Crude oil and agricultural futures: An analysis of correlation dynamics
Silvennoinen, Annastiina & Thorp, Susan (2016) Crude oil and agricultural futures: An analysis of correlation dynamics. The Journal of Futures Markets, 36(6), pp. 522-544.
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Correlations between oil and agricultural commodities have varied over previous decades, impacted by renewable fuels policy and turbulent economic conditions. We estimate smooth transition conditional correlation models for 12 agricultural commodities and WTI crude oil. While a structural change in correlations occurred concurrently with the introduction of biofuel policy, oil and food price levels are also key influences. High correlation between biofuel feedstocks and oil is more likely to occur when food and oil price levels are high. Correlation with oil returns is strong for biofuel feedstocks, unlike with other agricultural futures, suggesting limited contagion from energy to food markets.
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|Item Type:||Journal Article|
|Keywords:||Smooth transition conditional correlation, Structural breaks, Return comovement, Biofuel, Commodity futures|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
|Deposited On:||04 Feb 2016 22:52|
|Last Modified:||10 Jun 2016 10:31|
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