Dynamic spillovers among major energy and cereal commodity prices

Transcription

1 Businss Shool W O R K I N G P A P E R S E R I E S Working Papr Dynami spillovrs among major nrgy and ral ommodiy pris Walid Mnsi Shawka Hammoudh Du Khuong Nguyn Song-Min Yoon hp:// IPAG Businss Shool 184, Boulvard Sain-Grmain Paris Fran IPAG working paprs ar irulad for disussion and ommns only. Thy hav no bn pr-rviwd and may no b rprodud wihou prmission of h auhors.

2 Dynami spillovrs among major nrgy and ral ommodiy pris Walid Mnsi a, Shawka Hammoudh b,*, Du Khuong Nguyn, Song-Min Yoon d,1 a Dparmn of Finan and Aouning, El Manar Univrsiy, B.P. 248, C.P. 2092, Tunis Cdx, Tunisia s: walid.mnsi@fsg.rnu.n b Lbow Collg of Businss, Drxl Univrsiy, Philadlphia, PA , Unid Sas hammousm@drxl.du IPAG Lab, IPAG Businss Shool, 184 Boulvard Sain-Grmain, Paris, Fran du.nguyn@ipag.fr d Dparmn of Eonomis, Pusan Naional Univrsiy, Busan , Rpubli of Kora smyoon@pusan.a.kr Absra. Ovr h pas dad, h sharp inrass in h pris of oil and agriulural ommodiis hav raisd srious onrns abou h highnd volailiy of hs marks and h possibl ngaiv inraions bwn hm. This aril dals wih h dynami rurn and volailiy spillovrs aross inrnaionally radd nrgy and ral ommodiy marks. I also xamins h impas of hr yps of OPEC nws announmns on h volailiy spillovrs and prsisn in hs marks. For his purpos, w mak us of h VAR-BEKK-GARCH and VAR-DCC-GARCH modls for h daily pris of igh major ommodiis inluding WTI oil, Europ Brn oil, gasolin, haing oil #2, barly, orn, sorghum, and wha. Our rsuls provid vidn of signifian linkags bwn h nrgy and ral marks. Morovr, h OPEC nws announmns ar found o xr influn on h oil marks as wll as on h oil-ral rlaionships. Finally, w show ha h prsisn of volailiy drass (inrass) for h rud oil and haing (gasolin) rurns afr aouning for h OPEC announmns in hs mulivaria GARCH modls. Howvr, h rsuls ar mor mixd for h ral marks. Ovrall, our rsuls an b usd o improv h risk-adjusd prforman by having mor divrsifid porfolios and also srv o hdg h oil risk mor ffivly. JEL lassifiaion: G14; G15. Kywords: Cral, Enrgy, OPEC mings, Volailiy spillovrs, Mulivaria GARCH. * Corrsponding auhor. b Lbow Collg of Businss, Drxl Univrsiy, 3141 Chsnu Sr, Philadlphia, PA hammousm@drxl.du. Fax: (215) Th fourh auhor (S.M. Yoon) is graful for h finanial suppor from h Naional Rsarh Foundaion of Kora in a gran fundd by h Koran Govrnmn (NRF B00044). 1

3 1. Inroduion Th growing inrs in rsarh on h pri and volailiy dynamis of nrgy and agriulural ommodiy marks has arad mor anion following h rn surgs in boh h nrgy and food pris. Morovr, h nrgy and agriulural ommodiy pris hav also xprind long swings and sharp fluuaions ovr h las dad, whih ar likly o b drivn mor by hangs in maroonomi unrainis, onomi and finanial riss, and rgulaions o omba dangrous lima warming. Rn saisis show ha inrnaional nominal pris of all major food ommodiis rahd hir highs lvls in narly 50 yars during h firs quarr of Ths unprdnd inrass in pris of ommodiis, oupld wih subsanial inrass in hir volailiy, rfl unrain marks and volail nvironmn. 2 Sumnr (2009) shows ha h prnag pri inrass for grains from 2006 hrough mid-2008 ar among h largs hangs in h agriulural ommodiy hisory. Aording o h Inrnaional Grains Counil (IGC), a dramaially inrasd rnd in ral pris is obsrvd during h priod , pariularly during h food risis. 3 Th rn spiks in agriulural ommodiy pris an b xplaind by a las hr faors. 4 Firs, h nrgy and agriulural pris hav bom inrasingly inrwind. Biofuls an b drivd from agriulural ommodiis. On h ohr hand, highr nrgy pris an mak h produion of agriulural goods mor xpnsiv by raising h oss of mhanial ulivaion, nrgy-rlad inpus lik frilizrs and psiids, and ransporaion of boh inpus and oupus. Sond, h growing and mor prosprous world populaion is dmanding no only mor food bu also mor divrsifid agriulural produs. Rapid onomi growh in many mrging and dvloping ounris has ld o inrass in onsumpion, hrby driving up food pris. Finally, h advrs ffs of h global warming of h lima hang, oghr wih h flows of spulaiv apial ino ommodiy marks, hav also bn rsponsibl for h spiks in h food and nrgy pris. For xampl, h svr drough in in Ausralia, on of h world s largs wha produrs, signifianly u down h global wha produion, hrby lading o rising wha pris. 2 FAO (2008) s rpor Soaring food pris: fas, prspivs, impas and aions rquird, Jun, Th IGC saisis india ha h wha FOB pri inrasd from US$ 107 pr on on January 3, 2000 o US$ 532 pr on on Marh 12, 2008, whil h orn pri ros from US$ 90 pr on on January 3, 2000 o US$ 241 pr on on Marh 12, 2008.On h ohr hand, h rud oil marks hav also xprind an unprdnd boom and unsabl priod following h finanial risis and h 2001 Do om bubbl burs. As an illusraion, h Ws Txas Inrmdia (WTI) rud oil spo pri losd a $20.74 pr barrl in January 2002 bu brok a rord lvl of $ pr barrl in Jun Inrnaional Food Poliy Rsarh Insiu (April 2008). Rising Food Pris: Wha Should B Don? 2

