Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics
Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics
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DOI：
10.1002/fut.21770
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发表时间：
2016-06
影响因子：
1.9
通讯作者：
Annastiina Silvennoinen;S. Thorp
中科院分区：
文献类型：
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作者：
Annastiina Silvennoinen;S. Thorp
在过去几十年中，石油和农业商品之间的相关性因可再生燃料政策和动荡的经济状况而有所不同。我们估计了12种农产品和WTI原油的平滑过渡条件相关模型。虽然相关性的结构性变化与生物燃料政策的出台同时发生，但石油和粮食价格水平也是关键的影响因素。当粮食和石油价格高企时，生物燃料原料和石油之间的相关性更可能高。与其他农产品期货不同，生物燃料原料与石油回报的相关性很强，这表明从能源到粮食市场的传染有限。
Correlations between oil and agricultural commodities have varied over previous decades, impacted by renewable fuels policy and turbulent economic conditions. We estimate smooth transition conditional correlation models for 12 agricultural commodities and WTI crude oil. While a structural change in correlations occurred concurrently with the introduction of biofuel policy, oil and food price levels are also key influences. High correlation between biofuel feedstocks and oil is more likely to occur when food and oil price levels are high. Correlation with oil returns is strong for biofuel feedstocks, unlike with other agricultural futures, suggesting limited contagion from energy to food markets.