Volatility linkages between energy and agricultural commodity prices

被引：157

作者：

Cabrera, Brenda Lopez ^{[1
]}

Schulz, Franziska ^{[1
]}

机构：

[1] Humboldt Univ, Sch Econ & Business Adm, CASE, Spandauer Str 1, D-10099 Berlin, Germany

来源：

ENERGY ECONOMICS | 2016年 / 54卷

关键词：

Energy; Agriculture; Biodiesel; Volatility model; Interdependencies; Dynamic hedging; AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY; ERROR-CORRECTION MODELS; TIME-SERIES; UNIT-ROOT; FOOD; SPILLOVER; ETHANOL; OIL; COINTEGRATION; COVARIANCE;

D O I：

10.1016/j.eneco.2015.11.018

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact for investment and hedging strategies of market participants as well as for policy makers. Volatilities and their short and long run linkages are analyzed using an asymmetric dynamic conditional correlation GARCH model as well as a multivariate multiplicative volatility model. Our approach provides a flexible and accurate fitting procedure for volatility and correlation risk. We find that in the long run prices move together and preserve an equilibrium, while correlations are mostly positive with persistent market shocks. Our results reveal that concerns about biodiesel being the cause of high and volatile agricultural commodity prices are rather unjustified. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：190 / 203

页数：14

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