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Energy prices and agricultural commodity prices: Testing correlation using copulas method
Koirala, Krishna H.; Mishra, Ashok K.; D'Antoni, Jeremy M. - In: Energy 81 (2015) C, pp. 430-436
The linear relationships between energy prices and prices for agricultural commodities such as corn and soybeans may have been affected, over the last several years, by policy legislations in the farm sector, the Energy Independence and Security Act of 2007, and the Renewable Fuel Standard...
Persistent link: https://www.econbiz.de/10011209450
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Structural Changes in Commodity Prices: The Role of Policies
DeGorter, Harry; Just, David; Mugera, Harriet Kasidi - Gesellschaft für Wirtschafts- und Sozialwissenschaften … - 2013
Food commodity prices have recently increased sharply and become more volatile, highlighting greater uncertainty in markets and serious implications for food security among the poor globally. High fuel prices combined with legislative policies have increased biofuel production causing high food...
Persistent link: https://www.econbiz.de/10010913320
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A High-Dimensional, Multivariate Copula Approach to Modeling Multivariate Agricultural Price Relationships and Tail Dependencies
Chi, Xuan; Goodwin, Barry K. - Agricultural and Applied Economics Association - AAEA - 2012
Persistent link: https://www.econbiz.de/10010881104
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Agricultural and oil commodities: price transmission and market integration between US and Italy
Rosa, Franco; Vasciaveo, Michela; Weaver, Robert D. - In: Bio-based and Applied Economics Journal (2014) 2
Purpose of this article it to get some evidences of market interaction between United States and Italy using the time series analysis of spot prices spanning from January 1999 to May 2012 for crude oil and three ag-commodities: wheat, corn and soybean. These crops have been selected for their...
Persistent link: https://www.econbiz.de/10010909197
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Agricultural market integration: price transmission and policy intervention
Vasciaveo, M.; Rosa, F.; Weaver, R. - Associazione Italiana di Economia Agraria e Applicata - … - 2013
The increasing co-movements between world oil and food prices in the 2000s has prompted interest in the transmission mechanism among markets. This research investigates integration and price transmission of some important agricultural commodities traded in market area that includes United States...
Persistent link: https://www.econbiz.de/10010910357
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Are stockholders rational? An experimental approach to testing the competitive storage model
Pfuderer, Simone - Agricultural Economics Society - AES - 2014
The competitive storage model has been the main workhorse of the analysis of the role of storage in commodity price formation since Gustafson proposed his model in 1958. The main approach to testing the competitive storage model has been the comparison of the characteristics of the predicted...
Persistent link: https://www.econbiz.de/10010918766
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Freight rate co-movement and risk spillovers in the product tanker shipping market : a copula analysis
Bai, Xiwen; Lam, Jasmine Siu Lee - In: Transportation research / E : an international journal 149 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012520940
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A note on discounted compound renewal sums under dependency
Woo, Jae-Kyung; Cheung, Eric C.K. - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 170-179
the resulting claim. Under a fairly general dependency structure which contains various well-known examples in the … weights’. Numerical examples are given towards the end to illustrate the impact of dependency on the discounted aggregate …
Persistent link: https://www.econbiz.de/10010662439
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Dependency without copulas or ellipticity
Shaw, William; Munir, Asad - In: The European Journal of Finance 15 (2009) 7-8, pp. 661-674
is the copula philosophy, where the dependency structure is treated entirely separately from marginals. In financial … applications one often needs to work with combinations of marginals of various distributional types, and the copula philosophy is … very attractive as it copes well with heterogeneous marginals. However, with some notable exceptions, the copula approach …
Persistent link: https://www.econbiz.de/10008603209
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The Price Shock Transmission during the 2007-2008 Commodity Bull Cycle: A Structural Vector Auto-Regression Approach to the "Chicken-or-Egg" Problem
Power, Gabriel J.; Vedenov, Dmitry V. - 2009
Commodity and energy prices have exhibited an unprecedented increase between October 2006 and July 2008, only to fall sharply during the last months of 2008. Many explanations have been offered to this phenomenon, including steadily increasing demand from China and India, large mandated...
Persistent link: https://www.econbiz.de/10009444738