The effect of global oil price shocks on China's agricultural commodities
The effect of global oil price shocks on China's agricultural commodities
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DOI：
10.1016/j.eneco.2015.07.012
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发表时间：
2015-09
期刊：
影响因子：
12.8
通讯作者：
Chuanguo Zhang;Xuqin Qu
中科院分区：
文献类型：
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作者：
Chuanguo Zhang;Xuqin Qu
本文研究了全球油价冲击对我国农产品的影响，包括强麦、玉米、大豆、豆浆、棉花和天然橡胶。我们将油价波动过程视为连续过程和跳跃过程的结合。我们不仅将石油价格冲击分为积极和消极两类，以识别连续过程中对农产品的不同影响，而且还研究了跳跃行为如何影响这些农产品。我们发现油价具有波动聚集和跳跃行为的特征。与此同时，油价冲击对农产品也产生了不同程度的影响。此外，大多数农产品受到的冲击是不对称的。只有天然橡胶受到油价上涨幅度的影响，而小麦、玉米、大豆、豆浆和棉花则走强。
This paper studied the effect of global oil price shocks on agricultural commodities in China, including strong wheat, corn, soybean, bean pulp, cotton and natural rubber. We regarded oil price volatility process as a combination of continuous process and jump process. We not only separated oil price shocks into positive and negative categories to identify different effects on agricultural commodities in continuous process, but also investigated how jump behavior influenced these agricultural commodities. We found that the oil price was characterized by volatility clustering and jump behavior. At the same time, oil price shocks had different effects on agricultural commodities. In addition, the shocks on most agricultural commodities were asymmetric. Only natural rubber was under influence of the jump intensity of the oil price, in contrast to strong wheat, corn, soybean, bean pulp and cotton.