Do Fine Wines Blend with Crude Oil? Seizing the Transmission of Mean and Volatility Between Two Commodity Prices

2013 ◽  
Vol 8 (1) ◽  
pp. 49-68 ◽  
Author(s):  
Elie I. Bouri
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Commodity Prices ◽  
Oil Prices ◽  
Multivariate Model ◽  
Volatility Transmission ◽  
Volatility Persistence ◽  
Crude Oil Prices ◽  
Risk Managers ◽  
Jel Classifications

AbstractThis study applies a multivariate model to examine the dynamics of mean and volatility transmission between fine wine and crude oil prices using daily observations from January 2004 to December 2011. The results suggest that the crude oil mean determines the wine market. In each series, volatility persistence is high and significant; innovations in each market seem to include figures that are valuable to risk managers seeking to predict volatility in other markets. During the financial crisis of 2008, wine and oil conditional volatilities climbed but then returned to their overall pre-crisis levels. (JEL Classifications: G11, G15, Q14, Q40)

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

scholarly journals GLOBAL CRUDE OIL PRICE AND DOMESTIC FOOD COMMODITY PRICES: EVIDENCE FROM INDONESIA

2020 ◽  
Vol 14 (1) ◽  
pp. 95-120
Author(s):  
Tiara Kencana Ayu
Keyword(s):  
Panel Data ◽  
Crude Oil ◽  
Local Food ◽  
Price Change ◽  
Commodity Prices ◽  
Oil Prices ◽  
Jel Classification ◽  
Crude Oil Prices ◽  
The Impact ◽  
Food Commodity

Abstrak Penelitian untuk menganalisis hubungan antara harga minyak dunia dan harga komoditi pangan di pasar domestik masih jarang ditemukan. Dengan membuat Model Panel Data dari 34 provinsi di Indonesia pada tahun 2010-2017, penelitian ini bertujuan untuk menginvestigasi pengaruh perubahan harga minyak dunia terhadap beberapa harga komoditi pangan lokal (kedelai,import, kedelai lokal, beras lokal, dan jagung lokal). Hasil penelitian ini mengindikasikan bahwa harga minyak dunia dapat memengaruhi harga pangan lokal di Indonesia melalui tingginya biaya pengiriman pada aktivitas impor. Selain itu, harga komoditi pangan dunia juga terbukti dapat memengaruhi harga seluruh komoditi pangan lokal yang diteliti, yang mengimplikasikan bahwa harga komoditi pangan di Indonesia dipengaruhi oleh kondisi pasar internasional. Hasil penelitian ini memberikan masukan bagi pembuat kebijakan di Indonesia untuk mempertimbangkan perubahan harga minyak dunia dan harga komoditi global dalam menstabilkan harga komoditi lokal di Indonesia, terutama komoditi yang diimpor.   Abstract Globally, studies examining the nexus between global crude oil prices and food commodity prices in domestic markets are scant. Employing a panel data model of 34 provinces in Indonesia from 2010 - 2017, this study investigates the impact of global crude oil’s price change on some local food commodity prices (imported soybean, local soybean, local rice, and local maize). Previous studies found that local food commodity prices in some countries were not affected by global crude oil prices; however, this study, by controlling other factors which could affect local commodity prices, finds different results. This study’s findings indicate that global crude oil prices could affect Indonesia’s local commodity prices due to higher shipping costs in import activity. In addition, global commodity prices are also proved to affect all commodities examined in this study, which implies that local food commodity prices in Indonesia are influenced by the international market. This study provides input to policymakers in Indonesia to consider the movement of global crude oil prices and global commodity prices in stabilizing local food commodity prices in Indonesia, especially the imported commodities. JEL Classification: F15, O13, Q11

scholarly journals Algorithmic Sangfroid? The Decline of Sensitivity of Crude Oil Prices to News on Potentially Disruptive Terror Attacks and Political Unrest

2020 ◽  
Vol 13 (1) ◽  
pp. 52
Author(s):  
Paweł Mielcarz ◽  
Dmytro Osiichuk ◽  
Jarosław Cymerski
Keyword(s):  
Crude Oil ◽  
Commodity Prices ◽  
Price Volatility ◽  
Oil Prices ◽  
Informational Efficiency ◽  
Terror Attacks ◽  
Oil Price Volatility ◽  
Crude Oil Prices ◽  
Political Unrest ◽  
Commodity Trading

The paper postulates that enhanced informational efficiency and signal processing capacity, which have characterized the evolution of commodity markets’ architecture during the last two decades, have rendered commodity prices more robust with respect to external shocks. Our econometric analysis of times series over 2001–2015 revealed a persistent decline in the responsiveness of crude oil prices to inflows of information concerning potentially supply-disruptive events. International news on terrorist attacks involving damage to oil infrastructure including those occurring in proximity to oil extraction sites, political unrest, and conflicts of rivaling factions are all documented to exercise a decreasing impact on oil price volatility both over short and medium observation spans. The previously observed spikes in oil prices accompanying similar disruptive events in OPEC countries are also shown to flatten over time as price sensitivity to information shocks declines. The discovered weakening of market response becomes more pronounced from the mid-2000s, which corresponds to the period of rapid algorithmization of commodity trading.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

Determinants of Inflation in Vietnam: A VECM Approach

2015 ◽  
Vol 22 (04) ◽  
pp. 26-50
Author(s):  
Ngoc Tran Thi Bich ◽  
Huong Pham Hoang Cam
Keyword(s):  
Interest Rate ◽  
Crude Oil ◽  
Error Correction ◽  
Budget Deficit ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Domestic Credit ◽  
Short Run ◽  
The Impact

This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actually has a short-run impact, but its level is fundamentally weak. The cause of the current inflation is mainly due to public's expectations of the inflation in the last period. Although the error correction, from the long-run relationship, has affected inflation in the short run, the coefficient is small and insignificant. In other words, it means that the speed of the adjustment is very low or near zero. This also implies that once the relationship among inflation, domestic credit, interest rate, budget deficit, and crude oil prices deviate from the long-term trend, it will take the economy a lot of time to return to the equilibrium state.

Sign in / Sign up

Export Citation Format

Share Document