Modelling the Spillover of Oil Shocks on Crops Market: The Case of Soybean and Wheat

Shavvalpour, Saeed; Jabbarzadeh, Armin; Khanjarpanah, Hossein

Authors

¹ Assistant Professor of Economics, University of Science and Technology, Tehran, Iran

² MSc. Student of Industrial Engineering, University of Science and Technology, Tehran, Iran

Abstract

Global market of strategic agricultural commodities such as soybean and wheat, is influenced by oil price fluctuations and this issue affects on policymakers and producers decisions. In this paper, with considering the importance of oil price shocks, it is tried to realize the impact of oil market risk on the agricultural commodities market. For this aim, daily returns of global price of soybean and wheat as the most important agricultural beans and Brent oil in the period of 1 May 2007 to end of 2014 are applied in modelling. Vector Error Correction Model (VECM) and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) with VECH, BEKK and CCC methods are applied for investigating of relationships between markets. The results specify that a long run relationship is existed between the studied markets. Also, CCC method has been the best method for risk spillover modelling, which its results show that positive and significant relationship is exited between crude oil and agricultural commodities markets.

Keywords

References

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Economic Growth and Development Research

Modelling the Spillover of Oil Shocks on Crops Market: The Case of Soybean and Wheat

References

References

Volume 5, 17(3)
December 2015
Pages 45-41

Modelling the Spillover of Oil Shocks on Crops Market: The Case of Soybean and Wheat

References

References

Volume 5, 17(3)December 2015Pages 45-41

Volume 5, 17(3)
December 2015
Pages 45-41