The Co-Movement and Asymmetry between Energy and Grain Prices: Evidence from the Crude Oil and Corn Markets
This paper investigates the co-movement and asymmetric interactions between energy and grain prices, based on the evidence from the crude oil and corn markets, the most important energy and grain markets, respectively. Time series analysis indicates that there is a consistent trend between the crude...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-04-01
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| Series: | Energies |
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| Online Access: | https://www.mdpi.com/1996-1073/12/7/1373 |
| _version_ | 1811184851810779136 |
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| author | Zhan-Ming Chen Liyuan Wang Xiao-Bing Zhang Xinye Zheng |
| author_facet | Zhan-Ming Chen Liyuan Wang Xiao-Bing Zhang Xinye Zheng |
| author_sort | Zhan-Ming Chen |
| collection | DOAJ |
| description | This paper investigates the co-movement and asymmetric interactions between energy and grain prices, based on the evidence from the crude oil and corn markets, the most important energy and grain markets, respectively. Time series analysis indicates that there is a consistent trend between the crude oil price and corn price with a significant positive correlation coefficient 0.7471 during the sampling period, from January 2008 to February 2016. In addition, we find that there is a long-run equilibrium relationship between the two commodities’ prices. Moreover, while linear Granger causality tests suggest that there is a two-way Granger causality relationship between the price changes in the two markets, non-linear Granger causality tests suggest that there is only a one-way causality relationship from corn to oil price. However, both linear and non-linear Granger causality tests indicate the asymmetry of causality relationship between the two markets (the price change in corn market can more significantly Granger cause the change in crude oil market). Further analysis suggests that the contribution of the corn market to price discovery in a large commodity market is larger than that of the crude oil market. |
| first_indexed | 2024-04-11T13:19:28Z |
| format | Article |
| id | doaj.art-ae8fdff2b545478c8c7fb5d71223d9a7 |
| institution | Directory Open Access Journal |
| issn | 1996-1073 |
| language | English |
| last_indexed | 2024-04-11T13:19:28Z |
| publishDate | 2019-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Energies |
| spelling | doaj.art-ae8fdff2b545478c8c7fb5d71223d9a72022-12-22T04:22:16ZengMDPI AGEnergies1996-10732019-04-01127137310.3390/en12071373en12071373The Co-Movement and Asymmetry between Energy and Grain Prices: Evidence from the Crude Oil and Corn MarketsZhan-Ming Chen0Liyuan Wang1Xiao-Bing Zhang2Xinye Zheng3School of Applied Economics, Renmin University of China, Beijing 100872, ChinaSchool of Applied Economics, Renmin University of China, Beijing 100872, ChinaSchool of Applied Economics, Renmin University of China, Beijing 100872, ChinaSchool of Applied Economics, Renmin University of China, Beijing 100872, ChinaThis paper investigates the co-movement and asymmetric interactions between energy and grain prices, based on the evidence from the crude oil and corn markets, the most important energy and grain markets, respectively. Time series analysis indicates that there is a consistent trend between the crude oil price and corn price with a significant positive correlation coefficient 0.7471 during the sampling period, from January 2008 to February 2016. In addition, we find that there is a long-run equilibrium relationship between the two commodities’ prices. Moreover, while linear Granger causality tests suggest that there is a two-way Granger causality relationship between the price changes in the two markets, non-linear Granger causality tests suggest that there is only a one-way causality relationship from corn to oil price. However, both linear and non-linear Granger causality tests indicate the asymmetry of causality relationship between the two markets (the price change in corn market can more significantly Granger cause the change in crude oil market). Further analysis suggests that the contribution of the corn market to price discovery in a large commodity market is larger than that of the crude oil market.https://www.mdpi.com/1996-1073/12/7/1373crude oil marketcorn marketasymmetryprice discovery |
| spellingShingle | Zhan-Ming Chen Liyuan Wang Xiao-Bing Zhang Xinye Zheng The Co-Movement and Asymmetry between Energy and Grain Prices: Evidence from the Crude Oil and Corn Markets Energies crude oil market corn market asymmetry price discovery |
| title | The Co-Movement and Asymmetry between Energy and Grain Prices: Evidence from the Crude Oil and Corn Markets |
| title_full | The Co-Movement and Asymmetry between Energy and Grain Prices: Evidence from the Crude Oil and Corn Markets |
| title_fullStr | The Co-Movement and Asymmetry between Energy and Grain Prices: Evidence from the Crude Oil and Corn Markets |
| title_full_unstemmed | The Co-Movement and Asymmetry between Energy and Grain Prices: Evidence from the Crude Oil and Corn Markets |
| title_short | The Co-Movement and Asymmetry between Energy and Grain Prices: Evidence from the Crude Oil and Corn Markets |
| title_sort | co movement and asymmetry between energy and grain prices evidence from the crude oil and corn markets |
| topic | crude oil market corn market asymmetry price discovery |
| url | https://www.mdpi.com/1996-1073/12/7/1373 |
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