The impacts of global oil-related shocks on agricultural commodity returns using the VAR model: Evidence from China
This study uses the VAR model to investigate the impacts of the oil price shock and oil price volatility shock on the Chinese agricultural commodity returns,including corn,soybean,bean pulp,cotton and natural rubber.Particularly,we employ the CBOE crude oil volatility index (OVX) and realized volatility of oil spot prices to proxy the oil price volatility shock respectively.The empirical results show that the oil price shock has positive impacts on the returns of all agricultural commodities we have chosen,while the oil price volatility shock negatively the returns of bean pulp,soybean and natural rubber.Moreover,the impacts of oil volatility shock measured by the OVX play a much more significant role than those of the realized volatility.This finding implies that OVX contain significant information of oil market and is a better measure of oil price volatility.
Oil price shocks Oil volatility shocks OVX VAR Chinese agricultural commodity returns
Jin Xuejun Zhu Fangfei
College of Economics, Zhejiang University, Hangzhou, 310027
国内会议
长春
英文
338-345
2017-07-08（万方平台首次上网日期，不代表论文的发表时间）