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Do Fine Wines Blend with Crude Oil? Seizing the Transmission of Mean and Volatility Between Two Commodity Prices*

Published online by Cambridge University Press:  28 June 2013

Elie I. Bouri
Elie I. Bouri*
Affiliation:
Faculty of Business Administration, Holy Spirit University of Kaslik, Lebanon. P.O. Box: 446 Jounieh, Lebanon. email: eliebouri@usek.edu.lb.
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Abstract

This study applies a multivariate model to examine the dynamics of mean and volatility transmission between fine wine and crude oil prices using daily observations from January 2004 to December 2011. The results suggest that the crude oil mean determines the wine market. In each series, volatility persistence is high and significant; innovations in each market seem to include figures that are valuable to risk managers seeking to predict volatility in other markets. During the financial crisis of 2008, wine and oil conditional volatilities climbed but then returned to their overall pre-crisis levels. (JEL Classifications: G11, G15, Q14, Q40)

Keywords

Conditional correlationconditional volatilitycrude oilfine wines
Type
Research Article
Information
Journal of Wine Economics , Volume 8 , Issue 1 , May 2013 , pp. 49 - 68
Copyright
Copyright © American Association of Wine Economists 2013 

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Footnotes

*

I thank the editor (Karl Storchmann) and an anonymous referee for their useful comments and suggestions.

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