原油与农产品期货市场的多重分形互相关分析:来自俄乌冲突的证据

IF 2.4 Q2 AGRICULTURAL ECONOMICS & POLICY
L. E. Gaio, Daniel Henrique Dario Capitani
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引用次数: 0

摘要

目的研究俄乌冲突对农产品价格与原油价格相互关系的影响。设计/方法/方法作者使用多重分形去趋势波动互相关分析(MF-X-DFA)来探讨冲突前和冲突期间的相关行为。作者分析了原油和农产品未来价格之间的联系。数据包括2020年8月3日至2022年7月29日在芝加哥商品交易所交易的农产品(玉米、大豆和小麦)和原油(布伦特原油)的每日期货价格回报。研究结果表明,相互关联行为在冲突后发生了改变。在相互关系中观察到多重分形行为。俄乌冲突导致该序列分形强度增大。研究结果表明,小麦市场的相关性较高,存在反持久行为。研究局限/启示受限于俄乌冲突后的观察数量。原创性/价值本研究有助于研究俄乌冲突对金融市场影响的文献。由于这是最近的事件,据我们所知,我们没有发现另一项使用多重分形分析来研究农产品相互关系的研究。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Multifractal cross-correlation analysis between crude oil and agricultural futures markets: evidence from Russia–Ukraine conflict
PurposeThis study investigates the impacts of the Russia–Ukraine conflict on the cross-correlation between agricultural commodity prices and crude oil prices.Design/methodology/approachThe authors used MultiFractal Detrended Fluctuation Cross-Correlation Analysis (MF-X-DFA) to explore the correlation behavior before and during conflict. The authors analyzed the price connections between future prices for crude oil and agricultural commodities. Data consists of daily futures price returns for agricultural commodities (Corn, Soybean and Wheat) and Crude Oil (Brent) traded on the Chicago Mercantile Exchange from Aug 3, 2020, to July 29, 2022.FindingsThe results suggest that cross-correlation behavior changed after the conflict. The multifractal behavior was observed in the cross correlations. The Russia–Ukraine conflict caused an increase in the series' fractal strength. The study findings showed that the correlations involving the wheat market were higher and anti-persistent behavior was observed.Research limitations/implicationsThe study was limited by the number of observations after the Russia–Ukraine conflict.Originality/valueThis study contributes to the literature that investigates the impact of the Russia–Ukraine conflict on the financial market. As this is a recent event, as far as we know, we did not find another study that investigated cross-correlation in agricultural commodities using multifractal analysis.
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来源期刊
CiteScore
4.60
自引率
37.50%
发文量
58
期刊介绍: The Journal of Agribusiness in Developing and Emerging Economies publishes double-blind peer-reviewed research on issues relevant to agriculture and food value chain in emerging economies in Asia, Africa, Latin America and Eastern Europe. The journal welcomes original research, particularly empirical/applied, quantitative and qualitative work on topics pertaining to policies, processes, and practices in the agribusiness arena in emerging economies to inform researchers, practitioners and policy makers
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