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Energy and Speculation: New Dynamics in Agricultural Commodity Price Volatility

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  • Xiarchos, Irene M.
  • Burnett, J. Wesley
  • Kucher, Oleg

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  • Xiarchos, Irene M. & Burnett, J. Wesley & Kucher, Oleg, 2012. "Energy and Speculation: New Dynamics in Agricultural Commodity Price Volatility," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124788, Agricultural and Applied Economics Association.
  • Handle: RePEc:ags:aaea12:124788
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    File URL: http://purl.umn.edu/124788
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    References listed on IDEAS

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    1. Thomas W. Hertel & Jayson Beckman, 2011. "Commodity Price Volatility in the Biofuel Era: An Examination of the Linkage between Energy and Agricultural Markets," NBER Chapters,in: The Intended and Unintended Effects of U.S. Agricultural and Biotechnology Policies, pages 189-221 National Bureau of Economic Research, Inc.
    2. Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011. "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," Energy Economics, Elsevier, vol. 33(3), pages 497-503, May.
    3. Serra, Teresa, 2011. "Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 115997, European Association of Agricultural Economists.
    4. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
    5. Balcombe, Kelvin, 2009. "The Nature and Determinants of Volatility in Agricultural Prices," MPRA Paper 24819, University Library of Munich, Germany.
    6. Nazlioglu, Saban & Soytas, Ugur, 2012. "Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis," Energy Economics, Elsevier, vol. 34(4), pages 1098-1104.
    7. Serra, Teresa, 2011. "Volatility spillovers between food and energy markets: A semiparametric approach," Energy Economics, Elsevier, vol. 33(6), pages 1155-1164.
    8. George, Edward I. & Sun, Dongchu & Ni, Shawn, 2008. "Bayesian stochastic search for VAR model restrictions," Journal of Econometrics, Elsevier, vol. 142(1), pages 553-580, January.
    9. Abbott, Philip C. & Hurt, Christopher & Tyner, Wallace E., 2009. "What's Driving Food Prices? March 2009 Update," Issue Reports 48495, Farm Foundation.
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    Keywords

    Resource /Energy Economics and Policy;

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