Data for: Exogenous impacts on the links between energy and agricultural commodity markets

Abstract of associated article: The main purpose of this paper is to identify the effects of exogenous factors, which have been somewhat controversial, on the price links between the energy and agricultural commodity markets. Our study differs from other studies by employing multivariate normal mixture models to capture the structural properties of the price dependencies in the underlying states. This paper investigates price dependencies from both quantitative and structural perspectives. By analyzing the overall dependencies and structural heterogeneity in the empirical results, we conclude that the global financial crisis is the most influential shock on the price links between energy and agricultural commodities. Because price links are vulnerable to financial shocks, our results also suggest introducing state-based analysis to risk management and portfolio diversification across the energy and agriculture markets during times of turmoil.

本文主要旨在探讨外生因素对能源与农产品市场价格关联的影响，该影响曾引发一定争议。本研究在方法论上与其他研究有所区别，通过运用多元正态混合模型来捕捉基础状态中价格依赖的结构特性。文章从数量和结构两个视角对价格依赖性进行了深入研究。通过对实证结果中的整体依赖性和结构异质性的分析，我们得出结论：全球金融危机对能源与农产品市场价格关联的影响最为显著。鉴于价格关联易受金融冲击，我们的研究亦建议在动荡时期，应将基于状态的分析方法引入能源与农产品市场的风险管理及投资组合多元化。