Crude Oil Volatility Transmission Across Food Commodity Markets: A Multivariate BEKK-GARCH Approach

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2020-08-01 DOI:10.1177/0972652720927623

M. Thenmozhi, Shipra Maurya

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引用次数: 8

Abstract

This study examines the time-varying price risk transmission in the nexus between crude oil and agricultural commodity prices in the context of non-grain-based biofuel producing country. Analysis of the short- and long-run dynamics of volatility in both spot and futures markets of maize, soybean and wheat and crude oil prices using the multivariate BEKK-GARCH model, indicate volatility spillover from wheat futures to crude oil futures in the short run and from crude oil futures to futures markets of maize, soybean and wheat in the long run. The spot market linkage of selected commodities is weaker compared to futures market, wherein maize spot volatility transmits to crude oil spot market in the longer period and no spillover between crude oil-food spot market is observed in the short run. The hedge ratios indicate that a dynamic hedging strategy is crucial for efficient risk management and the portfolio weights in futures market are more than the spot market. The results reveal that cross-market volatility spillover is more evident in the futures market, while own past conditional volatility is more significant in spot price discovery and risk transmission is evident among food commodities futures markets. JEL Codes: G13, G14, Q11, Q18, Q02

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原油波动率在食品商品市场的传导:多元BEKK-GARCH方法

本研究考察了在非粮食生物燃料生产国背景下原油与农产品价格关系中的时变价格风险传导。利用多元BEKK-GARCH模型对玉米、大豆、小麦现货和期货市场的波动与原油价格的短期和长期动态分析表明，波动在短期内由小麦期货向原油期货溢出，在长期内由原油期货向玉米、大豆、小麦期货市场溢出。与期货市场相比，所选商品的现货市场关联性较弱，玉米现货波动在较长时间内向原油现货市场传导，短期内原油-食品现货市场之间没有溢出效应。对冲比率表明动态对冲策略对有效的风险管理至关重要，期货市场的投资组合权重大于现货市场。结果表明，期货市场的跨市场波动溢出更为明显，而自身过去条件波动在现货价格发现中更为显著，食品商品期货市场的风险传导更为明显。JEL代码:G13、G14、Q11、Q18、Q02

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.