This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and … natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and … natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and … natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and … natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …

returns for different energy and agricultural commodities, over the period 1986-2010. Second, we measure the market … vulnerability to financial speculation for energy commodities over the period 1992-2010. We find that financial speculation is … poorly significant in modelling returns in commodities futures, while macroeconomic and financial factors are relevant …

only increased in recent years for some of the commodities. Implications for potential regulatory policies of agricultural …

, the level of interdependence between exchanges has only increased in recent years for some of the commodities. …

, the level of interdependence between exchanges has only increased in recent years for some of the commodities. …

We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture … pooled mean group (PMG) estimator. Macroeconomic variables are significantly correlated with agriculture-energy and metals-energy … dynamic conditional correlations; while financial variables are relevant in the agriculture-energy correlations and poorly …