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Crude Oil Price Volatility Spillovers and Agricultural Commodities: A Study in Time and Frequency Domains

Author

Listed:
  • Bahram Adrangi

    (W.E. Nelson Professor of Financial Economics, University of Portland, 5000 N. Willamette Blvd., Portland, Oregon 97203, U.S.A.)

  • Arjun Chatrath

    (Schulte Professor of Finance, University of Portland, 5000 N. Willamette Blvd., Portland, Oregon 97203, U.S.A.)

  • Joseph Macri

    (Department of Economics, Macquarie University, Sydney, 2109, AUSTRALIA)

  • Kambiz Raffiee

    (College of Business, University of Nevada, Reno, 1664 North Virginia Street, Reno, Nevada 89557, U.S.A.)

Abstract

This paper investigates the daily volatility spillovers between crude oil prices and a select group of agricultural staples. Empirical findings confirm that the price series under study exhibit nonlinear dependencies which are inconsistent with chaotic pattern. The Johansen-Juselius cointegration test rules out long-run equilibrium relationships between the crude oil prices and the commodities under study. The dynamic conditional correlations (DCC) suggest that the association between agricultural commodities and the crude oil varies over time. The spectral and cross spectral analyses confirm that volatilities in crude oil prices are associated with volatilities in the agricultural products in the sample. Bivariate EGARCH model and the Granger causality tests confirm this relationship.

Suggested Citation

  • Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2017. "Crude Oil Price Volatility Spillovers and Agricultural Commodities: A Study in Time and Frequency Domains," Review of Economics & Finance, Better Advances Press, Canada, vol. 9, pages 42-56, August.
    • Handle: RePEc:bap:journl:170304
    Note: An earlier version of this paper benefited from the attendee and discussant comments at the Western Economic Association Conference in 2016. We are grateful to anonymous reviewers and this Review's editor for valuable comments. Remaining errors are ours.
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Crude oil prices; Volatility; EGARCH model; Spectral analysis; Cross spectral;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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