The dependence structure between crude oil futures prices and Chinese agricultural commodity futures prices: Measurement based on Markov-switching GRG copula

被引：40
|
作者：
Liu, Xiang-dong [1 ,2 ]
Pan, Fei [1 ]
Yuan, Lin [3 ]
Chen, Yu-wang [4 ]
机构：
[1] Univ Sci & Technol Beijing, Donlinks Sch Econ & Management, Beijing 100083, Peoples R China
[2] Univ Manchester, Sch Math, Oxford Rd, Manchester M13 9PL, Lancs, England
[3] Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China
[4] Univ Manchester, Alliance Manchester Business Sch, Manchester M15 6PB, Lancs, England
来源：
ENERGY | 2019年 / 182卷
基金：
中国国家自然科学基金;
关键词：
Crude oil futures; Agricultural commodity futures; Markov-switching; GRG copula; Dependence structure; WORLD FOOD-PRICES; CO-MOVEMENT; ENERGY PRICES; VOLATILITY; SPILLOVERS; COINTEGRATION; RETURNS; MARKETS; ETHANOL; SHOCKS;
D O I：
10.1016/j.energy.2019.06.071
中图分类号：
O414.1 [热力学];
学科分类号：
摘要：
The relational measurement based on Markov-switching GRG copula constructed by this paper is harnessed to analyze the dependence structure between WTI (BRENT) crude oil futures price and 12 kinds of Chinese agricultural commodity futures prices. The empirical results show that there exist two structural states of Markov switching between the futures prices of different agricultural commodities and crude oil futures price. The two states have different duration periods, and the degree of correlation with crude oil futures prices varies under different agricultural commodity futures prices. Among all the 12 kinds of agricultural commodity futures, 11 kinds of agricultural commodity futures prices mainly present positive correlations with crude oil futures prices, although the positive correlation differs between non extreme and extreme conditions. The remaining agricultural commodity futures price is not related to crude oil futures prices. (C) 2019 Elsevier Ltd. All rights reserved.
引用
收藏
页码：999 / 1012
页数：14
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