Crude Oil Price Volatility Spillovers and Agricultural Commodities: A Study in Time and Frequency Domains
Journal Title: Review of Economics & Finance - Year 2017, Vol 9, Issue 3
Abstract
This paper investigates the daily volatility spillovers between crude oil prices and a select group of agricultural staples. Empirical findings confirm that the price series under study exhibit nonlinear dependencies which are inconsistent with chaotic pattern. The Johansen-Juselius cointegration test rules out long-run equilibrium relationships between the crude oil prices and the commodities under study. The dynamic conditional correlations (DCC) suggest that the association between agricultural commodities and the crude oil varies over time. The spectral and cross spectral analyses confirm that volatilities in crude oil prices are associated with volatilities in the agricultural products in the sample. Bivariate EGARCH model and the Granger causality tests confirm this relationship.
Authors and Affiliations
Bahram Adrangi, Arjun Chatrath, Joseph Macri, Kambiz Raffiee
Keywords
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