Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications

Guhathakurta, Kousik; Dash, Saumya Ranjan; Maitra, Debasish

doi:10.1016/j.eneco.2019.104566

Cited by 93 publications

(39 citation statements)

References 108 publications

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“…Some studies have discussed the price relationship between oil prices and various commodities, such as agro, food or metal commodities. Kousik et al (2020) stated it is still uncertain whether oil prices have relationships with agro-commodity prices [27]. Roman et al (2020) indicated that there are long-term relationships between crude oil and meat prices.…”

Section: Literature Reviewmentioning

confidence: 99%

An Auxiliary Index for Reducing Brent Crude Investment Risk—Evaluating the Price Relationships between Brent Crude and Commodities

2021

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Examining the price relationships of Brent Crude with 78 global commodities, our study shows that the spot price of a certain commodity, New York Harbor No. 2 Heating Oil Spot Price FOB, can serve as an auxiliary forecasting index of the rise and fall of the monthly Brent Crude oil price. With an innovative view for evaluating the price relationship and prediction based on simple, practical measurement, our findings provide a helpful auxiliary index tool for investors and analysts by offering a high success rate (82.98%) and predicting the rise and fall of the monthly Brent Crude oil price three weeks in advance.

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Section: Literature Reviewmentioning

confidence: 99%

An Auxiliary Index for Reducing Brent Crude Investment Risk—Evaluating the Price Relationships between Brent Crude and Commodities

2021

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“…Recent studies such as Ji et al (2018b), Xiarchos and Burnett (2018), Guhathakurta et al, (2020), and Demirer et al (2020), has adopted the connectedness measure proposed by Diebold and Yilmaz (2009, 2012, 2014, 2016. The FEVD connectedness model has been extended to the frequency domain by Barunik and Krehlik (2018) to examine connectedness in the short-, medium-, and long-term.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Both no strong effect of oil prices on clean energy commodities was found. Guhathakurta et al (2020) 19960313 to 20180628, daily VAR + FEVD connectedness WTI oil; agricultural commodities including cocoa, coffee, rubber, soybeans, soya oil, sugar, wheat, palm oil, oats, and corn; metal commodities, including aluminum, copper, gold, silver, palladium, and platinum.…”

Section: Did + Olsmentioning

confidence: 99%

Time and Frequency Connectedness Among Oil Shocks, Electricity and Clean Energy Markets

et al. 2020

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This paper examines the time and frequency dynamics of connectedness between oil price shocks (demand and supply), and energy, electricity, carbon and clean energy markets using the methodology developed by Diebold and Yilmaz (2012) and Barunik and Krehlik (2018). The empirical findings show that there is time-varying connectedness among all variables in the sample. We find increased connectedness during the global financial crisis as well as in the shale oil revolution period. The total connectedness is more significant and higher in the short-term compared to the long-term. Net pairwise directional connectedness become more important during the shale oil revolution among oil supply, oil demand and clean energy index. The findings of the static full sample and sub-samples (GFC and SOR) provide significant evidence of the electricity futures as diversifier and safe-haven asset for oil shocks. These results can have important implications for investors and policymakers with different time horizons.

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“…Fernandez and Morley [2015] added that due to financing of agricultural markets there are observed also effects of commodity price volatility and further, the increased price volatility is translated into higher risk mitigation costs for farmers. As a consequence of the financialization of agricultural commodity markets, volatility spillovers can decrease the effectiveness of options for diversification in financial markets when agricultural and energy prices present any degree of price co-movement [Guhathakurta et al 2020]. As indicated by Franc-Dąbrowska [2019], financialization has different perspectives and can be interpreted in different ways.…”

Section: Theoretical Backgroundmentioning

confidence: 99%

Price Interdependence of Agricultural Commodities from Ukraine and World Markets

Bodnar

Galchynska

Maciejczak

2020

aspe

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The objective of the paper is to present the price interdependencies between agricultural commodity products from Ukraine (both export and non-export oriented) and other commodities whose prices are shaped on world markets, with a special focus on the role of their volatility. The research demonstrates a tight connection between the global prices of crude oil and prices of Ukrainian corn and wheat. Additionally, the volatility of world prices of agricultural commodities influenced the Ukrainian national market and had significant impact on domestic price declines. At the same time, the mechanisms for pricing non-export related agricultural commodities are formed mostly under the influence of factors from the domestic market. It is argued that a low interdependency between non-export oriented agricultural commodities and world markets stipulates the social stability of Ukraine’s population.

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Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications

Cited by 93 publications

References 108 publications

An Auxiliary Index for Reducing Brent Crude Investment Risk—Evaluating the Price Relationships between Brent Crude and Commodities

An Auxiliary Index for Reducing Brent Crude Investment Risk—Evaluating the Price Relationships between Brent Crude and Commodities

Time and Frequency Connectedness Among Oil Shocks, Electricity and Clean Energy Markets

Price Interdependence of Agricultural Commodities from Ukraine and World Markets

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