Is there co-movement of agricultural commodities futures prices and crude oil?

Valeri Natanelov, Mohammad J. Alam, Andrew McKenzie and Guido Van Huylenbroeck

Energy Policy, 2011, vol. 39, issue 9, 4971-4984

Abstract: 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.

Keywords: Commodities; futures; Co-movement; Threshold; cointegration (search for similar items in EconPapers)
Date: 2011
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Working Paper: Is There Co-Movement of Agricultural Commodities Futures Prices and Crude Oil? (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:39:y:2011:i:9:p:4971-4984

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