Energy prices and agricultural commodity prices: Testing correlation using copulas method

Krishna H. Koirala; Ashok K. Mishra; Jeremy M. D'Antoni; Joey E. Mehlhorn

doi:10.1016/j.energy.2014.12.055

Energy prices and agricultural commodity prices: Testing correlation using copulas method

Krishna H. Koirala, Ashok K. Mishra, Jeremy M. D'Antoni, Joey E. Mehlhorn

Research output: Contribution to journal › Article › peer-review

95 Scopus citations

Abstract

The linear relationships between energy prices and prices for agricultural commodities such as corn and soybeans may have been affected, over the last several years, by policy legislations in the farm sector, the Energy Independence and Security Act of 2007, and the Renewable Fuel Standard Program for 2014. Using high-frequency data and newer methodology, this study investigates dependence between agricultural commodity futures prices and energy futures prices. Results reveal that agricultural commodity and energy future prices are highly correlated and exhibit positive and significant relationship. Findings from this study highlight that an increase in energy price increases the price of agricultural commodities.

Original language	English (US)
Pages (from-to)	430-436
Number of pages	7
Journal	Energy
Volume	81
DOIs	https://doi.org/10.1016/j.energy.2014.12.055
State	Published - Mar 1 2015
Externally published	Yes

Keywords

Agricultural commodity prices
Clayton copula
Copula
Dependency
Energy prices

ASJC Scopus subject areas

Civil and Structural Engineering
Building and Construction
Pollution
Mechanical Engineering
Industrial and Manufacturing Engineering
Electrical and Electronic Engineering

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10.1016/j.energy.2014.12.055

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title = "Energy prices and agricultural commodity prices: Testing correlation using copulas method",

abstract = "The linear relationships between energy prices and prices for agricultural commodities such as corn and soybeans may have been affected, over the last several years, by policy legislations in the farm sector, the Energy Independence and Security Act of 2007, and the Renewable Fuel Standard Program for 2014. Using high-frequency data and newer methodology, this study investigates dependence between agricultural commodity futures prices and energy futures prices. Results reveal that agricultural commodity and energy future prices are highly correlated and exhibit positive and significant relationship. Findings from this study highlight that an increase in energy price increases the price of agricultural commodities.",

keywords = "Agricultural commodity prices, Clayton copula, Copula, Dependency, Energy prices",

author = "Koirala, {Krishna H.} and Mishra, {Ashok K.} and D'Antoni, {Jeremy M.} and Mehlhorn, {Joey E.}",

year = "2015",

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doi = "10.1016/j.energy.2014.12.055",

language = "English (US)",

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T2 - Testing correlation using copulas method

AU - Koirala, Krishna H.

AU - Mishra, Ashok K.

AU - D'Antoni, Jeremy M.

AU - Mehlhorn, Joey E.

PY - 2015/3/1

Y1 - 2015/3/1

N2 - The linear relationships between energy prices and prices for agricultural commodities such as corn and soybeans may have been affected, over the last several years, by policy legislations in the farm sector, the Energy Independence and Security Act of 2007, and the Renewable Fuel Standard Program for 2014. Using high-frequency data and newer methodology, this study investigates dependence between agricultural commodity futures prices and energy futures prices. Results reveal that agricultural commodity and energy future prices are highly correlated and exhibit positive and significant relationship. Findings from this study highlight that an increase in energy price increases the price of agricultural commodities.

AB - The linear relationships between energy prices and prices for agricultural commodities such as corn and soybeans may have been affected, over the last several years, by policy legislations in the farm sector, the Energy Independence and Security Act of 2007, and the Renewable Fuel Standard Program for 2014. Using high-frequency data and newer methodology, this study investigates dependence between agricultural commodity futures prices and energy futures prices. Results reveal that agricultural commodity and energy future prices are highly correlated and exhibit positive and significant relationship. Findings from this study highlight that an increase in energy price increases the price of agricultural commodities.

KW - Agricultural commodity prices

KW - Clayton copula

KW - Copula

KW - Dependency

KW - Energy prices

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JO - Energy

JF - Energy

ER -

Energy prices and agricultural commodity prices: Testing correlation using copulas method

Abstract

Keywords

ASJC Scopus subject areas

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