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Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US

Year 2016, Volume: 6 Issue: 1, 58 - 64, 01.03.2016

Ching-Chun Wei Shu-Min Chen

https://izlik.org/JA27WT63EP

Abstract

The purpose of this paper is to investigate the relationships between crude oil futures and agricultural grain commodities futures for soybeans, wheat and corn. Daily data for soybeans, wheat and corn are collected from Chicago Board of Trade (CBOT) and crude oil from New York Mercantile Exchange (NYMEX). The time period covered in this study extends from January 3, 2006 to February 22, 2012. In order to detect the relationships between crude oil and agriculture grain commodities futures, we apply the Vector Autoregression (VAR) model. From the VAR model, the change in each of agriculture grain commodities is significantly influenced by the change in the crude oil and other agriculture grain commodities.

Keywords

Crude Oil Futures Agricultural Grain Commodities Futures Granger Causality Vector Autoregression

Year 2016, Volume: 6 Issue: 1, 58 - 64, 01.03.2016

Ching-Chun Wei Shu-Min Chen

https://izlik.org/JA27WT63EP

Abstract

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Details

Other ID JA74PT86YN
Authors

Ching-Chun Wei This is me

Shu-Min Chen This is me

Publication Date March 1, 2016
IZ https://izlik.org/JA27WT63EP
Published in Issue Year 2016 Volume: 6 Issue: 1

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APA Wei, C.-C., & Chen, S.-M. (2016). Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US. International Journal of Energy Economics and Policy, 6(1), 58-64. https://izlik.org/JA27WT63EP
AMA 1.Wei CC, Chen SM. Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US. IJEEP. 2016;6(1):58-64. https://izlik.org/JA27WT63EP
Chicago Wei, Ching-Chun, and Shu-Min Chen. 2016. “Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US”. International Journal of Energy Economics and Policy 6 (1): 58-64. https://izlik.org/JA27WT63EP.
EndNote Wei C-C, Chen S-M (March 1, 2016) Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US. International Journal of Energy Economics and Policy 6 1 58–64.
IEEE [1]C.-C. Wei and S.-M. Chen, “Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US”, IJEEP, vol. 6, no. 1, pp. 58–64, Mar. 2016, [Online]. Available: https://izlik.org/JA27WT63EP
ISNAD Wei, Ching-Chun - Chen, Shu-Min. “Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US”. International Journal of Energy Economics and Policy 6/1 (March 1, 2016): 58-64. https://izlik.org/JA27WT63EP.
JAMA 1.Wei C-C, Chen S-M. Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US. IJEEP. 2016;6:58–64.
MLA Wei, Ching-Chun, and Shu-Min Chen. “Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US”. International Journal of Energy Economics and Policy, vol. 6, no. 1, Mar. 2016, pp. 58-64, https://izlik.org/JA27WT63EP.
Vancouver 1.Ching-Chun Wei, Shu-Min Chen. Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US. IJEEP [Internet]. 2016 Mar. 1;6(1):58-64. Available from: https://izlik.org/JA27WT63EP