Crude Oil-Food Spot Price Nexus in the context of Financialisation.
Shipra,, Maurya,
Crude Oil-Food Spot Price Nexus in the context of Financialisation. - 95-119. 25
Financialisation of commodity futures is becoming a significant change agent in the linkage between spot prices of crude oil and food commodities. Prior research has not examined the impact of crossmarket futures prices on food-crude oil spot price nexus. This paper fills this gap by documenting the information transmission from crossmarket futures to food and crude oil spot market. Vector error correction model is used to examine the importance of futures price to predict the relationship among crude oil, wheat, maize and soybean spot prices for the sample period 2010-2013. The findings suggest that cross-market futures prices have weakened the magnitude of relationship between spot prices of food and crude oil. The findings have implications for hedgers and speculators for taking their positions in futures market, and for industries which use crude oil and staple food commodities as raw materials.
Financialization Vector error-correction models Petroleum Vector autoregression model Food industry India
Crude Oil-Food Spot Price Nexus in the context of Financialisation. - 95-119. 25
Financialisation of commodity futures is becoming a significant change agent in the linkage between spot prices of crude oil and food commodities. Prior research has not examined the impact of crossmarket futures prices on food-crude oil spot price nexus. This paper fills this gap by documenting the information transmission from crossmarket futures to food and crude oil spot market. Vector error correction model is used to examine the importance of futures price to predict the relationship among crude oil, wheat, maize and soybean spot prices for the sample period 2010-2013. The findings suggest that cross-market futures prices have weakened the magnitude of relationship between spot prices of food and crude oil. The findings have implications for hedgers and speculators for taking their positions in futures market, and for industries which use crude oil and staple food commodities as raw materials.
Financialization Vector error-correction models Petroleum Vector autoregression model Food industry India