How does oil price volatility affect non-energy commodity markets?
作者： Qiang Ji , Ying Fan
DOI: 10.1016/J.APENERGY.2011.07.038
关键词: Market price 、 U.S. Dollar Index 、 Financial economics 、 Market depth 、 Factor market 、 Economics 、 Financial crisis 、 Oil-storage trade 、 Volatility (finance) 、 Contango
摘要: The influence of price volatility in the crude oil market is expanding to non-energy commodity markets. With substitution fossil fuels by biofuel and hedge strategies against inflation induced high prices, link between agriculture markets metal has increased. This study measures on before after 2008 financial crisis. By introducing US dollar index as exogenous shocks, we investigate spillover constructing a bivariate EGARCH model with time-varying correlation construction. results reveal that significant effects markets, which demonstrates its core position among overall level strengthened crisis, indicates consistency trends was enhanced affected economic recession. In addition, weakened since
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