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Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis
| Content Provider | Semantic Scholar |
|---|---|
| Author | Lu, Yaxian Yang, Longguang Liu, Lihong |
| Copyright Year | 2019 |
| Abstract | This study examines the nature and dynamics of volatility spillovers between crude oil and agricultural commodity markets since the 2008–09 financial crisis. We tested for volatility spillovers with a flexible bivariate heterogeneous autoregressive model to identify the short-, mid-, and long-term spillover effects. We observed bidirectional spillovers of short-term volatilities between crude oil and agricultural commodity markets in the crisis period, compared to mid-term and long-term volatilities of corn being transmitted to the crude oil volatility in the post-crisis period. These findings suggest that crude oil and agricultural commodity markets have become less integrated after the 2008–09 crisis. |
| Starting Page | 396 |
| Ending Page | 396 |
| Page Count | 1 |
| File Format | PDF HTM / HTML |
| DOI | 10.3390/su11020396 |
| Volume Number | 11 |
| Alternate Webpage(s) | https://res.mdpi.com/sustainability/sustainability-11-00396/article_deploy/sustainability-11-00396.pdf?attachment=1&filename= |
| Alternate Webpage(s) | https://doi.org/10.3390/su11020396 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