4 Th abov-mniond fas suggs ha hr ar signifian inraions bwn nrgy and agriulural ommodiy marks. No only h fluuaions in nrgy pris aff ommodiy pris, bu also h rising ommodiy pris hav various ffs on nrgy marks as h nrgy dmand and supply dpnd on agriulural produion. Wih inrasing globalizaion, h gradual libralizaion of finanial marks, h rapid dvlopmn of advand ommuniaion hnologis, and h finanializaion of ommodiis marks, h marks of diffrn goods and asss hav bom mor and mor inrlinkd. In his onx, i is larly imporan for poliy-makrs and global invsors o undrsand h rossmark rlaionships, and pariularly bwn h nrgy and ommodiy marks. Th ida hus onsiss of gaining valuabl insighs ino h ommodiy pri dvlopmn pross, h pri inraion mhanisms, h propr divrsifiaion opporuniis, h porfolio opimizaion, and h fuur rgulaion framworks. If, for xampl, h rurn and volailiy ar found o sprad from on mark o anohr, porfolio managrs and poliymakrs would hav o adjus hir aions o ssnially prvn onagion risks in h advn of mark rashs or riss. Th spifi parns of volailiy in h agriulural ommodiy marks also rndr h sudy of rurn and volailiy spillovrs mor araiv. Wrigh (2011) rpors ha agriulural ommodiy pris fll sharply during h summr of 2008, bu rovrd swifly, and hav xhibid unusually larg and susaind volailiy. This volail parn is ponially du o a numbr of faors inluding h inrasing dmand in dvloping ounris, h dpriaion of h US dollar, h supply shoks in h ky produing rgions, h irrgular lima ondiions, diffrn sok mark phass, rurring wars, highr ransaion oss, inrasd mark dph, and h dvlopmn of h bioful indusry in h Unid Sas (Gilbr and Morgan, 2010; Baffs, 2011; Kym and Sign, 2012; Rihards al., 2012; Marin al., 2013). Th objivs of his sudy ar wofold. W firs provid a omprhnsiv framwork o xamin h volailiy ransmission among h inrasingly onnd oil and ral marks. Th oil ommodiis inlud WTI, Europan Brn, gasolin and haing oil #2, whil h ral produs ompris barly, orn, sorghum and wha. W hn analyz h impas of hr yps of h OPEC nws announmns on h oil marks as wll as on h rlaionship bwn h oil and ral marks undr onsidraion in ordr o disrn if hs diffrn announmns indu asymmri mark signals for dision makrs. Svral rasons moiva his sudy. Firs, ovr h las 10 yars, h ral marks hav xprind rapid growh in liquidiy and a numbr of invsors ar qusioning h in- 3

5 rs of ral ommodiis as an ingraiv par of porfolio invsmns. Sond, h rurring larg fluuaions of ral pris hav also ausd gra onrns among rsarhrs, poliy makrs and mark pariipans. Poliymakrs in dvloping ounris ofn do no hav suffiin informaion o gaug h likly advrs ffs of highr global food pris on hir ounris and also dsign appropria poliy aions (Bnson al., 2013). Thy hrfor rquir br informaion o assss h impa of highr ral pris on h ral and finanial asps of hir onomis, and hrby approprialy dsign and implmn naional poliis and programs o smooh ou h assoiad risks. Finally, our mpirial framwork allows us o xpliily ak ino aoun h impa of h priodi OPEC announmns on h shok and volailiy ransmission bwn h nrgy and ral marks, whih is no always h as in rlad pas sudis (.g., Dmirr and Kuan, 2011; Shmidbaur and Rösh, 2012; and rfrns hrin). Empirially, w us h flxibl mulivaria GARCH (MGARCH) spifiaions, namly h VAR-BEKK-GARCH and h VAR-DCC-GARCH modls o xplor h rurn and volailiy inraions among igh major nrgy and ral ommodiis. 5 Ths modls allow on o simulanously sima h rurn and volailiy ross-ffs aross h ommodiis undr onsidraion. On h ohr word, h mulivaria GARCH approah provids furhr xplanaions of h origins, dirions and ransmission innsiy of h shoks in a las wo marks. Th BEKK modls apur h ffs on h urrn ondiional volailiy of own innovaions and laggd volailiy as wll as h ross mark shoks and h volailiy ransmission of ohr marks. Th DCC modls drop h unralisi hypohsis of iminvarian of h ondiional orrlaions ovr im. Inrsingly, h DCC modls ar ommonly usd o ra and valua a porfolio, whil h BEKK modls and ovarian modls ar mployd o foras h Valu-a-Risk (VaR) hrsholds. Th informaion rvald from hs mhods allows for an opimal ass alloaion, onsruion of global hdging poliis and h dvlopmn of various rgulaory rquirmns. Caporin and MAlr (2009) show many similariis and dissimilariis b - wn h BEKK and DCC modls. 6 In his sudy, w look a h rlvan rol of OPEC announmns as a possibl drivr of h rurns and volailiy of h ful and ral group of ommodiis. 5 Th aronym BEKK rfrs o Baba, Engl, Kraf and Kronr, whil DCC mans Dynami Condiional Corrlaions. 6 For mor dails on onvrgn and divrgn poins bwn h BEKK and DCC modls, s Caporin and MAlr (2009). 4

6 Using daily daa from 3 January 2000 o 29 January 2013, our main rsuls provid vidn of signifian volailiy ransmission among h oil and ral marks. Mor inrsingly, h OPEC nws announmns ar found o xr influn on h oil marks as wll as on h oil-ral rlaionships. Finally, w show ha h prsisn of ommodiy volailiy drass (inrass) for h rud oil and haing (gasolin) rurns. Howvr, h rsuls ar mor mixd for h ral marks afr aouning for h OPEC announmns in h mulivaria GARCH modls. Th rs of his aril is organizd as follows. Sion 2 prsns a brif rviw of h major sudis in h rlad liraur. Sion 3 inrodus h onomri mhodology. Sion 4 dsribs h daa and som prliminary analysis. Sion 5 rpors and disusss h mpirial rsuls. W provid onluding rmarks in Sion Liraur rviw Thr is now an mrging srand of h liraur ha fouss on h shok ransmission and volailiy spillovrs bwn h nrgy and agriulural ommodiy marks, using diffrn daass and various onomri mhods (.g., Chn al., 2010; Srra, 2011; Du al., 2011; Nazlioglu, 2011; Nazlioglu and Soyas, 2011; Ji and Fan, 2012; Hammoudh al., 2012; Mnsi al., 2013; Cri al., 2013; Nazlioglu al., 2013). This growing liraur has gnrally dmonsrad signifian inraions of h rurn and volailiy bwn h nrgy and agriulural ommodiy marks, bu h srngh of hs inraions ypially dpnds on h pairs of marks onsidrd. For insan, Chn al. (2010) xamin h rlaionships bwn h rud oil WTI fuurs pri and h global grain pris for orn, soyban and wha, and onlud ha h grain pri hangs ar signifianly inflund by h hangs in h pri of rud oil and ohr grains. Nazlioglu (2011) invsigas h ausal rlaionships bwn h world oil and hr agriulural ommodiy pris (orn, soybans and wha), and shows vidn of nonlinar fdbaks. Th auhor also finds vidn of a prsisn unidirional nonlinar ausaliy running from h oil pris o h orn and soybans pris. In a rlad sudy, Nazlioglu and Soyas (2011) xamin h shor - and long-run inrdpndn bwn h world oil pris, lira dollar xhang ra, and individual agriulural ommodiy pris (i.., wha, maiz, oon, soybans, and sunflowr) in Turky. Ths auhors find vidn of nuraliy for h agriulural ommodiy marks in Turky wih rsp o boh h dir 5

