| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7404682 | Energy Policy | 2013 | 9 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Energy
Energy Engineering and Power Technology
Authors
Haixia Wu, Shiping Li,