxian Lu

    (International Business School, Yunnan University of Finance and Economics, 237 Longquan Road, Kunming 650221, China)

  • Longguang Yang

    (School of Finance, Capital University of Economics and Business, 121 Zhangjialukou, Huaxiang, Fengtai District, Beijing 100081, China)

  • Lihong Liu

    (Guiyang Central Sub-Branch, the People’s Bank of China, 2 Baoshan North Road, Guiyang 550001, China)

Abstract

This study examines the nature and dynamics of volatility spillovers between crude oil and agricultural commodity markets since the 2008–09 financial crisis. We tested for volatility spillovers with a flexible bivariate heterogeneous autoregressive model to identify the short-, mid-, and long-term spillover effects. We observed bidirectional spillovers of short-term volatilities between crude oil and agricultural commodity markets in the crisis period, compared to mid-term and long-term volatilities of corn being transmitted to the crude oil volatility in the post-crisis period. These findings suggest that crude oil and agricultural commodity markets have become less integrated after the 2008–09 crisis.

Suggested Citation

  • Yaxian Lu & Longguang Yang & Lihong Liu, 2019. "Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis," Sustainability, MDPI, vol. 11(2), pages 1-12, January.
    • Handle: RePEc:gam:jsusta:v:11:y:2019:i:2:p:396-:d:197566
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