7 and indir ffs of h oil pri hangs. Mor prisly, hy show ha h Turkish agriulural pris do no signifianly ra o shoks affing h oil pris and h xhang ras in h shor-run. In addiion, h long-run ausaliy analysis indias ha h hangs in h oil pris and h appriaion/dpriaion of h Turkish lira ar no ransmid o h agriulural ommodiy pris in Turky. Sari al. (2012) xamin h rols of fuurs pris of rud oil, gasolin, hanol, orn, soybans and sugar in h nrgy grain nxus, whil onsidring h own- and ross-mark impas for h laggd grain rading volum and h opn inrs in h nrgy and grain marks. Thy rval ha h onvnional viw, whih sas ha h impas run from oil o gasolin o hanol o grains in h nrgy grain nxus, dos no hold wll in h long-run baus h oil pri is inflund by gasolin, soybans and soyban oil. Morovr, gasolin is prdd by only h oil pri, and hanol is no forshadowd by any of h pris. Equally imporan, hr is a wo-way fdbak in h shorrun for all marks. Th grain rading volum ff aross h oil and gasolin marks is mor pronound in h shor-run han in h long-run. Vivian and Wohar (2012) xamin whhr hr ar sruural braks in h ommodiy spo rurn volailiy. Thy firs us h iraiv umulaiv sum of squars produr o d sruural hang and hn h GARCH (1,1) o modl h volailiy dynamis during ah rgim. Thy rpor vry limid vidn of ommodiy volailiy braks during h rn finanial risis, and find ha h ommodiy volailiy prsisn rmains vry high for many ommodiy rurns vn afr sruural braks hav bn aound for. Rbordo (2012) xamins h dpndn sruur bwn h food and oil marks hrough h opula approah and find wak oil-food dpndn and no xrm mark dpndn bwn h oil and food pris. Srra (2011) uss a smi-paramri GARCH modl o xamin h volailiy ransmission bwn h rud oil, hanol and sugar pris in Brazil and finds srong volailiy links. Similarly, Du al. (2011) show vidn of volailiy spillovrs among h rud oil, orn and wha marks afr h fall of hir pris in Thy xplain h rsuls by h prsn of ighnd inrdpndn bwn h rud oil and ohr ommodiy marks, whih is indud by hanol produion. Using a bivaria EGARCH modl wih imvarying orrlaions, Ji and Fan (2012) disuss h onnion bwn h rud oil mark and h non-nrgy ommodiy marks bfor and afr h 2008 finanial risis. Whil onsidring h US dollar indx as an xognous shok, hs auhors find ha h rud oil mark has signifian volailiy spillovr ffs on non-nrgy ommodiy marks and ha h influn of h US dollar indx on ommodiy marks has waknd sin h risis. In a 6

8 mor rn sudy, Mnsi al. (2013) us h VAR-GARCH modl o invsiga h rurn links and volailiy ransmission bwn h S&P 500 and h ommodiy pri indis for nrgy, food, gold and bvrag ovr h urbuln priod Thy doumn signifian volailiy ransmission bwn h S&P 500 indx and h ommodiy marks. In pariular, hy show ha pas shoks and pas volailiy of h S&P 500 indx hav srong influn on h oil and gold marks. Similarly, Cri al. (2013) us a DCC-GARCH modl o invsiga h onnions bwn h pri rurns for 25 ommodiis ovring various ommodiy and quiy sors inluding nrgy, prious mals, agriulural, non-frrous mals, food, olaginous, xoi and livsok, and soks. Ths auhors find ha h orrlaions bwn h ommodiy and sok marks volv hrough im and ar highly volail, pariularly sin h 2008 subprim morgag risis. Nazlioglu al. (2013) xamin volailiy ransmission bwn h oil and sld agriulural ommodiy pris (wha, orn, soybans, and sugar), bu apply h nwly dvlopd ausaliy in h varian s of Hafnr and Hrwarz (2006) and h impuls rspons funions. Thir rsuls obaind from h varian ausaliy s show ha h oil mark volailiy spills ovr o h agriulural marks- wih h xpion of sugar- in h pos-risis priod (January 1, 2006 o Marh 21, 2011). Howvr, hr is no risk ransmission bwn hm in h pr-risis priod (January 1, 1986 o Dmbr 31, 2005). Gardbrok and Hrnandz (2013) us h mulivaria GARCH approah o xamin volailiy ransmission bwn h oil, hanol and orn pris in h Unid Sas. Th mpirial rsuls suppor a highr orrlaion bwn h hanol and orn marks pariularly afr 2006 whn hanol bam h sol alrnaiv oxygna for gasolin. Morovr, hy show signifian volailiy spillovrs from h orn o h hanol pris bu no h onvrs. Howvr, hy fail o find major ross-mark volailiy ffs running from h oil o h orn marks. Similarly, Wu and Shiping (2013) analyz h volailiy spillovrs in China s rud oil, orn and ful hanol marks and find bidirional spillovrs bwn h orn and ful hanol marks. Furhrmor, no signifian spillovr ffs from h orn and ful hanol marks o h rud oil mark ar obsrvd. Diffrnly, Rihards al. (2012) fous on h asymmri raions of firms o posiiv ommodiy pri shoks and ngaiv ommodiy pri shoks. Spifially, hy onsidr h rn volailiy in food ommodiy pris ovr h priod and invsiga how ommodiy pri shoks ransla ino mark powr in wo diffrn vriallysruurd food produ indusris: poaos and fluid milk. Thy find ha boh h wholsal 7

9 and rail mark powr in poaos indusry drass (inrass) during priods of rising (falling) ommodiy pris. Th pri os margins also widn in rspons o ngaiv shoks subsanially grar han hy narrow in rspons o posiiv shoks. As o fluid milk, h mark powr likwis is found o dlin during priods of rising ommodiy pris, bu dos no signifianly hang during priods of falling ommodiy pris. I is finally worh noing ha h mulivaria GARCH-basd modls hav bn usd in a numbr of sudis fousing on ommodiy marks, and hir omparaiv prforman has also bn xamind. Som sudis hav dmonsrad h suprioriy of h VAR- GARCH modl of Ling and MAlr (2003) ovr svral alrnaivs in modling rurn and volailiy ross ffs. For xampl, Hammoudh al. (2009) show ha h VAR(1)- GARCH(1,1) modl is usful and suiabl for modling h dynami volailiy and volailiy ransmission for hr major indusrial sors (Srvi, Banking and Indusrial/or Insuran) in four Gulf Coopraion Counil (GCC) ounris. Using rud oil and sok mark daa, Arouri al. (2011) provid vidn of h suprioriy of h VAR-GARCH modl ovr hr omping modls (CCC-GARCH, DCC-GARCH and BEKK-GARCH) in rms of porfolio divrsifiaion and hdging ffivnss. Chang al. (2011) also ompar h prforman of svral dynami mulivaria volailiy modls (CCC, VARMA-GARCH, DCC, BEKK and diagonal BEKK) by alulaing h opimal porfolio wighs and opimal hdg raios for h rud oil spo and fuurs marks. Ths auhors india ha h wighs of h opimal porfolio in all mulivaria volailiy modls for h Brn oil suggs holding oil fuurs in largr proporions han Brn spo. For h WTI mark, h DCC, BEKK and diagonal BEKK spifiaions suggs holding mor rud oil fuurs han spo, bu h CCC and VARMA-GARCH spifiaions suggs holding mor rud oil spo han fuurs. Ovrall, hir rsuls india ha h diagonal BEKK is found o b h bs modl for rud oil hdging ffivnss. 3. Eonomri mhodology Sin h objiv of our sudy is o xamin h rurn and volailiy spillovrs bwn h nrgy and ral marks, h MGARCH modls appar o b h mos suiabl approah. In pariular, w rly on h us of wo rlaivly flxibl volailiy modls ha xpliily inorpora h dir ransmission of shoks and volailiy aross marks. This sion bgins wih h prsnaion of h ondiional mans in h mulivaria framwork, and 8

