Asymmetric and nonlinear pass-through relationship between oil and other commodities

Manuchehr Irandoust

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Asymmetric and nonlinear pass-through relationship between oil and other commodities

机译：石油与其他商品之间的不对称和非线性传递关系

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There are very few studies on the asymmetric relationship between crude oil prices and the prices of other commodities. Using the recently developed multivariate hidden cointegration technique, the results indicate that there exists a long-run and asymmetric relationship between crude oil prices and the price of other commodities. The policy implication of our results is that crude oil as a strategic resource plays an important role in commodity markets and regardless of whether the commodity market is in a boom period or a downturn, the volatility of crude oil prices always affects other commodity prices.

机译：关于原油价格与其他商品价格之间不对称关系的研究很少。使用最新开发的多元隐藏协整技术，结果表明，原油价格与其他商品的价格之间存在长期且不对称的关系。我们结果的政策含义是，原油作为战略资源在商品市场中发挥着重要作用，无论商品市场处于繁荣时期还是低迷时期，原油价格的波动始终会影响其他商品价格。

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《OPEC energy review》 |2016年第3期|263-275|共13页
作者
Manuchehr Irandoust;
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School of Business, Engineering and Science, Halmstad University, PO Box 823, SE-30118 Halmstad, Sweden;

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Asymmetric and nonlinear pass-through relationship between oil and other commodities

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