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Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets
16 references·8 citing·45 second hop
Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets (2012)Inside the Black Box: the Price Linkage a…Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Speculation and volatility sp…World oil prices and agricultural commodity prices: Evidence from an emerging market (2010)World oil prices and agricult…Stocks, bonds, money markets and exchange rates: measuring international financial transmission (2010)Stocks, bonds, money markets …Nonlinearities in the U.S. corn-ethanol-oil-gasoline price system (2010)Nonlinearities in the U.S. co…Interdependencies in the energy–bioenergy–food price systems: A cointegration analysis (2010)Interdependencies in the ener…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…Explaining Fluctuations in Gasoline Prices: A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market (2010)Explaining Fluctuations in Ga…The Relationship between Oil, Exchange Rates, and Commodity Prices (2009)The Relationship between Oil,…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Bayesian Estimation and Selection of Nonlinear Vector Error Correction Models: The Case of the Sugar‐Ethanol‐Oil Nexus in Brazil (2008)Bayesian Estimation and Selec…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Unit Roots, Cointegration, and Structural Change (1999)Unit Roots, Cointegration, an…Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes? (1997)Do Gasoline Prices Respond As…SECTORAL EFFECTS OF A WORLD OIL PRICE SHOCK: ECONOMYWIDE LINKAGES TO THE AGRICULTURAL SECTOR (1991)SECTORAL EFFECTS OF A WORLD O…Effects of Exchange Rate Changes on U.S. Agriculture: A Dynamic Analysis (1981)Effects of Exchange Rate Chan…The U.S.–China Trade War and the Volatility Linkages between Energy and Agricultural Commodities (2022)The U.S.–China Trade War and …Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era (2021)Dynamic return and volatility…Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model (2020)Commodity and transportation …Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops (2019)Correlation dynamics of crude…Return and volatility co-movement in commodity futures markets: the effects of liquidity risk (2018)Return and volatility co-move…Interdependence between crude oil and world food prices: A detrended cross correlation analysis (2017)Interdependence between crude…Impact of mergers and acquisitions on stock prices: The U.S. ethanol-based biofuel industry (2013)Impact of mergers and acquisi…Disentangling Corn Price Volatility: The Role of Global Demand, Speculation, and Energy (2012)Disentangling Corn Price Vola…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)How does oil price volatility affect non-energy commodity markets? (2011)World oil and agricultural commodity prices: Evidence from nonlinear causality (2011)Oil and food prices in Malaysia: a nonlinear ARDL analysis (2015)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Dynamic spillovers among major energy and cereal commodity prices (2014)Oil price shocks and agricultural commodity prices (2014)Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China (2020)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The Theory of Industrial Organization (1988)Energy prices and aggregate economic activity: an interpretative survey (2002)Asymmetric Price Transmission: A Survey (2004)Oil Price Shocks and the Macroeconomy: What Has Been Learned Since 1996 (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Volatility spillover between oil and agricultural commodity markets (2012)Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)On the links between stock and commodity markets' volatility (2013)Macroeconomics and Reality (1980)Financial Cycles: What? How? When? (2011)Volatility spillovers across global asset classes: Evidence from time and frequency domains (2018)Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2022)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)International Technology Diffusion (2004)Energy consumption, income, and carbon emissions in the United States (2006)Financialization, crisis and commodity correlation dynamics (2012)A Model of Financialization of Commodities (2016)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1999Unit Roots, Cointegration, and Structural Change1,842 cited
  • 1997Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?1,029 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 2011Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis550 cited
  • 2010Stocks, bonds, money markets and exchange rates: measuring international financial transmission370 cited
  • 2010World oil prices and agricultural commodity prices: Evidence from an emerging market333 cited
  • 2009The Relationship between Oil, Exchange Rates, and Commodity Prices268 cited
  • 2010Nonlinearities in the U.S. corn-ethanol-oil-gasoline price system220 cited
  • 2010Interdependencies in the energy–bioenergy–food price systems: A cointegration analysis195 cited
  • 2008Bayesian Estimation and Selection of Nonlinear Vector Error Correction Models: The Case of the Sugar‐Ethanol‐Oil Nexus in Brazil183 cited
  • 2010Explaining Fluctuations in Gasoline Prices: A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market

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166 cited
  • 1981Effects of Exchange Rate Changes on U.S. Agriculture: A Dynamic Analysis154 cited
  • 1991SECTORAL EFFECTS OF A WORLD OIL PRICE SHOCK: ECONOMYWIDE LINKAGES TO THE AGRICULTURAL SECTOR123 cited
  • Cited by

    • 2012Disentangling Corn Price Volatility: The Role of Global Demand, Speculation, and Energy91 cited
    • 2021Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era90 cited
    • 2017Interdependence between crude oil and world food prices: A detrended cross correlation analysis87 cited
    • 2020Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model78 cited
    • 2019Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops77 cited
    • 2022The U.S.–China Trade War and the Volatility Linkages between Energy and Agricultural Commodities77 cited
    • 2018Return and volatility co-movement in commodity futures markets: the effects of liquidity risk34 cited
    • 2013Impact of mergers and acquisitions on stock prices: The U.S. ethanol-based biofuel industry21 cited