10 hn inrodus h wo MGARCH spifiaions undr onsidraion. 3.1 VAR modl for h ondiional man spifiaion For h mpirial analysis on rurn spillovrs, w assum ha h ondiional man of rurns on h nrgy and ral marks an b dsribd by a vor auorgrssiv (VAR) modl. In h wo-variabl as, a VAR (1) modl an b s up as follows 7 r a r b r (1) 1 1 r a r b r (2) 1 1 whr r and r ar h logarihmi rurns of h nrgy and ral pri sris, rspivly. Th rsiduals, and, ar assumd o b srially unorrlad, bu h ovarian E () nds no b zro. Th offiins a and a provid h masurs of own-man spillovrs, whras h offiins nrgy and ral marks. b and 3.2 MGARCH modls for ondiional varian b masur h ross-man spillovrs bwn h W modl h dynamis of h ondiional volailiy and volailiy inrdpndn bwn h nrgy and ral marks by using wo mulivaria GARCH (1,1) spifiaions. Th firs spifiaion is h full BEKK-GARCH modl dvlopd by Engl and Kronr (1995), whih is suiabl for aouning for no only volailiy prsisn of ah mark bu also for h own- and ross-volailiy spillovr ffs bwn h marks. Th sond spifiaion is h DCC-GARCH modl proposd by Engl (2002), whih is flxibl nough for modlling larg varian-ovarian maris and xpliily aommodas h rossmark omovmns hrough im. 8 W dfin h ondiional varian-ovarian marix ( H ) of h rsiduals ( and ) as follows h h 1 ~(0,), N H H h h (3) whr is h ( 2 1) vor of rsiduals ha w obain from h VAR modl and 1 is h 7 Th appropria lag lngh of h VAR modl is drmind using h SIC informaion riria. S also Tabl 3 for mor dails. 8 Bauwns al. (2006) provid a omprhnsiv survy of h MGARCH modls. 9

11 informaion s onaining all h informaion availabl up o im ( 1). No ha diffrn spifiaions of H will lad o diffrn mulivaria GARCH modls. For insan, Engl and Kronr (1995) inrodu h BEKK rprsnaion of h mulivaria GARCH modls by spifying h posiiv dfini ovarian marix. Spifially, h bivaria BEKK-GARCH aks h following form H CC A A BH B (4) whr C is a ( 2 2 ) uppr riangular marix of onsans wih lmns ij ; A is a ( 2 2 ) marix of offiins aij ha apur h ffs of own shoks and ross-mark shok inraions; and B is a ( 2 2 ) marix of offiins bij ha apur h own volailiy prsisn and h volailiy inraions bwn marks i and j. Th simaion of h BEKK- GARCH modls is arrid ou by h quasi-maximum liklihood (QML) mhod, whr h ondiional disribuion of is assumd o follow a join Gaussian log-liklihood funion for a sampl of T obsrvaions and k 2 in bivaria modl as follows 9 1 log L k log(2) ln H H 2 T 1. (5) 1 Engl (2002) dvlops a MGARCH modl wih dynami ondiional orrlaions (DCC) whr h posiiv dfininss of H is guarand undr simpl ondiions imposd on spifi paramrs. Th mos araiv faur of h DCC-GARCH modl is ha i allows for dirly infrring h im-varying orrlaions bwn nrgy and ral marks as wll as for daling wih a rlaivly larg numbr of variabls in h sysm. In h bivaria as, h varian-ovarian marix of rsiduals is spifid as H D R D, (6) whr, D diag h h is h ( 2 2 ) diagonal marix of h ondiional sandard dviaions of h rsiduals, whih ar obaind from aking h squar roo of h ondiional varian modlld by a univaria GARCH(1,1) pross, h h. Morovr, R is a marix of im-varying ondiional orrlaions, whih is givn by 9 If h ondiional disribuion is no normal, h quasi-maximum liklihood simaion is usd o maximiz h log-liklihood funion. For h asympoi propris of h ML and QML simaor, s Janhau (1998) and Com and Librman (2003). 10

12 rsiduals u 1 1 ij 2 2 ()() R diag Q Q diag Q. (7) Th ( 2 2 ) symmri posiiv-dfini marix R i ii i, / h laggd valu aording o Eq. (8). _ ' 1 dpnds on squard sandardizd, hir unondiional varian-ovarian marix ()Q, and is own Q 1 2 Q 1u 1u 1 2Q 1, wih 1, 2 0 and (8) Thus, w an rwri h bivaria DCC-GARCH (1,1) modl as follows h h h H D R D. (9) h h h Th orrlaion offiin bwn nrgy and ral marks a im is givn by E [ ]. (10) 1 2 E 1[() ] E[() 1 ] 2 Th paramrs of h DCC-GARCH modl ar simad by using h quasimaximum liklihood (QML) mhod wih rsp o h log-liklihood funion in Eq. ( 11) and aording o a wo-sp simaion produr. In h firs sag, w fi h univaria GARCH(1,1) modl for ah of h rurn sris and obain h simas of ii h. In h sond sag, h simad paramrs of h firs sag ar usd o ompu h dynami ondiional orrlaions. 1 log L k log(2) 2log D log R R 2 T 1 (11) 1 4. Sampl daa and prliminary analysis W us daily losing spo pri daa for four oil marks inluding Europ Brn, Ws Txas Inrmdia (WTI), gasolin, and haing oil #2 as wll as for four ral marks omprising barly, orn, sorghum and wha (in FOB Gulf). Th sudy priod runs from January 3, 2000 hrough January 29, 2013, whih ovrs svral pisods of wid insabiliis and riss (.g., Gulf wars, rroris aaks, Libyan rvoluion, h food pri surg of , and h global finanial risis). Th daa for h oil pris ar xrad from h Enrgy Informaion Adminisraion (EIA), whil h daa for h ral pris om from h Inrna- 11

