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

Yıl 2016, Cilt: 6 Sayı: 1, 58 - 64, 01.03.2016

Ching-Chun Wei Shu-Min Chen

Öz

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.

Anahtar Kelimeler

Crude Oil Futures Agricultural Grain Commodities Futures Granger Causality Vector Autoregression

Yıl 2016, Cilt: 6 Sayı: 1, 58 - 64, 01.03.2016

Ching-Chun Wei Shu-Min Chen

Öz

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Ayrıntılar

Diğer ID JA74PT86YN
Bölüm Araştırma Makalesi
Yazarlar

Ching-Chun Wei Bu kişi benim

Shu-Min Chen Bu kişi benim

Yayımlanma Tarihi 1 Mart 2016
Yayımlandığı Sayı Yıl 2016 Cilt: 6 Sayı: 1

Kaynak Göster

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. Mart 2016;6(1):58-64.
Chicago Wei, Ching-Chun, ve 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, sy. 1 (Mart 2016): 58-64.
EndNote Wei C-C, Chen S-M (01 Mart 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 ve S.-M. Chen, “Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US”, IJEEP, c. 6, sy. 1, ss. 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 (Mart 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 ve 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, c. 6, sy. 1, 2016, ss. 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.