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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

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

Abstract

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Details

Other ID JA74PT86YN
Journal Section Research Article
Authors

Ching-Chun Wei This is me

Shu-Min Chen This is me

Publication Date March 1, 2016
Published in Issue Year 2016 Volume: 6 Issue: 1

Cite

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.
AMA Wei CC, Chen SM. Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US. IJEEP. March 2016;6(1):58-64.
Chicago 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 6, no. 1 (March 2016): 58-64.
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 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, 2016.
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 2016), 58-64.
JAMA 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, 2016, pp. 58-64.
Vancouver 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(1):58-64.