全球智库信息集成服务系统(G2TT): How is Volatility in Commodity Markets Linked to Oil Price Shocks?

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
URL	https://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