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How does oil price volatility affect non-energy commodity markets?
文献类型：期刊论文
| 作者 | Ji, Q ; Fan, Y |
| 刊名 | APPLIED ENERGY
 |
| 出版日期 | 2012 |
| 卷号 | 89期号:1页码:8,273-280 |
| 关键词 | Crude oil market Non-energy commodity market Volatility spillover Dynamic correlation |
| ISSN号 | 0306-2619 |
| 中文摘要 | The influence of price volatility in the crude oil market is expanding to non-energy commodity markets. With the substitution of fossil fuels by biofuel and hedge strategies against inflation induced by high oil prices, the link between crude oil market and agriculture markets and metal markets has increased. This study measures the influence of the crude oil market on non-energy commodity markets before and after the 2008 financial crisis. By introducing the US dollar index as exogenous shocks, we investigate price and volatility spillover between commodity markets by constructing a bivariate EGARCH model with time-varying correlation construction. The results reveal that the crude oil market has significant volatility spillover effects on non-energy commodity markets, which demonstrates its core position among commodity markets. The overall level of correlation strengthened after the crisis, which indicates that the consistency of market price trends was enhanced affected by economic recession. In addition, the influence of the US dollar index on commodity markets has weakened since the crisis. (C) 2011 Elsevier Ltd. All rights reserved. |
| 学科主题 | Energy & Fuels; Engineering ; Chemical |
| 收录类别 | SCI |
| 语种 | 英语 |
| WOS记录号 | WOS:000296114700032 |
| 公开日期 | 2012-11-12 |
| 源URL | [http://ir.casipm.ac.cn/handle/190111/4245]  |
| 专题 | 科技战略咨询研究院_中国科学院科技政策与管理科学研究所(1985年6月-2015年12月) |
| 推荐引用方式 GB/T 7714 | Ji, Q,Fan, Y. How does oil price volatility affect non-energy commodity markets?[J]. APPLIED ENERGY,2012,89(1):8,273-280. |
| APA | Ji, Q,&Fan, Y.(2012).How does oil price volatility affect non-energy commodity markets?.APPLIED ENERGY,89(1),8,273-280. |
| MLA | Ji, Q,et al."How does oil price volatility affect non-energy commodity markets?".APPLIED ENERGY 89.1(2012):8,273-280. |
入库方式： OAI收割
来源：科技战略咨询研究院
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