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.关联论文摘要：本文的核心研究目的在于厘清长期存在一定争议的外生因素对能源与农产品大宗商品市场价格联动关系的影响效应。本研究与其他同类研究的区别在于，采用多元正态混合模型来捕捉底层状态下价格相依性的结构特征。本文从定量与结构双视角对价格相依性展开研究。通过对实证结果中的整体相依性与结构异质性进行分析，我们得出结论：全球金融危机是影响能源与农产品大宗商品市场价格联动关系的最具影响力的冲击因素。鉴于价格联动关系易受金融冲击影响，本研究结果还建议，在市场动荡时期，能源与农业市场的风险管理及投资组合分散策略应引入基于状态的分析框架。