| Registro completo |
| Provedor de dados: |
31
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| País: |
United States
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| Título: |
Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis
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| Autores: |
Du, Xiaodong
Yu, Cindy L.
Hayes, Dermot J.
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| Data: |
2009-04-29
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| Ano: |
2009
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| Palavras-chave: |
Gibbs sampling
Merton jump
Leverage effect
Stochastic volatility
Demand and Price Analysis
Financial Economics
Resource /Energy Economics and Policy
G13
Q4
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| 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 Poisson 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.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
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| Identificador: |
http://purl.umn.edu/49276
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| Relação: |
Agricultural and Applied Economics Association>2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin
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| Formato: |
24
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