| Summary: | 碩士 === 靜宜大學 === 財務金融學系 === 99 === Soybean-based biodiesel, Wheat-based ethanol and Corn-based ethanol have become a ready substitute for oil-based gasoline and diesel. Biofuels represent a significant and growing source of demand for agricultural grain commodities. The purpose of this paper is to investigate the relationships between crude oil futures and agricultural grain commodities futures for soybeans, wheat and corn. Daily data for soybeans, wheat and corn are collected from Chicago Board of Trade (CBOT) and crude oil from New York Mercantile Exchange (NYMEX). The time period covered in this study extends from January 3, 2006 to February 22, 2011.
In order to detect the relationships between crude oil and agriculture grain commodities, we apply the Granger causality, vector autoregression (VAR) model and the multivariate GARCH of the BEKK model. The causality tests suggest that there is Granger causality from oil returns to agricultural commodities returns, but not vice versa. The change in each of agriculture grain commodities is significantly influenced by the change in the crude oil and other agriculture grain commodities. The empirical results of the multivariate GARCH of the BEKK model indicate that the crude oil futures return is significantly affected only by its own past volatility, and agricultural commodities futures return is also significantly affected by crude oil futures returns. The results suggest that there is a relationship between oil returns and agriculture commodity returns.
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