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Journal ArticleDOI

Crude Oil Volatility Transmission Across Food Commodity Markets: A Multivariate BEKK-GARCH Approach:

01 Aug 2021-Journal of Emerging Market Finance (SAGE PublicationsSage India: New Delhi, India)-Vol. 20, Iss: 2, pp 131-164
TL;DR: In this paper, the authors examined the time-varying price risk transmission in the nexus between crude oil and agricultural commodity prices in the context of non-grain-based biofuel producing country.
Abstract: This study examines the time-varying price risk transmission in the nexus between crude oil and agricultural commodity prices in the context of non-grain-based biofuel producing country. Analysis o...
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Journal ArticleDOI
06 Oct 2021
TL;DR: In this paper, the authors investigated the volatility impact of crude oil and gold on interest rates and contributed to the existing literature with its findings, but there is no evidence of volatility spillover from gold and crude oil on the interest rates.
Abstract: Crude oil, gold and interest rates are some of the key indicators of the health of domestic as well as global economy. The purpose of the study is to find the shock volatility and price volatility effects of gold and crude oil market on interest rates in India.,This study finds the mutual and directional association of the volatility of gold, crude oil and interest rates in India. The bi-variate GARCH models (Diagonal VEC GARCH and BEKK GARCH) are applied on the sample data of gold price, crude oil price and yield (interest rate) gathered from November 30, 2015 to November 16, 2020 (weekly basis) to investigate the volatility association including the volatility spillover effect in the three markets.,The main findings of the study focus on having a long-term conditional correlation between gold and interest rates, but there is no evidence of volatility spillover from gold and crude oil on the interest rates. The findings of the study are of great importance especially to the policymakers, as they state that the fluctuations in prices of gold and crude oil do not adversely impact the interest rates in India. Therefore, the fluctuations in prices of gold and crude may generally impact the economy, but it has nothing to do with interest rate in particular. This implies that domestic and foreign investments in the country will not be affected by gold and crude oil that are largely driven by interest rates in the country.,Gold and crude oil are two very important commodities that have their importance not only for domestic affairs but also for international business. They veritably influence the economy including forex exchange for any nation. In addition to this, the researchers believe the findings will provide insights to policymakers, stakeholders and investors.,Gold and crude oil undoubtedly influence the exchange rates but their impact on the interest rates in an economy is not definite and remains ambiguous owing to the mixed findings of the studies. The lack of studies related to the impact of gold and crude oil on the interest rates, despite them being essentials for the health of any economy is the main motivation of this study. This study is novel as it investigates the volatility impact of crude oil and gold on interest rates and contributes to the existing literature with its findings.

8 citations

Journal ArticleDOI
TL;DR: In this article , the authors examined the volatility spillover and lead-lag relationship between the Chicago Board Options Exchange volatility index (VIX) and the major agricultural future markets before and during the Coronavirus disease 2019 (COVID-19) outbreak.
Abstract: Purpose The purpose of this paper is to examine the volatility spillover and lead-lag relationship between the Chicago Board Options Exchange volatility index (VIX) and the major agricultural future markets before and during the Coronavirus disease 2019 (COVID-19) outbreak. Design/methodology/approach The methods used were the vector autoregression-Baba, Engle, Kraft and Kroner-generalized autoregressive conditional heteroskedasticity method, the Wald test and wavelet transform method. Findings The findings indicate that prior to the COVID-19 outbreak, there was a two-way volatility spillover impact between the majority of the sample markets. In comparison, volatility transmission between the VIX index and the agricultural future market was significantly lower following the COVID-19 outbreak, the authors observed greater coherence at higher frequencies than at lower frequencies, implying that the interdependence between the two VIX indices and the agricultural future market was stronger over a longer time-frequency domain and the VIX’s signalling effect on various agricultural future prices after the COVID-19 outbreak was significantly lower. Originality/value The authors conducted the first comprehensive investigation of the VIX’s correlation with major agricultural futures, especially during COVID-19. The findings contribute to a better understanding of the risk transmission mechanism between the VIX and major agricultural commodities futures contracts. And our findings have significant implications for investors and portfolio managers, as well as for policymakers who are concerned about the price of agricultural futures.

5 citations

Journal ArticleDOI
TL;DR: In this paper, the authors investigated the interlinkage of gold markets and Vietnamese asset classes at multiple investment horizons using a hybrid wavelet-based VAR-GARCH-BEKK approach.
Abstract: This study investigates the interlinkage of gold markets and Vietnamese asset classes at multiple investment horizons using a hybrid wavelet-based VAR-GARCH-BEKK approach. The findings show that th...

4 citations

Journal ArticleDOI
TL;DR: In this paper , the dependence and the directional predictability between eight major energy price returns, using the Cross-Quantilogram (CQ) and the Partial CQ (PCQ) analysis, were analyzed.

