Diesel and soybean price relationship in the USA: evidence from a quantile autoregressive distributed lag model
Diesel and soybean price relationship in the USA: evidence from a quantile autoregressive distributed lag model
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美国柴油和大豆价格关系：来自分位数自回归分布滞后模型的证据
DOI：
10.1007/s00181-016-1114-4
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发表时间：
2017
期刊：
影响因子：
--
通讯作者：
S. Mitra
中科院分区：
文献类型：
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作者：
Debdatta Pal;S. Mitra
我们使用 Galvao 等人的分位数自回归分布式滞后模型。 （Oxf Bull Econ Stat 75:307–321, 2013）探讨柴油和大豆价格之间可能的关系。本分析使用 2004 年 1 月至 2014 年 6 月期间的美国柴油和大豆月度价格。从长远来看，柴油和大豆价格之间存在密切联系。结果表明，大豆价格走势与尾部相关，并且随分位数变化。在上分位数中，与下分位数相比，大豆价格对柴油价格波动的反应强烈。
We use the quantile autoregressive distributed lag model of Galvao et al. (Oxf Bull Econ Stat 75:307–321, 2013) to explore the possible relationship between prices of diesel and soybean. Monthly US diesel and soybean prices spanning from January 2004 to June 2014 are used in this analysis. Strong links between diesel and soybean prices are identified over the long run. Results indicate that soybean price movement is tail-dependent and varies over quantiles. In the upper quantiles, soybean prices respond strongly to diesel price fluctuations as compared to that in the lower quantiles.