13 ional Grains Counil (IGC). W also onsidr h announmns of h OPEC rgarding h disions on oil produion lvl ha ar akn during is offiial mings. Th lis of offiial announmns was ompild from h prss rlass rpord by h OPEC sraria. As h OPEC announmns may hav asymmri ffs on h bhavior of oil pris, w disinguish bwn u disions, mainain disions and hik disions onrning oil produion. Surprisingly, a mainain dision may hav mor impa on pris and volailiy han h ohr wo disions baus i may signal ha OPEC s hous is in ordr and OPEC is in onrol. Ovr h sudy priod, w gahrd a oal of 56 OPEC mings. From h OPEC inrvnions, w obsrv 12 disions o u, 33 disions o mainain, and 11 disions o inras h urrn lvl of oil produion. Th OPEC disions ar h main drivr of h oil pri shifs and hos disions influn on h rud oil pri rurn volailiy is gnrally oasional and ransiory. Indd, Bina and Vo (2007) show ha h volailiy impa of h OPEC produion disions is ransiory and his impa is onfind srily wihin vn windows. Thy add ha h global oil mark is h prim movr, whil OPEC follows is rajory aordingly and onsisnly. Figur 1 displays h dynamis of h daily oil and ral pris. W an s som priods of signifian pri fluuaions and h parns of pri dvlopmn ar somwha similar for h oil yps and h rals. Th rd-shadd rgions rprsn h spaular dlin in oil pris bwn July 1, 2008 and April 1, 2009 whih ourrd nar h boom of h rn global finanial and food riss. During h sam priod, h ral pris show a onurrn drop wih h dras in h oil pris (s h shadd zon), indiaing highr orrlaions among boh ommodiis during ha im priod. For xampl, h WTI (Brn) pri rahd $US ($US ) pr barrl on July 14, 2008 and hn droppd o $US ( $US ). Howvr, for h ral pris, h wha ( orn) pri aaind $US 342 ( $277) fob Gulf and h plungd o $US 237 ( $173) in April Th spiks in h pris of oil and ral ar shown bwn January 2007 and April 2008 (s h shadd blu rgion), indiaing h impa of h food risis. Th ommon rnd bwn h oil and ral ommodiy pris jusifis h prsn of shoks and volailiy ransmission bwn boh marks, and hus warraning h us of h mulivaria approah. 12

14 Barly Corn Sorghum Wha WTI Brn Gasolin Haing oil #2 Fig. 1: Daily pri dynamis of h oil and ral marks W alula h oninuously ompoundd daily rurns by aking h diffrn in h logarihms of wo onsuiv pris. Tabl 1 provids h dsripiv saisis of h daily rurns and h rsuls of saisial ss. Panl A of Tabl1 shows ha h avrag daily rurns rang from % (for wha) o % (for haing oil). Th unondiional volailiy as masurd by h sandard dviaion rangs from 1.39 (barly) o 2.89 (gasolin). Th skwnss offiins ar ngaiv for all rurn sris, xp h gasolin and wha rurns. 13

15 Th kurosis offiins ar abov hr for all h rurn sris. Ths findings india ha h probabiliy disribuions of h oil and ral rurns ar skwd and lpokuri, whih hus rjs h normaliy ha is also onfirmd by h Jarqu-Bra saisis (JB). Th Q- saisis show ha all h rurn sris ar srially orrlad, xp for h wha rurn. Th informaion onaind in h pas rurns is hus rlvan for rurn forasing. Th Augmnd Diky-Fullr ( ADF) and h Phillips-Prron ( PP) uni roo ss as wll as h Kwiakowski-Phillips-Shmid-Shin (KPSS) saionariy s ar also prformd. Th rsuls rpord in Panl B of Tabl 1 india ha all h rurn sris ar saionary a h 1% lvl. Finally, h Engl (1982) s for ondiional hrosdasiiy shows ha h ARCH ffs ar signifianly prsn in all h rurn sris, whih larly suppors our dision o us h GARCH-basd approah o xamin h rurn and volailiy ransmission among h oil and ral marks. Tabl 1: Saisial propris of daily rurns WTI Brn Haing Gasolin Wha Corn Sorghum Barly Panl A: Basi dsripiv saisis Man Sd. dv Skwnss Kurosis JB Q(20) Panl B: Uni roo ss ADF PP KPSS Panl C: Condiional hrosdasiiy s ARCH-LM ss Nos: J-B and Q(20) rfr o h mpirial saisis of h Jarqu-Bra s for normaliy and h Ljung-Box s for auoorrlaion, rspivly. ADF, PP and KPSS ar h mpirial saisis of h Augmnd Diky and Fullr (1979), and h Phillips and Prron (1988) uni roo ss, and h Kwiakowski al. (1992) saionariy s, rspivly. +++ dnos h rjion of h null hypohss of normaliy, no auoorrlaion, uni roo, non-saionariy, and ondiional homosdasiiy a h 1% signifian lvl. Tabl 2: Unondiional orrlaions of sampl rurns. WTI Brn Haing Gasolin Wha Corn Sorghum Barly WTI Brn Haing Gasolin Wha Corn Sorghum Barly Nos: This abl rpors h Parson orrlaions. +++ dnos signifian a h1% lvl. 14

16 Tabl 3: Pairwis Grangr ausaliy ss bwn rurns of nrgy and ral marks. Null hypohsis Lags F-valu Null hypohsis Lags F-valu WTI Wha Wha WTI WTI Corn Corn WTI WTI Sorghum Sorghum WTI WTI Barly Barly WTI Brn Wha Wha Brn Brn Corn Corn Brn Brn Sorghum Sorghum Brn Brn Barly Barly Brn Haing Wha Wha Haing Haing Corn Corn Haing Haing Sorghum Sorghum Haing Haing Barly Barly Haing Gasolin Wha Wha Gasolin Gasolin Corn Corn Gasolin Gasolin Sorghum Sorghum Gasolin Gasolin Barly Barly Gasolin Nos: Th symbol mans dos no Grangr-aus. To sl h ordr of lags for Grangr ausaliy s, h Shwarz informaion ririon (SIC), also known as h Baysian informaion ririon (BIC), is usd. +++, ++ and + india a rjion of h null hypohsis a h 1%, 5% and 10% signifian lvls, rspivly. Th numbrs ar h valus for h F-saisi. Tabl 2 prsns h orrlaion marix for sampl rurns. W find signifian and posiiv orrlaions for all ass. Th highs orrlaion is obsrvd for h orn-sorghum mark pair, whil h lows orrlaion is for h barly-haing oil mark pair. Bfor sudying h volailiy spillovrs aross h oil and ral marks, w arry ou h onvnional Grangr ausaliy s o obain informaion of how hs marks ar linkd o ah ohr. Th rsuls in Tabl 3 show vidn of various ausal rlaionships. Firs, hr is a unidirional ausaliy running from h WTI mark o hr ral marks (wha, orn and barly), supporing h spillovr from h WTI oil pris o h food and animal fd pris. Th ausaliy is bidirional from h Brn mark o h wha and orn food marks, bu only unidirional from h sorghum mark o h Brn mark. Inrsingly, h Grangr ausaliy among h haing oil, gasolin and ral marks is lss pronound han bwn h rud oil and ral marks, probably baus gasolin and haing oil ar no usd in frilizrs and psiids. Howvr, w sill find a bidirional ausaliy bwn h haing oil and h wha marks, and a unidirional ausaliy running from h haing oil mark o barly mark, as wll as from h gasolin mark o h wha mark. Ovrall, hs findings, albi dpndn on h xa spifiaion of h linar Grangr ausaliy ss, suggs h prsn of subsanial ausal fdbaks bwn h oil and ral marks. Th prdominan ausaliy bwn h WTI and Brn oil marks an b xplaind by h global naur of hs marks. 15

