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A Volatility Analysis of Agricultural Commodity and Crude Oil Global Markets

Applied Economics and Finance

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Field Value
 
Title A Volatility Analysis of Agricultural Commodity and Crude Oil Global Markets
 
Creator Trabelsi, Jamel
Jelassi, Mohamed Mehdi
Lo, Gaye Del
 
Description The purpose of this study is to provide insights on volatility features of major agricultural commodity global markets. In order to achieve this, we estimate the volatility in the global markets of crude oil and four main agricultural commodities, namely rice, wheat, cotton and coffee over the period 1980:2014. We also investigate the nexus between the volatilities in these global markets. More precisely, we first model the volatility of agricultural commodity and crude oil markets based on the GARCH methodology. Second, we assess the risk in these global markets by the Value-at-Risk technique. Finally, we evaluate the co-movements between returns in agricultural commodity and crude oil markets by the copula methodology. Our empirical findings reveal that, unlike in the financial market, upside shocks in the agricultural market tend to increase volatility more than downside shocks do. In addition to that, risk in global agricultural commodity markets turned out to be high and little evidence in favor of interdependence between these markets is found. Moreover, the co-movement between agricultural commodity market risk and oil prices is detected for recent years only and little evidence is found for the whole sample period.
 
Publisher Redfame Publishing
 
Contributor —
 
Date 2017-01-23
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://redfame.com/journal/index.php/aef/article/view/2086
10.11114/aef.v4i2.2086
 
Source Applied Economics and Finance; Vol 4, No 2 (2017); 129-140
2332-7308
2332-7294
 
Language eng
 
Relation http://redfame.com/journal/index.php/aef/article/view/2086/2306