文章基本信息

标题：Interrelationship and Volatility Transmission between Grain and Oil Prices
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作者：Kong, Minji ; Han, Doo Bong ; Nayga, Rodolfo M., Jr. 等
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2012
卷号：SUPPL
页码：2-13
出版社：Food Distribution Research Society
摘要：This study analyzes the interrelationship and volatility between grain and oil prices. Specifically, the objective of this study is to investigate the volatility transmission mechanism of grain prices with oil prices, under the assumption that an increase in crude oil prices not only affects corn and soybean prices but also other grain commodity prices such as wheat and rice. The results presented in this paper suggest several conclusions. First, there is a short-run relationship between the grain market and oil prices, which implies that recent co-movements of oil and grain prices are just a temporary phenomenon. Second, grain prices, except for rice, are affected by oil prices to some degree. Finally, the volatilities of oil prices influence the volatilities of corn and soybean prices, and vice versa.
关键词：Grain prices;volatility;Volatility Transmission;VAR;GARCH