G2TT
来源类型FEEM working papers "Note di lavoro" series
规范类型论文
How is Volatility in Commodity Markets Linked to Oil Price Shocks?
Maryam Ahmadi; Niaz Bashiri Behmiri; Matteo Manera
发表日期2015
出处Energy: Resources and Markets
出版年2015
语种英语
摘要This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities. To achieve this goal, we decompose an oil price shock to its underlying components, including macroeconomics and oil specific shocks. The applied methodology is the structural vector autoregressive (SVAR) model and the time span is from April 1983 to December 2013. The investigation is divided into two subsamples, before and after 2006 for agricultures taking into account the 2006-2008 food crisis, and before and after 2008 for metals considering the recent global financial crisis. The validity of time divisions is confirmed by historical decomposition accomplishment. We find that, based on impulse response functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying cause of the shock for the both pre and post-crisis periods. moreover, according to variance decomposition the explanatory power of oil shocks becomes stronger after the crisis. The different responses of commodities are described in detail by investigating market characteristics in each period. *** Suggested citation: Maryam Ahmadi, Niaz Bashiri Behmiri, Matteo Manera, How is volatility in commodity markets linked to oil price shocks?, Energy Economics, Volume 59, September 2016, Pages 11-23, ISSN 0140-9883, http://dx.doi.org/10.1016/j.eneco.2016.07.006
特色分类Q02;Q14;Q41;C22
关键词Metals Commodities Volatility Oil Price
URLhttps://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/how-is-volatility-in-commodity-markets-linked-to-oil-price-shocks/
来源智库Fondazione Eni Enrico Mattei (Italy)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/118348
推荐引用方式
GB/T 7714
Maryam Ahmadi,Niaz Bashiri Behmiri,Matteo Manera. How is Volatility in Commodity Markets Linked to Oil Price Shocks?. 2015.
条目包含的文件
文件名称/大小 资源类型 版本类型 开放类型 使用许可
20151214113451Nota_d(71KB)智库出版物 限制开放CC BY-NC-SA浏览
201512141218424NDL20(2305KB)智库出版物 限制开放CC BY-NC-SA浏览
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Maryam Ahmadi]的文章
[Niaz Bashiri Behmiri]的文章
[Matteo Manera]的文章
百度学术
百度学术中相似的文章
[Maryam Ahmadi]的文章
[Niaz Bashiri Behmiri]的文章
[Matteo Manera]的文章
必应学术
必应学术中相似的文章
[Maryam Ahmadi]的文章
[Niaz Bashiri Behmiri]的文章
[Matteo Manera]的文章
相关权益政策
暂无数据
收藏/分享
文件名: 20151214113451Nota_di_Lavoro.jpg
格式: JPEG
文件名: 201512141218424NDL2015-101.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。