3 citations

Journal ArticleDOI
TL;DR: In this article , the authors examined the integration of environmental, social and governance (ESG) equity indices among emerging markets, that is, Brazil, Russia, India, China and South Africa (BRICS).
Abstract: The current research examines the integration of environmental, social and governance (ESG) equity indices among emerging markets, that is, Brazil, Russia, India, China and South Africa (BRICS). Daily data of the ESG equity index from 1 January 2012 to 31 December 2021 are collected from Morgan Stanley Capital International (MSCI). The article employs Johansen’s co-integration test for long-term co-movement and Granger causality tests for causality among ESG equity indices. The study also used the BEKK model to investigate the volatility spillover among the ESG indices. Further, the study also calculated hedge ratios and portfolio weights. The results indicate that none of the ESG indices is co-integrated and short-run bi-directional causality exists across the four ESG indices. All the indices are significantly affected by their past shock and volatility. However, India’s ESG index is influenced by the past shock of South Africa and the past volatility of China. The findings suggest that the flow of information between the ESG indices of emerging countries is not developed yet to the point where they may be integrated into the BRICS countries. As a result, these sustainable equity indices must be promoted even more to become fully integrated.

3 citations

References
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Journal ArticleDOI
TL;DR: In this article, the authors analyzed the dynamic comovement of commodity futures returns within each category (energy, precious metals, industrial metals, and agriculture) from 1997 to 2013 under the effects of the financialization of commodity markets.

63 citations


"Crude Oil Volatility Transmission A..." refers background in this paper

  • ...While extant literature has focused on spot cross commodity price nexus, few researchers have studied the cross-commodity futures price behavior (Sensoy et al., 2015; Tiwari & Sahadudheen, 2015; Todorova et al., 2014)....

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Journal Article
Aynur Pala1
TL;DR: In this article, the authors investigated form of the linkage beetwen crude oil price index and food price index, using Johansen Cointegration test, and Granger Causality by VECM.
Abstract: This papers investigated form of the linkage beetwen crude oil price index and food price index, using Johansen Cointegration test, and Granger Causality by VECM. Empirical results for monthly data from 1990:01 to 2011:08 indicated that evidence for breaks after 2008:08 and 2008:11. We find a clear long-run relationship between these series for the full and sub sample. Cointegration regression coefficient is negative at the 1990:01-2008:08 time period, but adversely positive at the 2008:11-2011:08 time period. This results represent that relation between crude oil and food price chanced. Keywords: Crude oil price; food price; structural break; VECM JEL Classifications: C32; Q10; Q40

43 citations


"Crude Oil Volatility Transmission A..." refers background in this paper

  • ...…(Abbott et al., 2008; Baffes, 2007; Ciaian & Kancs, 2011; Gilbert, 2010; Harri et al., 2009; Hassouneh et al., 2012; Kristoufek et al., 2012; Pala, 2013; Reboredo, 2012; Tadesse et al., 2014; Wang et al., Thenmozhi and Maurya 135 2014), few researchers have confirmed volatility transmission…...

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Journal ArticleDOI
TL;DR: In this article, the interactions between money, interest rates, goods and commodity prices at a global level were examined in a cointegrated VAR framework, and empirical results for the period ranging from the 1970s to 2008 support the view that money is still a key factor to determine the long-run homogeneity of commodity and goods prices movements.

40 citations

DOI
01 Jan 2011
TL;DR: In this article, the authors analyzed volatility spillovers from energy to agricultural markets in the U.S. which have increased due to strong crude oil price volatility and the large growth in ethanol production in the period 2006-2011.
Abstract: This paper analyzes volatility spillovers from energy to agricultural markets in the U.S. which have increased due to strong crude oil price volatility and the large growth in ethanol production in the period 2006-2011. Results suggest that spillovers from crude oil to corn and ethanol markets are similar in magnitude over time, and are particularly significant during periods of high turbulence in the crude oil market. Volatility spillovers between corn and ethanol also exist, but primarily from the corn to ethanol market. The findings provide clear evidence of the stronger linkages between corn and ethanol that have been created during the biofuel era.

23 citations

Posted Content
01 Jan 2011
TL;DR: In this paper, the authors investigate the relationship and transmissions between implied volatilities in corn and soybean markets and find that volatility spillovers exist from the corn market to the soybean market.
Abstract: This article provides a new approach to analyze the issue of volatility spillovers In particular, we investigate relationships and transmissions between implied volatilities in corn and soybean markets – two of the most important agricultural commodity markets in the United States Using weekly average data from 2001 to 2010, we estimate a VAR model with Fourier seasonal components as exogenous variables Results from this model indicate that volatility spillovers exist from the corn market to the soybean market, but there is no volatility spillover from the soybean market to the corn market Impulse response functions from this model show that a standard positive shock in the implied volatility of corn has a positive impact on responses of the implied volatility of soybeans However, responses of the implied volatility of corn to a shock in the soybean market are not significant To examine the time invariance property of this model, we conduct three bootstrap versions of Chow tests (sample-split, break-point, and Chow forecast) All of these tests suggest significant structural break points in several time periods To improve the accuracy of our model, we develop a threshold VAR model with four regimes that depend on previous levels of volatilities Results from the threshold VAR model indicate that when both volatilities are relatively low, volatility spills over from the corn market to the soybean market, but when the implied volatility of soybeans is relatively high, volatility spillover effects reveal an opposite direction Finally, using futures prices, we estimate a BEKK-GARCH model, which is commonly used to investigate volatility spillover effects Results from the BEKK model show that volatility spillovers exist between the two markets, which is different from what we have found using implied volatilities

20 citations


"Crude Oil Volatility Transmission A..." refers background in this paper

  • ...Zhao and Goodwin (2011) find volatility spillover from corn to soybean at lower levels and from soybean to corn at higher levels of volatility and find mixed results depending on the level of volatility....

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