کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7347151 1476499 2018 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Time-varying efficiency in food and energy markets: Evidence and implications
ترجمه فارسی عنوان
کارایی متغیر زمان در بازارهای غذایی و انرژی: شواهد و پیامدهای
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper analyses weak-form efficiency in daily spot and futures prices in the food and energy markets, given the simultaneous volatilities characterising prices in both markets. To determine the structural breaks and efficiency changes over time, we use the time-varying rolling Hurst exponent and threshold vector error correction models. Our main findings indicate that all of the studied commodities exhibit long-term efficiency and short-term inefficiencies that can be explained by global economic conditions: the 2008 global financial crisis, financialisation of commodities markets, and fluctuations in crude oil prices. Time-varying optimal weights minimising the portfolio risk show different patterns between food and crude oil. In terms of hedging effectiveness, food futures are better than crude oil futures. Therefore, optimal portfolios risk hedging requires an adequate rebalancing between spot and futures prices depending on markets conditions and the type of commodities considered. Investigation of the semi-strong efficiency form of these markets through the consideration of intra-day prices could constitute a future extension of the present work.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 70, April 2018, Pages 97-114
نویسندگان
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