Skip to main navigation Skip to search Skip to main content

How does oil price volatility affect non-energy commodity markets?

  • Qiang Ji
  • , Ying Fan*
  • *Corresponding author for this work
  • CAS - Institutes of Science and Development

Research output: Contribution to journal › Article › peer-review

Abstract

The influence of price volatility in the crude oil market is expanding to non-energy commodity markets. With the substitution of fossil fuels by biofuel and hedge strategies against inflation induced by high oil prices, the link between crude oil market and agriculture markets and metal markets has increased. This study measures the influence of the crude oil market on non-energy commodity markets before and after the 2008 financial crisis. By introducing the US dollar index as exogenous shocks, we investigate price and volatility spillover between commodity markets by constructing a bivariate EGARCH model with time-varying correlation construction. The results reveal that the crude oil market has significant volatility spillover effects on non-energy commodity markets, which demonstrates its core position among commodity markets. The overall level of correlation strengthened after the crisis, which indicates that the consistency of market price trends was enhanced affected by economic recession. In addition, the influence of the US dollar index on commodity markets has weakened since the crisis.

Original languageEnglish
Pages (from-to)273-280
Number of pages8
JournalApplied Energy
Volume89
Issue number1
DOIs
StatePublished - Jan 2012
Externally publishedYes

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

  1. SDG 7 - Affordable and Clean Energy
    SDG 7 Affordable and Clean Energy

Keywords

  • Crude oil market
  • Dynamic correlation
  • Non-energy commodity market
  • Volatility spillover

Fingerprint

Dive into the research topics of 'How does oil price volatility affect non-energy commodity markets?'. Together they form a unique fingerprint.

Cite this