Empirical analysis of the cross‐interdependence between crude oil and agricultural commodity markets

2020 ◽  
Vol 38 (4) ◽  
pp. 635-654 ◽  
Author(s):  
Khaled Mokni ◽  
Manel Youssef
Keyword(s):  
Crude Oil ◽  
Empirical Analysis ◽  
Commodity Markets ◽  
Agricultural Commodity ◽  
The Cross

scholarly journals A Volatility Analysis of Agricultural Commodity and Crude Oil Global Markets

2017 ◽  
Vol 4 (2) ◽  
pp. 129
Author(s):  
Jamel Trabelsi ◽  
Mohamed Mehdi Jelassi ◽  
Gaye Del Lo
Keyword(s):  
Crude Oil ◽  
Financial Market ◽  
Value At Risk ◽  
Oil Prices ◽  
Commodity Markets ◽  
Global Markets ◽  
Commodity Market ◽  
Agricultural Commodity ◽  
Oil Markets ◽  
Volatility Analysis

The purpose of this study is to provide insights on volatility features of major agricultural commodity global markets. In order to achieve this, we estimate the volatility in the global markets of crude oil and four main agricultural commodities, namely rice, wheat, cotton and coffee over the period 1980:2014. We also investigate the nexus between the volatilities in these global markets. More precisely, we first model the volatility of agricultural commodity and crude oil markets based on the GARCH methodology. Second, we assess the risk in these global markets by the Value-at-Risk technique. Finally, we evaluate the co-movements between returns in agricultural commodity and crude oil markets by the copula methodology. Our empirical findings reveal that, unlike in the financial market, upside shocks in the agricultural market tend to increase volatility more than downside shocks do. In addition to that, risk in global agricultural commodity markets turned out to be high and little evidence in favor of interdependence between these markets is found. Moreover, the co-movement between agricultural commodity market risk and oil prices is detected for recent years only and little evidence is found for the whole sample period.

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

2019 ◽  
Vol 11 (2) ◽  
pp. 396 ◽  
Author(s):  
Yaxian Lu ◽  
Longguang Yang ◽  
Lihong Liu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Autoregressive Model ◽  
Spillover Effects ◽  
Commodity Markets ◽  
Agricultural Commodity ◽  
Short Term ◽  
Crisis Period ◽  
Volatility Spillovers

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.

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