Inderscience Publishers

Spillover effects between fossil energy prices and non-energy commodity prices: further evidence from world spot markets

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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, commodity prices, error correction model, causality

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