17 5. Empirial rsuls 5.1 Rurn and volailiy spillovrs bwn rud oil and ral marks Tabl 4 shows h simas of h VAR-BEKK-GARCH modls wihou and wih h hr yps of h OPEC nws announmns for h WTI marks. Taking a los look a h man quaions whn h dummy variabls for h OPEC produion disions ar no aound for, boh h oil and ral urrn rurns (wih h xpion of h wha rurn) dpnd on hir own pas rurns ( a, a ). This finding shows som vidn of shor-rm prdiabiliy in ommodiy pri hangs hrough im. W also find a bidirional man spillovr ( b, b ) aross h WTI and wha marks. Th on-priod laggd WTI rurns influn h urrn orn rurns, and also h pas WTI rurns aff h sorghum rurns. As o h ondiional varian quaions, h urrn ondiional volailiy of h nrgy and ral marks is drmind by hir boh own pas shoks (a 11 and a 22 ) and h ondiional pas volailiy (b 11 and b 22 ). Furhrmor, a bidirional ross-mark shok ffs ( a 12, a 21 ) aross h WTI and barly marks is found, and h pas WTI volailiy ( b 12 ) affs h orn ondiional volailiy, likly du o hir onnion wih h xraion of hanol. By onras, h pas volailiy of wha and barly ( b 21 ) influns h WTI ondiional volailiy. Whn h OPEC nws announmns ar inrodud as a binary variabl, boh h u and inras produion disions aff h ondiional volailiy of h WTI rud oil marks. Th prsn of OPEC u/mainain/inras disions drass h shor-run prsisn (ARCH offiins). Thr is also only signifian unidirional spillovr from h wha o h WTI marks. For omparison purposs, w sima h VAR-DCC-GARCH modl for h WTI and ral marks and rpor h rsuls in Tabl 5. Th simas of h DCC paramrs (k 1 and k 2 ) ar saisially signifian in all ass, lading o h rjion of h assumpion of CCC (onsan ondiional orrlaions) for all nws o rurns. Th shor-run prsisn of h shoks on h DCC is h highs for wha a (0.019 whn w onsidr h dummy variabls), whil h largs long-run prsisn of shoks o h DCC is for barly. Th u disions aff signifianly all marks, whil h inras disions aff h nrgy and orn marks. Th mainain disions hav a signifian ff on boh h sorghum and barly ral marks. 16

18 Tabl 4: Esimaion rsuls of h VAR-BEKK-GARCH modl wihou and wih OPEC nws announmns (WTI) Cof. WTI - Wha WTI -Corn WTI - Sorghum WTI - Barly wihou wih OPEC wihou wih OPEC wihou wih OPEC wihou OPEC nws nws OPEC nws nws OPEC nws nws OPEC nws Panl A: Condiional man (0.036)** (0.038)** a (0.017)** (0.013)*** b (0.024)* (0.023)* u (0.825) mainain (0.396) inras (0.981) (0.024) (0.025) a (0.017) (0.019) b (0.010)** (0.010)** u (0.301) mainain (0.252) inras (0.419) Panl B: Condiional varian (0.032)*** (0.044)*** (0.028) (0.031)** (0.017)*** (0.040)* a (0.010)*** (0.022)*** a (0.008) (0.007) a (0.019) (0.022) a (0.010)*** (0.016)*** b (0.004)*** (0.007)*** b (0.002) (0.002) b (0.005)* (0.005)** b (0.002)*** (0.004)*** u (0.364)*** u (0.152) u (0.195) mainain (0.353)*** mainain (0.302) mainain (0.285) (0.036)** (0.017)** (0.022) (0.023) (0.017)** (0.011)*** (0.033)*** (0.037)* (0.020)*** (0.011)*** (0.008) (0.023) (0.013)*** (0.005)*** (0.003)** (0.007) (0.004)*** (0.037)** (0.016)** (0.022) (0.705) (0.419) (0.899) (0.028) (0.016)** (0.011)*** (0.430) (0.254) (0.473) (0.065)*** (0.054)* (0.065)*** (0.034)*** (0.010) (0.024) (0.044)*** (0.010)*** (0.003) (0.008) (0.016)*** (0.410)*** (0.205) (0.271) (0.303)*** (0.272) (0.416) (0.036)** (0.016)* (0.024)* (0.022)** (0.018)*** (0.009) (0.030)*** (0.031) (0.015)*** (0.009)*** (0.007) (0.020) (0.010)*** (0.003)*** (0.002) (0.005) (0.002)*** (0.039)** (0.018)** (0.024)* (0.751) (0.362) (0.910) (0.023) (0.021)*** (0.009)* (0.291) (0.300) (0.309) (0.046)*** (0.029)* (0.066) (0.023)*** (0.007) (0.021) (0.013)*** (0.007)*** (0.002) (0.005) (0.003)*** (0.358)*** (0.132) (0.163) (0.334)*** (0.388) (0.181)** (0.037)*** (0.016)** (0.026) (0.015)*** (0.023)*** (0.007) (0.040)*** (0.072)*** (0.027)*** (0.010)*** (0.009)* (0.030)*** (0.012)*** (0.004)*** (0.005) (0.017)*** (0.010)*** wih OPEC nws (0.039)** (0.018)** (0.028) (0.790) (0.390) (0.921) (0.021)** (0.021)*** (0.008) (0.239) (0.219) (0.347)* (0.045)*** (0.095)** (0.044)*** (0.018)*** (0.011) (0.033)*** (0.038)*** (0.005)*** (0.006) (0.021)*** (0.027)*** (0.335)*** (0.230) (0.291)* (0.305)*** (0.466) (0.191)* 17

