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

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

Research output: Contribution to journalArticle

30 Citations (Scopus)

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 languageEnglish (US)
Pages (from-to)430-436
Number of pages7
JournalEnergy
Volume81
DOIs
StatePublished - Mar 1 2015
Externally publishedYes

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Keywords

  • Agricultural commodity prices
  • Clayton copula
  • Copula
  • Dependency
  • Energy prices

ASJC Scopus subject areas

  • Energy(all)
  • Pollution

Cite this

Energy prices and agricultural commodity prices : Testing correlation using copulas method. / Koirala, Krishna H.; Mishra, Ashok; D'Antoni, Jeremy M.; Mehlhorn, Joey E.

In: Energy, Vol. 81, 01.03.2015, p. 430-436.

Research output: Contribution to journalArticle

Koirala, Krishna H. ; Mishra, Ashok ; D'Antoni, Jeremy M. ; Mehlhorn, Joey E. / Energy prices and agricultural commodity prices : Testing correlation using copulas method. In: Energy. 2015 ; Vol. 81. pp. 430-436.
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