Analyzing the Impacts of Foreign Exchange and Oil Price on Biofuel Commodity Futures

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/116962

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題名:	Analyzing the Impacts of Foreign Exchange and Oil Price on Biofuel Commodity Futures
作者:	Shu-Mei Chiang,;Chun-Da Chen,;Chien-Ming Huang
關鍵詞:	Commodity futures;U.S. dollar index;Oil price;ARJI-trend model
日期:	2019-09
上傳時間:	2019-09-11 12:10:41 (UTC+8)
出版者:	ELSEVIER
摘要:	This paper employs an ARJI-trend model that combines the autoregressive jump intensity (ARJI) and component models to analyze the effects of the U.S. dollar index and oil prices on the dynamic properties of biofuel-related commodity futures. The results show that the ARJI-trend model not only provides a better fit for the data on the volatility dynamics of corn, soybean, and wheat futures, but also performs better in terms of out-of-sample forecasting. The U.S. dollar index and oil prices both generate significant impacts on the returns of the futures. Since the coexistence of permanent component, transitory component, and time-varying jumps are observed in those futures, the ARJI-trend model is beneficial for acquiring a better understanding of the differential attributes among corn, soybean, and wheat futures.
關聯:	Journal of International Money and Finance 96, p.37-48
DOI:	10.1016/j.jimonfin.2019.04.007
顯示於類別:	[財務金融學系暨研究所] 期刊論文

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