19 inras (0.313)*** (0.308)*** (0.290)*** (0.314)*** inras (0.183) (0.217) (0.123) (0.440) inras (0.968) (0.441) (0.188) (0.245) Panl C: Diagnosi s log L HQ(20) [0.507] [0.412] [0.413] [0.457] [0.551] [0.514] [0.061]* [0.065]* HQs (20) [0.012]** [0.002]*** [0.412] [0.272] [0.822] [0.216] [0.000]*** [0.002]*** Nos: In vry pair, suprsrips and rprsn h nrgy mark and h ral mark, rspivly. HQ(20) and HQs (20) ar Hosking's mulivaria pormanau Q-saisis on h sandardizd rsiduals and h sandardizd squard rsiduals, rspivly. *, ** and *** india h rjion of h -s a h 10%, 5% and 1% signifian lvls, rspivly. Th sandard rrors (S.E.) ar rpord in h parnhss, whil h P-valus ar rpord in h braks. Tabl 5: Esimaion rsuls of h VAR-DCC-GARCH modl wihou and wih OPEC nws announmns (WTI) Cof. WTI - Wha WTI - Corn WTI - Sorghum WTI - Barly wihou wih OPEC wihou wih OPEC wihou wih OPEC wihou OPEC nws nws OPEC nws nws OPEC nws nws OPEC nws Panl A: Condiional man (0.039)** (0.039)** a (0.020)* (0.019)** b (0.024)* (0.024)* u (0.783) mainain (0.385) inras (1.087) (0.025) (0.026) a (0.020) (0.019) b (0.010)** (0.010)** u (0.270) mainain (0.238) inras (0.319) Panl B: Condiional varian (0.039)** (0.019)* (0.024) (0.028) (0.019)** (0.011)*** (0.036)** (0.017)** (0.023) (0.659) (0.441) (1.653) (0.022) (0.018)** (0.011)*** (0.444) (0.272) (0.416)* (0.036) (0.019) (0.025) (0.023)** (0.022)*** (0.009)* (0.040)* (0.018)** (0.026)* (0.744) (0.383) (0.875) (0.000)*** (0.001)*** (0.010)* (0.112) (0.228) (0.042)*** (0.038)** (0.019)** (0.025) (0.020)* (0.023)*** (0.008) wih OPEC nws (0.036)* (0.017)*** (0.025) (0.617) (0.434) (1.715) (0.013)*** (0.023)*** (0.006)** (0.046)** (0.307) (0.622) (0.044)*** (0.039)*** (0.049)*** (0.023)*** (0.041)*** (0.030)*** (0.042)*** (0.024)*** (0.005)*** (0.006)*** (0.025)*** (0.011)*** (0.004)*** (0.000)*** (0.045)*** (0.021)*** (0.012)*** (0.013)*** (0.013)*** (0.006)*** (0.011)*** (0.011)*** (0.012)*** (0.006)*** (0.007)*** (0.007)*** (0.017)*** (0.008)*** (0.009)*** (0.005)*** (0.044)*** (0.018)*** (0.017)*** (0.018)*** (0.020)*** (0.009)*** (0.016)*** (0.014)*** (0.017)*** (0.009)*** (0.008)*** (0.008)*** (0.023)*** (0.009)*** (0.007)*** (0.001)*** (0.042)*** (0.015)*** u (1.385)* (1.325)* (1.161)*** (1.284)** u

20 (0.142)*** (0.189)*** (0.008)*** (0.170)*** mainain (0.495) (0.445) (0.497) (0.465) mainain (0.164) (0.206) (0.228)** (0.228)** inras (1.690)*** (0.895)*** (0.673)*** (0.949)*** inras (0.184) (0.313) (0.002)*** (0.577) Panl C: Corrlaion (0.007)** (0.007)*** (0.004)** (0.004)*** (0.004)*** (0.004)*** (0.004)*** (0.004)*** (0.011)*** (0.012)*** (0.007)*** (0.006)*** (0.004)*** (0.006)*** (0.005)*** (0.005)*** Panl D: Diagnosi s log L HQ(20) [0.519] [0.447] HQs (20) [0.061]* [0.009]*** Nos: S nos of Tabl [0.400] [0.559] [0.461] [0.485] [0.551] [0.955] [0.501] [0.010]*** [0.031]** [0.000]*** [0.022]** [0.002]*** Figurs 2-3 illusra h im-varying ondiional orrlaions obaind from h BEKK-GARCH and DCC-GARCH modls. Thy show signifian fluuaions in h ondiional orrlaions, spially sin h U.S. subprim morgag finanial risis. 10 In pariular, whn using h BEKK-GARCH, h ondiional orrlaions bwn h oil and ral marks volv ovr im and xprind phass of drass and inrass. Th highs paks orrspond o h world food risis and h global finanial risis priods. Whn h DCC-GARCH modl is usd, h DCC simas ar posiiv for ah mark pair almos ovr im and inras in rn yars, bu h magniud of h DCC fluuaions is smallr han h dynami orrlaions from h BEKK-GARCH modl. I an also b sn ha h lvl of mark linkags has no hangd signifianly aross im whn w onsidr h OPEC nws announmns. Howvr, suh disions inras h risk and h informaion ransmission bwn h oil and ral marks. Ths rsuls lad us o onlud ha h u disions hav a fairly highr impa on h oil pri insabiliy han h mainain disions pariularly for h rvnus of h oilxporing ounris. Thy also onfirm h rsuls rahd by prvious sudis inluding, for xampl, Wirl and Kujundzi (2004), and Shmidbaur and Rösh (2012). 10 Ohr figurs ar availabl from h orrsponding auhor upon rqus. 19

21 Fig. 2: Condiional orrlaions bwn h WTI and ral marks (h VAR BEKK GARCH modl) 1.00 Corrlaion bwn WTI and Wha: VAR-BEKK-GARCH modl 1.00 Corrlaion bwn WTI and Wha: VAR-BEKK, Announmn Corrlaion bwn WTI and Maiz: VAR-BEKK-GARCH modl 1.00 Corrlaion bwn WTI and Maiz: VAR-BEKK, Announmn Corrlaion bwn WTI and Sorghum: VAR-BEKK-GARCH modl 1.00 Corrlaion bwn WTI and Sorghum: VAR-BEKK, Announmn Corrlaion bwn WTI and Barly: VAR-BEKK-GARCH modl 1.00 Corrlaion bwn WTI and Barly: VAR-BEKK, Announmn Fig. 3: DCC bwn h WTI and ral marks (h VAR DCC GARCH modl) 1.00 Corrlaion bwn WTI and Wha: VAR-DCC-GARCH modl 1.00 Corrlaion bwn WTI and Wha: VAR-DCC, Announmn

