| ID | 109350 |
| Title Proper | Is there co-movement of agricultural commodities futures prices and crude oil? |
| Language | ENG |
| Author | Natanelov, Valeri ; Alam, Mohammad J ; McKenzie, Andrew M ; Huylenbroeck, Guido Van |
| Publication | 2011. |
| Summary / Abstract (Note) | Even though significant attempts have appeared in literature, the current perception of co-movement of commodity prices appear inadequate and static. In particular we focus on price movements between crude oil futures and a series of agricultural commodities and gold futures. A comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed. Our results indicate that co-movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Furthermore we show that biofuel policy buffers the co-movement of crude oil and corn futures until the crude oil prices surpass a certain threshold. |
| `In' analytical Note | Energy Policy Vol. 39, No. 9; Sep 2011: p.4971-4984 |
| Journal Source | Energy Policy Vol. 39, No. 9; Sep 2011: p.4971-4984 |
| Key Words | Commodities Futures ; Co - Movement ; Threshold Cointegration |