Data/hora: 10/06/2024 08:14:50

Provedor de dados: | 31
País: | United States
Título: | Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis
Autores: | Du,   Xiaodong; Yu,   Cindy L.; Hayes,   Dermot J.
Data: | 2009-05-15
Ano: | 2009
Palavras-chave: | Gibbs sampling; Merton jump; Leverage effect; Stochastic volatility.; Agricultural and Food Policy; Resource /Energy Economics and Policy.
Resumo: | This paper assesses the roles of various factors influencing the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn, and wheat futures prices from November 1998 to January 2009. Model parameters are estimated using Bayesian Markov chain Monte Carlo methods. The main results are as follows. Speculation, scalping, and petroleum inventories are found to be important in explaining oil price variation. Several properties of crude oil price dynamics are established, including mean-reversion, a negative correlation between price and volatility, volatility clustering, and infrequent compound jumps. We find evidence of volatility spillover among crude oil, corn, and wheat markets after the fall of 2006. This could be largely explained by tightened interdependence between these markets induced by ethanol production.
Tipo: | Working or Discussion Paper
Idioma: | Inglês
Identificador: | http://purl.umn.edu/50073

Relação:

Iowa State University&gt;Center for Agricultural and Rural Development&gt;CARD Working Paper Series

CARD Working Paper

09-WP 491

Formato: | 23