What impacts the structural breaks in volatility transmission from crude oil to agricultural commodities?
- Autores: Dilip Kumar
- Localización: Journal of economic research, ISSN 1226-4261, Vol. 24, Nº 1, 2019, págs. 91-127
- Idioma: inglés
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Resumen
The paper examines the evolution of volatility transmission from the crude oil market to agricultural commodities during the period from 1983 to 2015 based on the unbiased version of Rogers and Satchell (1991) volatility estimator, hereafter referred as the AddRS estimator.
Our findings indicate that the dynamics of volatility transmission from crude oil to the given agricultural commodity is structurally unstable and exhibits structural breaks. We find that the structural breaks in volatility series play a tiny role in explaining the structural breaks in the measured volatility transmission from crude oil to the given agricultural commodities. However, we find that the conditional heteroskedasticity plays a significant role in explaining the structural breaks in measured volatility transmission from crude oil to agricultural commodity. The economic significance analysis indicates that the information from the crude oil market can be used to earn substantial economic gain in returns by investing in agricultural commodities.
