Journal
ENERGY ECONOMICS
Volume 51, Issue -, Pages 354-364Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.eneco.2015.07.012
Keywords
Oil price shocks; Agricultural commodities; Effect
Categories
Funding
- Fundamental Research Funds for the Central Universities [20720140001]
- Program for New Century Excellent Talents in University of Ministry of Education of China [NCET-12-0327]
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This paper studied the effect of global oil price shocks on agricultural commodities in China, including strong wheat, corn, soybean, bean pulp, cotton and natural rubber. We regarded oil price volatility process as a combination of continuous process and jump process. We not only separated oil price shocks into positive and negative categories to identify different effects on agricultural commodities in continuous process, but also investigated how jump behavior influenced these agricultural commodities. We found that the oil price was characterized by volatility clustering and jump behavior. At the same time, oil price shocks had different effects on agricultural commodities. In addition, the shocks on most agricultural commodities were asymmetric. Only natural rubber was under influence of the jump intensity of the oil price, in contrast to strong wheat, corn, soybean, bean pulp and cotton. (C) 2015 Elsevier B.V. All rights reserved.
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