A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
24 Pages Posted: 3 Dec 2016
Date Written: December 2, 2016
This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are inflating food prices. We analyse approximately 10 years of daily spot and futures prices for corn, wheat, sugar ethanol and oil prices from Datastream for the period 19 July 2006 to 2 July 2015. The analysis, featuring EngleGranger pairwise cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which vary according to whether they are in low or high volatility regimes.
Keywords: Bio-fuels , time series, cointegration, Markov-switching, VECM, Impulse Responses, Volatility
JEL Classification: Q02, Q35, Q42, C22
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