Volatility Transmission and Hedging Strategy between Oil Price and Commodity Futures
| Autor: | Yu-Chi Yeh, 葉毓琪 |
|---|---|
| Rok vydání: | 2009 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 97 The significant increase in demand from developing countries and speculations has pushed up oil price sharply from 2007 to mid-2008, which, in turn, has accelerated the development of alternative energy all over the world. Grains, which can be made into bio-fuels, inevitably became the highly-demanded goods. However, when oil price started to drop during late 2008, grain price fell as well. The phenomenon of co-movement between oil price and grain price has never happened before, and, hence, has seldomly been explored by researchers. This study applies multi-variate GARCH methods to analyze the transmission relationship among several price variables. Our results find that significant transmission effects do exist between oil price and grain price. The computed correlation coefficients between the variables also reveal that the correlation has risen apparently in recent years. With respect to hedging, we find that multi-GARCH can reduce risk in most cases. In addition, DCC-GARCH model can reduce much larger percentage of risk than BEKK-GARCH model does. Furthermore, cross hedging does not show to have better performance than direct hedging does. That is, direct hedging is good enough to reduce most of the risk. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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