국제상품시장의 가격 동조화와 변동성 전이효과

• 영문명: On the Price Comovement and Volatility Spillover in the International Commodity Markets
• 발행기관: 한국농업경제학회
• 저자명: 김진호(Jinho Kim) 서병선(Byeongseon Seo)
• 간행물 정보: 『농업경제연구』52권 2호, 1~26쪽, 전체 26쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2011.06.30

영문 초록

Recent observation of the international commodity markets reveals frequent and pronounced volatility and comovement behavior of commodity prices. This paper provides an empirical assessment of the comovement behavior using the factor analysis and the cointegration tests. The empirical analysis evidences common factors and common stochastic trends, which are associated with price comovement. Also, common persistence and volatility transmission in the commodity markets are analyzed using the multivariate GARCH model. The volatility spillover from the grain market to the energy and metal markets indicates that the role of the grain market becomes important in the international commodity markets.

목차

Ⅰ. 서 론

Ⅱ. 분석 모형

Ⅲ. 분석 자료와 기초 분석

Ⅵ. 분석 결과

Ⅴ. 결 론

키워드

commodity markets comovement volatility spillover