Quantile Dependence between Crude Oil and China’s Biofuel Feedstock Commodity Market
نویسندگان
چکیده
This paper investigates the heterogeneous dependence between global crude oil futures and China’s biofuel feedstock commodities under different market conditions. Quantile-on-quantile regression causality-in-quantiles test are employed to capture comprehensive informative relationships. The empirical results as follows: First, there is a positive relationship returns on oil. effects heterogeneous, conditional regimes, where impacts of bearish/bullish commodity significant when in China state. Second, have reliable predictive power for average condition move connection with volatility biofuel-related normal bullish Third, risk reduction effectiveness soybean corn significant, while wheat, this portfolio less apparent enhanced, increases significantly during financial crises. Overall, our findings will be helpful understanding interplay evaluating diversification opportunities
منابع مشابه
Cross-correlations between crude oil and agricultural commodity markets
In this paper, we investigate cross-correlations between crude oil and agricultural commodity markets. Based on a popular statistical test proposed by Podobnik et al. (2009), we find that the linear return cross-correlations are significant at larger lag lengths and the volatility cross-correlations are highly significant at all of the lag lengths under consideration. Using a detrended cross-co...
متن کاملA Copula-based Quantile Model for Crude oil Return-Volatility Dependence Modelling: Case of Iran Heavy Oil
The main purpose of this study is to investigate the relationship between Iran’s heavy crude oil price returns and volatility dependence using the Copula-based quantile model (CQM). CQM is an efficient tool for analyzing nonlinear time series models as it has no need for initial assumptions. We use monthly data from January 1990 to December 2019. We use the Hadrick-Prescott filter to calculate...
متن کاملModelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns
Article history: Received 31 August 2012 Received in revised form 22 April 2013 Accepted 19 May 2013 Available online 25 May 2013 This paper investigates the dynamic dependence between crude oil prices and stock markets in ten countries across the Asia-Pacific region during the period from January 4, 2000 to March 30, 2012 by using unconditional and conditional copula models. The model is imple...
متن کاملBiofuel and Food-Commodity Prices
The paper summarizes key findings of alternative lines of research on the relationship between food and fuel markets, and identifies gaps between two bodies of literature: one that investigates the relationship between food and fuel prices, and another that investigates the impact of the introduction of biofuels on commodity-food prices. The former body of literature suggests that biofuel price...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Sustainability
سال: 2023
ISSN: ['2071-1050']
DOI: https://doi.org/10.3390/su15118980