Preliminary evidence on relationships between agricultural commodity futures prices, spot prices and oil prices using reverse regressions

The focus of this research is on hypothesized relationships between agricultnral commodities futures prices, respective spot prices and spot prices for oil. The research uses reverse regressions to test for empirical relationships between variables. This paper analyses the possible relationships taking into account intertemporal effects, temporal aggregation (daily and weekly), alternative time-series model specifications (GARCH, E-GARCH), and assumptions on the distribution of residuals. Preliminary evidence indicates the significance of the hypothesized relationships for some cases. As evidence is by no means conclusive, directions for ongoing research are indicated.