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Asymmetric and nonlinear pass‐through relationship between oil and other commodities
Author(s) -
Irandoust Manuchehr
Publication year - 2016
Publication title -
opec energy review
Language(s) - English
Resource type - Journals
eISSN - 1753-0237
pISSN - 1753-0229
DOI - 10.1111/opec.12078
Subject(s) - economics , cointegration , crude oil , boom , commodity , volatility (finance) , monetary economics , econometrics , financial economics , market economy , environmental engineering , petroleum engineering , engineering
There are very few studies on the asymmetric relationship between crude oil prices and the prices of other commodities. Using the recently developed multivariate hidden cointegration technique, the results indicate that there exists a long‐run and asymmetric relationship between crude oil prices and the price of other commodities. The policy implication of our results is that crude oil as a strategic resource plays an important role in commodity markets and regardless of whether the commodity market is in a boom period or a downturn, the volatility of crude oil prices always affects other commodity prices.