Title: Spillover effects between fossil energy prices and non-energy commodity prices: further evidence from world spot markets
Authors: Nicholas Apergis; Dimitris Voliotis
Addresses: Department of Banking and Financial Management, University of Piraeus, 80 Karaoli and Dimitriou, 18534 Piraeus, Greece ' Department of Banking and Financial Management, University of Piraeus, 80 Karaoli and Dimitriou, 18534 Piraeus, Greece
Abstract: This paper examines the dynamic relationship between three fossil energy prices and 18 commodity prices in terms of their mean. The paper employs the methodology of long- and short-run causality approach as well as the methodology of the error correction model based on daily prices. The empirical findings provide strong evidence that all three fossil energy prices exert an impact on all types of commodity prices, while the opposite does not hold.
Keywords: fossil energy prices; non-energy commodity prices; error correction model; causality; spillover effects; world spot markets.
DOI: 10.1504/IJGEI.2013.065170
International Journal of Global Energy Issues, 2013 Vol.36 No.5/6, pp.293 - 311
Accepted: 18 Apr 2014
Published online: 21 Nov 2014 *