Modelling the interaction between crude oil price and other commodities price

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dc.contributor.authorIsmail, Mohd Tahir
dc.contributor.authorKamaruzzaman, Zetty Ain
dc.date.accessioned2024-07-12T20:49:59Z
dc.date.available2024-07-12T20:49:59Z
dc.date.issued2009en_US
dc.departmentFakülteler, İnsan ve Toplum Bilimleri Fakültesi, Matematik Bölümüen_US
dc.description.abstractCrude oil price issues have gained much attention worldwide lately. This is due to the shortage of crude oil production, which increases the price tremendously. The fact that an increase in crude oil price will then increase the disposal income of oil exporting countries together with the demand for some commodities have outburst the primary idea of doing this research. In this paper, we study the nonlinear interactions between crude oil price changes on ¯ve commodities namely lamb, olive oil, rubber, tea, wheat and zinc by using a two regimes multivariate Markov switching vector autoregressive (MS-VAR) model with regime shifts in both the mean and the variance. The empirical results show that all the series are not cointegrated but the MS-VAR model with two regimes manage to detect common regime shifts behaviour in all the series. The estimated MS-VAR model reveals that when the crude oil price fall the price of the ¯ve commodities also moving downward and when the crude oil price gain the price of the ¯ve commodities will increase. In addition, the MS-VAR model ¯tted the data better than the linear vector autoregressive model (VAR).en_US
dc.identifier.citationIsmail, M. T. ve Kamaruzzaman, Z. A. (2009). Modelling the interaction between crude oil price and other commodities price. Maltepe Üniversitesi. s. 278.en_US
dc.identifier.endpage279en_US
dc.identifier.isbn9.78605E+12
dc.identifier.startpage278en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12415/2265
dc.language.isoenen_US
dc.publisherMaltepe Üniversitesien_US
dc.relation.ispartofInternational Conference of Mathematical Sciencesen_US
dc.relation.publicationcategoryUluslararası Hakemli Dergide Makale - Başka Kurum Yazarıen_US
dc.rightsCC0 1.0 Universal*
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rights.urihttp://creativecommons.org/publicdomain/zero/1.0/*
dc.snmzKY07592
dc.titleModelling the interaction between crude oil price and other commodities priceen_US
dc.typeConference Object
dspace.entity.typePublication

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