کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7404682 1481296 2013 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Volatility spillovers in China's crude oil, corn and fuel ethanol markets
ترجمه فارسی عنوان
در بازار نفت خام، ذرت و پتروشیمی نفت چین، تغییرات ناگهانی رخ می دهد
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی مهندسی انرژی و فناوری های برق
چکیده انگلیسی
Price volatility spillovers among China's crude oil, corn and fuel ethanol markets are analyzed based on weekly price data from September 5, 2003 to August 31, 2012, employing the univariate EGARCH model and the BEKK-MVGARCH model, respectively. The empirical results indicate a higher interaction among crude oil, corn and fuel ethanol markets after September, 2008. In the overall sample period, the results simultaneously provide strong evidence that there exist unidirectional spillover effects from the crude oil market to the corn and fuel ethanol markets, and double-directional spillovers between the corn market and the fuel ethanol market. However, the spillover effects from the corn and fuel ethanol markets to the crude oil market are not significant.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Policy - Volume 62, November 2013, Pages 878-886
نویسندگان
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