Data for: Volatility linkages between energy and agricultural commodity prices

Abstract of associated article: We investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact for investment and hedging strategies of market participants as well as for policy makers. Volatilities and their short and long run linkages are analyzed using an asymmetric dynamic conditional correlation GARCH model as well as a multivariate multiplicative volatility model. Our approach provides a flexible and accurate fitting procedure for volatility and correlation risk. We find that in the long run prices move together and preserve an equilibrium, while correlations are mostly positive with persistent market shocks. Our results reveal that concerns about biodiesel being the cause of high and volatile agricultural commodity prices are rather unjustified.

相关研究论文摘要：本研究聚焦德国能源与农产品价格间的联动关系所引发的价格与波动风险，并探析二者随时间演变的动态特征。本文提出一种计量经济学方法，用以量化波动与联动风险的结构特征——该结构对市场参与者的投资与套期保值策略，以及政策制定者的决策均具有显著影响。本研究采用非对称动态条件相关GARCH模型（Asymmetric Dynamic Conditional Correlation GARCH）与多元乘积波动模型（Multivariate Multiplicative Volatility Model），对波动率及其长短期联动关系展开分析。所提方法可为波动与联动风险的建模提供灵活且精准的拟合方案。研究结果表明：长期来看，能源与农产品价格将趋同并维持均衡状态，而在持续性市场冲击下，价格联动性大多为正向。本研究结果显示，将农产品价格高企且波动剧烈归咎于生物柴油的观点，实则缺乏充分依据。