Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis
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This study examines the nature and dynamics of volatility spillovers between crude oil and agricultural commodity markets since the 2008–09 financial crisis. We tested for volatility spillovers with a flexible bivariate heterogeneous autoregressive model to identify the short-, mid-, and long-term spillover effects. We observed bidirectional spillovers of short-term volatilities between crude oil and agricultural commodity markets in the crisis period, compared to mid-term and long-term volatilities of corn being transmitted to the crude oil volatility in the post-crisis period. These findings suggest that crude oil and agricultural commodity markets have become less integrated after the 2008–09 crisis.
2020 ◽
Vol 8
(5)
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pp. 401-433
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2018 ◽
Vol 11
(4)
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pp. 72
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2015 ◽
Vol 38
(4/5/6)
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pp. 286
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2016 ◽
Vol 38
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pp. 277-285
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