Title of article :
Volatility spillovers in China’s crude oil, corn and fuel ethanol markets
Author/Authors :
Wu Haixia، نويسنده , , Li Shiping، نويسنده ,
Issue Information :
ماهنامه با شماره پیاپی سال 2013
Pages :
9
From page :
878
To page :
886
Abstract :
Price volatility spillovers among China’s crude oil, corn and fuel ethanol markets are analyzed based on weekly price data from September 5, 2003 to August 31, 2012, employing the univariate EGARCH model and the BEKK-MVGARCH model, respectively. The empirical results indicate a higher interaction among crude oil, corn and fuel ethanol markets after September, 2008. In the overall sample period, the results simultaneously provide strong evidence that there exist unidirectional spillover effects from the crude oil market to the corn and fuel ethanol markets, and double-directional spillovers between the corn market and the fuel ethanol market. However, the spillover effects from the corn and fuel ethanol markets to the crude oil market are not significant.
Keywords :
Fuel ethanol , Volatility spillovers , BEKK-GARCH model
Journal title :
Energy Policy
Serial Year :
2013
Journal title :
Energy Policy
Record number :
974671
Link To Document :
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