Analyzing the Impacts of Foreign Exchange and Oil Price on Biofuel Commodity Futures
學年 108
學期 1
出版（發表）日期 2019-09-01
作品名稱 Analyzing the Impacts of Foreign Exchange and Oil Price on Biofuel Commodity Futures
作品名稱（其他語言）
著者 Shu-Mei Chiang,; Chun-Da Chen,; Chien-Ming Huang
單位
出版者
著錄名稱、卷期、頁數 Journal of International Money and Finance 96, p.37-48
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.
關鍵字 Commodity futures;U.S. dollar index;Oil price;ARJI-trend model
語言 en_US
ISSN
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版,紙本
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機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/116962 )

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