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Sustainability 2019, 11(2), 396; https://doi.org/10.3390/su11020396

Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis

1
International Business School, Yunnan University of Finance and Economics, 237 Longquan Road, Kunming 650221, China
2
School of Finance, Capital University of Economics and Business, 121 Zhangjialukou, Huaxiang, Fengtai District, Beijing 100081, China
3
Guiyang Central Sub-Branch, the People’s Bank of China, 2 Baoshan North Road, Guiyang 550001, China
*
Author to whom correspondence should be addressed.
Received: 19 December 2018 / Revised: 30 December 2018 / Accepted: 30 December 2018 / Published: 14 January 2019
(This article belongs to the Section Economic, Business and Management Aspects of Sustainability)
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Abstract

This study examines the nature and dynamics of volatility spillovers between crude oil and agricultural commodity markets since the 2008–09 financial crisis. We tested for volatility spillovers with a flexible bivariate heterogeneous autoregressive model to identify the short-, mid-, and long-term spillover effects. We observed bidirectional spillovers of short-term volatilities between crude oil and agricultural commodity markets in the crisis period, compared to mid-term and long-term volatilities of corn being transmitted to the crude oil volatility in the post-crisis period. These findings suggest that crude oil and agricultural commodity markets have become less integrated after the 2008–09 crisis. View Full-Text
Keywords: volatility spillovers; realized volatility; HAR model; agricultural commodity; crude oil volatility spillovers; realized volatility; HAR model; agricultural commodity; crude oil
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Lu, Y.; Yang, L.; Liu, L. Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis. Sustainability 2019, 11, 396.

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