22 1.00 Corrlaion bwn WTI and Maiz: VAR-DCC-GARCH modl 1.00 Corrlaion bwn WTI and Maiz: VAR-DCC, Announmn Corrlaion bwn WTI and Sorghum: VAR-DCC-GARCH modl 1.00 Corrlaion bwn WTI and Sorghum: VAR-DCC, Announmn Corrlaion bwn WTI and Barly: VAR-DCC-GARCH modl 1.00 Corrlaion bwn WTI and Barly: VAR-DCC, Announmn Tabls 6-7 giv h simas for h VAR-BEKK-GARCH and h VAR-DCC- GARCH modls wihou and wih h OPEC nws announmns for h Brn mark, rspivly. As an b sn in Tabl 6 for h VAR-BEKK-GARCH, h prvious ral rurns (wih h xpion of wha) influn urrn ral rurns. Surprisingly, h pas Brn rurns do no influn h urrn Brn rurns. This finding indias ha h Brn mark is wakly ffiin. W also find a bidirional man spillovr aross h Brn and orn marks. Th pas Brn rurns an hus b usd o foras barly rurns. As o h volailiy spillovrs, h pas shoks and ondiional volailiy onribu o xplain h urrn ondiional volailiy in all marks. Th pas nws and ondiional volailiy of h barly mark aff h ondiional varian of h Brn mark. Th rsuls of h VAR- BEKK-GARCH modl wih h OPEC nws announmns ar mosly similar o hos wihou OPEC announmns. In h ondiional man, h u produion disions hav no signifian impas on h ral and nrgy rurns, whil h mainain disions aff h 21

23 rurns of boh sorghum and barly. Similarly, h inras disions may xplain h rurns of h barly mark. As for h WTI mark, h pas nws and ondiional volailiy aff signifianly h urrn ondiional volailiy in all ass a h 1% lvl. W also find a unidirional volailiy from h wha and h barly o h Brn marks. In onras, h pas shoks of barly xplain h ondiional volailiy of h rud oil marks. Th pas ondiional volailiy of h Brn mark also affs signifianly h sorghum mark. Whn h DCC-GARCH modl is usd (Tabl 7), dynami ondiional orrlaions ar maningful as all offiins ar saisially signifian and volailiy ransmission aross oil and nrgy marks is found o b signifian. OPEC disions ar mor pronound in h as of h inras and u disions. Our rsuls ar indd onsisn wih hos of Abboal (2008), Chn al. (2010), Du al. (2011), FAO (2008), Hanson al. (1993), Ji and Fan (2012), Mihll (2008), Nazlioglu al. (2013) and Nazlioglu and Soyas (2012), whih find srong vidn of volailiy spillovrs among rud oil and svral agriulural ommodiy marks. Invrsly, w invalida h onlusions of Campih al. (2007) and Zhang and Rd (2008). Indd, Campih al. (2007) suggs ha h agriulural ommodiy pris ar no signifianly dpndn on h oil pris unil Ovr h priod January 2000-Oobr 2007, Zhang and Rd (2008) onlud ha rud oil pris ar no h major faor bhind h soar in China s orn, soy mal, and pork pris. Tabl 6: Esimaion rsuls of VAR-BEKK-GARCH modl wihou and wih OPEC nws announmns (Brn) Brn -Wha Brn -Corn Brn - Sorghum Brn - Barly Cof. wihou OPEC nws wih OPEC nws wihou OPEC nws wih OPEC nws wihou OPEC nws wih OPEC nws wihou OPEC nws wih OPEC nws Panl A:Condiional man (0.035)* (0.041** (0.035)** (0.037)** (0.035)** (0.038)** (0.036)*** (0.038)*** a (0.019) (0.019) (0.019) (0.016) (0.018) (0.018) (0.019) (0.019) b (0.022)*** (0.024)*** (0.021)*** (0.02)*** (0.022)*** (0.023)*** (0.026) (0.026) u (0.752) (0.760) (0.749) (0.700) mainain (0.394) (0.366) (0.320) (0.358) inras (0.642) (0.598) (0.664) (0.756) (0.024) (0.026) (0.023) (0.028) (0.022)** (0.023) (0.017)*** (0.021)** a (0.017) (0.016) (0.017)* (0.017)* (0.018)*** (0.019)*** (0.023)*** (0.021)*** b (0.010) (0.011) (0.011)* (0.012)* (0.010) (0.009) (0.006)** (0.008) u (0.308) (0.365) (0.264) (0.232) mainain (0.290) (0.243) (0.270) (0.222) 22

24 inras (0.447) (0.462) (0.292) (0.359)** Panl B:Condiionalvarian (0.026)*** (0.037)*** (0.026)*** (0.038)*** (0.026)*** (0.051)*** (0.032)*** (0.038)*** (0.034) (0.033)* (0.051)* (0.058)* (0.030)* (0.025)* (0.079)*** (0.088)*** (0.021)*** (0.045) (0.026)*** (0.053)*** (0.020)*** (0.057) (0.046)*** (0.057)*** a (0.008)*** (0.021)*** (0.008)*** (0.019)*** (0.008)*** (0.025)*** (0.008)*** (0.016)*** a (0.009) (0.007) (0.009) (0.010) (0.008) (0.006) (0.008) (0.012) a (0.017) (0.018) (0.019) (0.021) (0.018) (0.018) (0.028)*** (0.028)*** a (0.010)*** (0.018)*** (0.014)*** (0.029)*** (0.010)*** (0.012)*** (0.014)*** (0.038)*** b (0.003)*** (0.005)*** (0.003)*** (0.005)*** (0.003)*** (0.008)*** (0.003)*** (0.004)*** b (0.002) (0.002) (0.003) (0.003) (0.002) (0.002)* (0.005) (0.006) b (0.004) (0.004) (0.006) (0.007) (0.004) (0.004) (0.017)*** (0.016)*** b (0.002)*** (0.004)*** (0.005)*** (0.011)*** (0.002)*** (0.002)*** (0.011)*** (0.026)*** u (0.394)** (0.364)*** (0.402)*** (0.474) u (0.167) (0.228) (0.126) (0.290) u (0.192) (0.276) (0.155) (0.310) mainain (0.286)*** (0.316)** (0.399)** (0.274)*** mainain (0.144)*** (0.283) (0.452) (0.183)*** mainain (0.805) (0.598) (0.180)*** (0.601) inras (0.314)*** (0.284)*** (0.298)*** (0.306)*** inras (0.204) (0.262) (0.124) (0.413) inras (0.960) (0.550) (0.162) (0.253) Panl C: Diagnosi s log L HQ(20) [0.511] HQs (20) [0.038]** No: S nos of Tabl [0.491] [0.037]** [0.216] [0.016]** [0.246] [0.045]** [0.454] [0.618] [0.360] [0.530] [0.026]** [0.809] [0.022]** [0.981] Tabl 7: Esimaion rsuls of VAR-DCC-GARCH modl wihou and wih OPEC nws announmns (Brn) Cof. Brn - Wha Brn - Corn Brn - Sorghum Brn - Barly wihou wih OPEC wihou wih OPEC wihou wih OPEC wihou OPEC nws nws OPEC nws nws OPEC nws nws OPEC nws Panl A: Condiional man (0.035)*** (0.036)*** a (0.019) (0.020) b (0.022)*** (0.022)*** (0.037)** (0.019) (0.022)*** (0.035)*** (0.020) (0.021)*** (0.038)* (0.019) (0.023)*** (0.036)*** (0.020) (0.022)*** (0.037)*** (0.019) (0.026) wih OPEC nws (0.036)*** (0.019) (0.026) 23