Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model
Sign Up to like & getrecommendations! Published in 2018 at "Energy Economics"
DOI: 10.1016/j.eneco.2018.08.015
Abstract: Unlike previous studies, we employ a relatively newer modelling technique — a time-varying copula with a switching dependence — to characterise the conditional dependence between energy and agricultural commodity markets in a more realistic way.… read more here.
Keywords: risk; dependence; agricultural commodity; energy agricultural ... See more keywords
The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns
Sign Up to like & getrecommendations! Published in 2021 at "Energy Economics"
DOI: 10.1016/j.eneco.2021.105377
Abstract: Abstract This paper is the first to examine the dynamic impact of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. Using a quantile regression approach, we report that temperature anomaly exerts a significant… read more here.
Keywords: temperature anomaly; futures returns; commodity futures; agricultural commodity ... See more keywords
Do oil prices drive agricultural commodity prices? Further evidence in a global bio-energy context
Sign Up to like & getrecommendations! Published in 2019 at "Energy"
DOI: 10.1016/j.energy.2019.02.028
Abstract: Abstract This study explores the causalities between oil and agricultural commodity prices to examine whether the vertical market integration model holds for global market. Considering structural changes, the long-run nexus using full-sample data is found… read more here.
Keywords: bio energy; oil; agricultural commodity; commodity prices ... See more keywords
Connectedness between oil and agricultural commodity prices during tranquil and volatile period. Is crude oil a victim indeed?
Sign Up to like & getrecommendations! Published in 2021 at "Resources Policy"
DOI: 10.1016/j.resourpol.2021.102131
Abstract: Increasing financialization of energy and commodity markets offer a variety of tradeoff for the investors and consumers On the one hand, this increased financialization of the two markets helps investors design a well-diversified investment portfolio… read more here.
Keywords: period; agricultural commodity; oil; commodity ... See more keywords
Climate extremes and agricultural commodity markets: A global economic analysis of regionally simulated events
Sign Up to like & getrecommendations! Published in 2020 at "Weather and climate extremes"
DOI: 10.1016/j.wace.2019.100193
Abstract: Abstract Agroclimatic extremes can be seen as typical supply shifters that, on a par with economic and structural drivers, distort supply, demand, trade, and induce price variability. Economic simulation models typically operate under the assumption… read more here.
Keywords: commodity markets; extremes agricultural; agricultural commodity; markets global ... See more keywords
Agricultural commodity futures prices prediction via long- and short-term time series network
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Applied Economics"
DOI: 10.1080/15140326.2019.1668664
Abstract: ABSTRACT In this study, we attempt to predict global agricultural commodity futures prices through analysis of multivariate time series. Our motivation is based on the notion that datasets of agricultural commodity futures prices involves a… read more here.
Keywords: time series; agricultural commodity; long short; futures prices ... See more keywords
Monetary policy shocks and the dynamics of agricultural commodity prices: evidence from structural and factor‐augmented VAR analyses
Sign Up to like & getrecommendations! Published in 2017 at "Agricultural Economics"
DOI: 10.1111/agec.12291
Abstract: Fluctuation in commodity prices is a significant and timely issue to be studied. This study is to examine the impact of monetary policy and other macroeconomic shocks on the dynamics of agricultural commodity prices. The… read more here.
Keywords: commodity prices; agricultural commodity; monetary policy; factor ... See more keywords
Modeling regime‐dependent agricultural commodity price volatilities
Sign Up to like & getrecommendations! Published in 2017 at "Agricultural Economics"
DOI: 10.1111/agec.12366
Abstract: In stark contrast to financial markets, relatively little attention has been given to modeling agricultural commodity price volatility. In recent years, numerous methodologies with various strengths have been proposed for modeling price volatility in financial… read more here.
Keywords: modeling regime; price; agricultural commodity; commodity price ... See more keywords
Performance Analysis of Four Decomposition-Ensemble Models for One-Day-Ahead Agricultural Commodity Futures Price Forecasting
Sign Up to like & getrecommendations! Published in 2017 at "Algorithms"
DOI: 10.3390/a10030108
Abstract: Agricultural commodity futures prices play a significant role in the change tendency of these spot prices and the supply–demand relationship of global agricultural product markets. Due to the nonlinear and nonstationary nature of this kind… read more here.
Keywords: agricultural commodity; futures prices; commodity futures; price forecasting ... See more keywords
Assessing the Causality Relationship between the Geopolitical Risk Index and the Agricultural Commodity Markets
Sign Up to like & getrecommendations! Published in 2023 at "Risks"
DOI: 10.3390/risks11050084
Abstract: The aim of this study was to investigate the Granger causality between geopolitical risk (GPR) sub-indices in order to examine the implications of geopolitical risk on ten agricultural commodities classified as softs or grains. The… read more here.
Keywords: index; agricultural commodity; causality; risk ... See more keywords