The Relationship Between Natural Gas Price and Corn Price - Evidence From Spot Market and Future Market

• Main Authors: Yi-Chun Yeh, 葉怡君
• Other Authors: Song-Zan Chiou Wei
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/zttkq5

碩士 === 國立高雄應用科技大學 === 國際企業研究所 === 101 === As a clean and pure energy, natural gas has become a valuable product to the industries around the world. This study discusses the multiple relationships (both in a long run and a short run) of natural gas price and corn price, opposed to the fluent studies on the price of oil, and the agricultural commodity price. This paper employs a multivariate E-GARCH model to analyze the price spill-over effect between the natural gas market and corn market based on monthly price ranging from January 1997 to February 2013. Several major results stand out from the research. First, we find there is no long run equilibrium relationship between these two market prices. Second, evidence shows that there is a volatility spillover between natural gas market and corn market. Third, we demonstrate that there is an asymmetric effect between these market prices.