TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes
Onur Polat,
Hasan Ertugrul (),
Burçhan Sakarya and
Ali Akgül
Applied Energy, 2024, vol. 357, issue C, No S0306261923018512
Abstract:
Amidst the current global inflationary challenges, the concurrent rise of energy and agricultural commodity prices, which constitute the primary components of consumer prices, has emerged as a matter of significant interest among both scholars and policymakers. To this end, this study examines the dynamic interlinkages between food and energy commodity indexes from 2005:1 to 2023:3, covering turmoil episodes such as the Global Financial Crisis (GFC), the COVID-19 pandemic, and the Russia-Ukraine Conflict (RUC). Additionally, following Broadstock et al. (2022), we perform dynamic portfolio analyses to determine portfolio performances under 3 different portfolio construction approaches. The empirical results presented in this paper allow for a number of important findings. First, both the time and frequency-domain connectedness indexes associate with major financial/geopolitical stress events. Second, the fuel energy and the crude oil price indexes are the largest propagators and recipients of spillovers Third, the cumulative portfolio returns exhibit significant growth during the early phase of the COVID-19, declining during the RUC, and a notable upswing during the GFC. Finally, our findings for frequency-dependent connectedness networks indicate that the market is particularly susceptible to short-term shocks. This paper has significant ramifications for investors, market players, and policymakers.
Keywords: Energy prices; Food prices; Covid-19; Russia-Ukraine conflict; TVP-VAR; Dynamic interlinkages; Network connectedness; Portfolio management (search for similar items in EconPapers)
JEL-codes: C58 D53 G15 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (4)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:appene:v:357:y:2024:i:c:s0306261923018512
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DOI: 10.1016/j.apenergy.2023.122487
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