Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics
研究了12种农产品期货与WTI原油的相关性动态，发现生物燃料政策和高价格水平会增强相关性，但能源市场对食品市场的传染有限。
Abstract Correlations between oil and agricultural commodities have varied over previous decades, impacted by renewable fuels policy and turbulent economic conditions. We estimate smooth transition conditional correlation models for 12 agricultural commodities and WTI crude oil. While a structural change in correlations occurred concurrently with the introduction of biofuel policy, oil and food price levels are also key influences. High correlation between biofuel feedstocks and oil is more likely to occur when food and oil price levels are high. Correlation with oil returns is strong for biofuel feedstocks, unlike with other agricultural futures, suggesting limited contagion from energy to food markets. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:522–544, 2016